diff --git a/RELEASE.md b/RELEASE.md index ea2baf0ff5..91c7e89691 100644 --- a/RELEASE.md +++ b/RELEASE.md @@ -1,12 +1,91 @@ -# _Infrastructure - Dependency Update_ +# _Product Model - Asset Refactoring: Product, SettlementPayout, Underliers_ + +WORK IN PROGRESS + +_Background_ + +The Asset Refactoring initiative (see https://github.com/finos/common-domain-model/issues/2805) is seeking to improve the Product Model to address some long-standing issues and to ensure the continued extensibility to additional financial products and markets. A proposal is being developed - through a cross-industry Task Force - to implement this remodelling in the CDM. + +This release includes the third tranche of changes (of three planned tranches in CDM 6) to implement the refactored model. It introduces some significant refactoring of the Product structure in to the model. _What is being released?_ -This release updates the DSL dependency. +Product Refactoring: +- This release completes the refactoring of the major financial product data types, that is `Asset`, `Observable`, and `Index`, and combines their use in a new structure for financial products. +- The new data type `NonTransferableProduct` has replaced the former `ContractualProduct` and is the main "product" data type used on a trade; it appears as the attribute `product` on the data type `TradableProduct`. +- On a `Trade`, all financial products should be composed into the `EconomicTerms` of a `NonTransferableProduct`. +- *Separate PR but included here for completeness* The data type `payout` is now a choice construct with the consequence that references to specific instances of a specific payout should refer to the capitalised data type name rather than an attribute, for example `economicTerms -> payout -> performancePayout` becomes `economicTerms -> payout -> PerformancePayout`. This has large impact in terms of the number of changes in this PR. + +Underliers: +- An `Underlier` represents the financial product that will be physically or cash settled. +- Whereas all underliers were previously defined to use data type `product`, this has now been improved so that they can also be an `Observable` when the case warrants it. +- `Underlier` is modelled as a choice data type, that is, it can either be an `Observable` or a `Product`. +- A `Product` is also a choice type, either a `TransferableProduct` (a type of financial product which can be held or transferred, represented as an Asset with the addition of specific EconomicTerms), or a NonTransferableProduct (a product that can be traded, as part of a TradableProduct, but cannot be transferred to others). + +Product and Trade Hierarchy: +- The `Trade` data type now extends `TradableProduct`; this means that the latter is "hidden" in many uses in the CDM, eg in the graphical view, and one level within the hierarchy is removed when generating JSON. This change has resulted to updates to 100s of occurences to path accesses within the model (particularly in the Event and Product functions). For example, the previous access path `tradeState -> trade -> tradableProduct -> tradeLot` has become `tradeState -> trade -> tradeLot`. +- The financial product hierarchy has also changed so that the previous path `trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> InterestRatePayout` has become `trade -> product -> economicTerms -> payout -> InterestRatePayout`. + +Product details: +- `Security` + - Removed the attributes `economicTerms` and `ProductTaxonomy` because these are not appropriate for an `Asset` data type which is standardised. if `economicTerms` are required, these can be added by wrapping `security` into a `TransferableProduct`. The taxonomy of assets is explicitly defined in the type. +- `Index` + - `Index` is now an `Observable` and the replaces the existing data type `rateOption`. + - The path `observable -> rateOption` has become `observable -> Index -> FloatingRateIndex`. + - Data type `CreditIndex` now extends `IndexBase`. + +ProductQualification: +- Additional functions have been created to ease with the qualification process: `UnderlierQualification`. `ObservableQualification`. +- Extensive refactoring has been made to the qualification functions to reflect the refactoring, albeit with no changes to the actual logic. +- The qualification for options has been tidied up to be more readable and maintainable in the new model, without change to the functionality. +- The introduction of `SettlementPayout` has been included in the qualification logic. +- The qualification of Foreign Exchange transactions has been updated. +- The securities financing qualification functions have been enhanced to differentiate repos and lending; the new functions are: `Qualify_RepurchaseAgreement`, `Qualify_BuySellBack`, and `Qualify_SecurityLending`. +- A new enumerator data type has been added to support repo qualification: `RepoTypeEnum`. The corresponding attribute `repoType` was added to `AssetPayout`. -Version updates include: -- DSL 9.19.0: support for `switch` operation on `choice` types. For further details see DSL release notes: https://github.com/finos/rune-dsl/releases/tag/9.19.0 +Payouts: +- A new payout type has been created: `SettlementPayout` +- The existing `ForwardPayout` has been collapsed into `SettlementPayout`; the latter should be used whereever the former was previously. +- *Separate PR but included here for completeness* The `Payout` data type has been refactored to be a `choice` and payouts now have multiple cardinality on `EconomicTerms`. The conditions that validated the business logic on payouts has been moved to `EconomicTerms`. + +Event Model: +- `Create_Exercise` has additional logic to support an option underlier that coan be an `Asset`, a `TransferableProduct` or a `NonTransferableProduct`. +- `Create_Execution` now acts upon a more narrowly defined `NonTransferableProduct` rather than a generic product. +- Additional functions have been created to support events using the new product model: `Create_NonTransferableProduct`, `Create_TransferableProductFromAsset`, `Create_TransferableProductFromIndex`, `CheckTransferableProduct`, `CheckTradeNotTransferableProduct`, `CreateTradableProduct`. +- The function `NewEquitySwapProduct` now creates a `NonTransferableProduct` not a generic product. +- Event processing has been refactored to handle the new modeling of `TradableProduct`. +- The unused data types `Affirmation` and `Confirmation` have been removed. + +Observable: +- The attribute `Observable` has been removed from `ObservationTerms` where it created duplication. + +Collateral: +- `AssetIdentifier` replaces `ProductIdentifier` on `AssetCriteria`. +- The function `CheckEligibilityForProduct` now uses `TransferableProduct` not `Product`. + +Namespace re-alignments: +- The following data objects have been moved to a more appropriate namespace: + - `enum PutCallEnum` to cdm.base.staticdata.asset + - `choice Index` to cdm.observable.asset + - `type IndexBase` to cdm.observable.asset + - `type PriceQuantity` to cdm.observable.asset +- The function `InterestRateObservableCondition` has been moved to the cdm.observable.asset function namespace. + +Deprecated data types which have been removed: +- `IndexReferenceInformation`: replaced with `Index`. + +Documentation updates: +- Significant improvements have been made to the pages on Product Model, Event Model and Process Model. +- As well as incorporating the direct changes that result from the refactoring, the pages have been restructured to improve the hierarchy, sections have been resequenced where this improves understanding, and "tips" have been added to highlight important definitions. +- The use case sections on Collateral, Securities Lending and Repos have been updated to reflect the revised modeling. _Review directions_ -The changes can be reviewed in PR: [#3152](https://github.com/finos/common-domain-model/pull/3152) +The changes can be reviewed in PR: [#3127](https://github.com/finos/common-domain-model/pull/3127) + +_Backward-incompatible changes_ + +This release contains changes that are not backward-compatible: +- TBA + +A full description of the backward-incompatible changes, and how persisted objects should be remapped, will be included in the release notes for the production release of CDM 6. diff --git a/cdm-python/test/semantics/test_validation.py b/cdm-python/test/semantics/test_validation.py index 426d3ce409..287ba3f73c 100644 --- a/cdm-python/test/semantics/test_validation.py +++ b/cdm-python/test/semantics/test_validation.py @@ -11,7 +11,7 @@ from cdm.product.template.TradableProduct import TradableProduct from cdm.product.template.Product import Product from cdm.product.template.TradeLot import TradeLot -from cdm.product.common.settlement.PriceQuantity import PriceQuantity +from cdm.observable.asset.PriceQuantity import PriceQuantity from cdm.base.staticdata.party.Party import Party from cdm.base.staticdata.party.PartyIdentifier import PartyIdentifier from cdm.base.staticdata.party.Counterparty import Counterparty diff --git a/docs/code-snippets/ContractualProduct.snippet b/docs/code-snippets/ContractualProduct.snippet deleted file mode 100644 index be6f9f1b88..0000000000 --- a/docs/code-snippets/ContractualProduct.snippet +++ /dev/null @@ -1,4 +0,0 @@ -type ContractualProduct extends ProductBase: - [metadata key] - [metadata template] - economicTerms EconomicTerms (1..1) diff --git a/docs/code-snippets/fixed-term-fixed-rate-repo-product.json b/docs/code-snippets/fixed-term-fixed-rate-repo-product.json index 9fabe35dcf..0cf213c4c7 100644 --- a/docs/code-snippets/fixed-term-fixed-rate-repo-product.json +++ b/docs/code-snippets/fixed-term-fixed-rate-repo-product.json @@ -1,202 +1,200 @@ { - "product": { - "contractualProduct": { - "productTaxonomy": [ - { - "source": "CFI", - "value": { - "name": { - "value": "LRSTXD" - } - } - }, - { - "productQualifier": "Repurchase Agreement", - "taxonomySource": "CFI" - } - ], - "economicTerms": { - "effectiveDate": { - "adjustableDate": { - "meta": { - "globalKey": "3f28d3" - }, - "unadjustedDate": "2023-02-16" - }, - "meta": { - "externalKey": "PurchaseDate", - "globalKey": "3f28d3" - } - }, - "payout": { - "interestRatePayout": [ - { - "payerReceiver": { - "payer": "PARTY_1", - "receiver": "PARTY_2" - }, - "priceQuantity": { - "meta": { - "globalKey": "0" - }, - "quantitySchedule": { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 981966.77 - } - } - }, - "dayCountFraction": { - "value": "ACT/365L" - }, - "meta": { - "globalKey": "f53d0561" - }, - "rateSpecification": { - "fixedRate": { - "meta": { - "globalKey": "0" - }, - "rateSchedule": { - "price": { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.0393, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceExpression": { - "priceType": "INTEREST_RATE" - } - } - } - } - } - } - } - ], - "meta": { - "globalKey": "a40d3a6d" - }, - "assetPayout": [ - { - "buyerSeller": { - "payer": "PARTY_2", - "receiver": "PARTY_1" - }, - "collateralProvisions": { - "collateralType": "CASH", - "marginPercentage": { - "marginPercentage": 0.98 - } - }, - "durationType": { - "durationType": "TERM" - }, - "meta": { - "globalKey": "f97918c" - }, - "assetPayoutLeg": [ - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "meta": { - "globalKey": "88c0a27e" - }, - "settlementDate": { - "meta": { - "globalKey": "75229c9e" - }, - "relativeDate": { - "meta": { - "globalKey": "75229c9e" - }, - "period": "D", - "periodMultiplier": 0, - "businessDayConvention": "NOT_APPLICABLE", - "dateRelativeTo": { - "externalReference": "PurchaseDate", - "globalReference": "3f28d3" - } - } - } - }, - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "meta": { - "globalKey": "f1b17431" - }, - "settlementDate": { - "meta": { - "globalKey": "de136e51" - }, - "relativeDate": { - "meta": { - "globalKey": "de136e51" - }, - "period": "D", - "periodMultiplier": 0, - "businessDayConvention": "NOT_APPLICABLE", - "dateRelativeTo": { - "externalReference": "RepurchaseDate", - "globalReference": "3f28d6" - } - } - } - } - ], - "securityInformation": { - "meta": { - "globalKey": "40232adf" - }, - "security": { - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ], - "securityType": "DEBT" - } - } - } - ] - }, - "terminationDate": { - "adjustableDate": { - "meta": { - "globalKey": "3f28d6" - }, - "unadjustedDate": "2023-02-17" - }, - "meta": { - "externalKey": "RepurchaseDate", - "globalKey": "3f28d6" - } - } - }, - "meta": { - "globalKey": "7ca04329" - } - }, - "meta": { - "globalKey": "7ca04329" - } - } -} \ No newline at end of file + "product": { + "taxonomy": [ + { + "source": "CFI", + "value": { + "name": { + "value": "LRSTXD" + } + } + }, + { + "productQualifier": "RepurchaseAgreement", + "taxonomySource": "CFI" + } + ], + "economicTerms": { + "effectiveDate": { + "adjustableDate": { + "meta": { + "globalKey": "3f28d3" + }, + "unadjustedDate": "2023-02-16" + }, + "meta": { + "externalKey": "PurchaseDate", + "globalKey": "3f28d3" + } + }, + "payout": { + "interestRatePayout": [ + { + "payerReceiver": { + "payer": "PARTY_1", + "receiver": "PARTY_2" + }, + "priceQuantity": { + "meta": { + "globalKey": "0" + }, + "quantitySchedule": { + "value": { + "unit": { + "currency": { + "value": "GBP" + } + }, + "value": 981966.77 + } + } + }, + "dayCountFraction": { + "value": "ACT/365L" + }, + "meta": { + "globalKey": "f53d0561" + }, + "rateSpecification": { + "fixedRate": { + "meta": { + "globalKey": "0" + }, + "rateSchedule": { + "price": { + "value": { + "unit": { + "currency": { + "value": "GBP" + } + }, + "value": 0.0393, + "perUnitOf": { + "currency": { + "value": "GBP" + } + }, + "priceExpression": { + "priceType": "INTEREST_RATE" + } + } + } + } + } + } + } + ], + "meta": { + "globalKey": "a40d3a6d" + }, + "assetPayout": [ + { + "buyerSeller": { + "payer": "PARTY_2", + "receiver": "PARTY_1" + }, + "collateralProvisions": { + "collateralType": "CASH", + "marginPercentage": { + "marginPercentage": 0.98 + } + }, + "durationType": { + "durationType": "TERM" + }, + "meta": { + "globalKey": "f97918c" + }, + "assetPayoutLeg": [ + { + "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", + "meta": { + "globalKey": "88c0a27e" + }, + "settlementDate": { + "meta": { + "globalKey": "75229c9e" + }, + "relativeDate": { + "meta": { + "globalKey": "75229c9e" + }, + "period": "D", + "periodMultiplier": 0, + "businessDayConvention": "NOT_APPLICABLE", + "dateRelativeTo": { + "externalReference": "PurchaseDate", + "globalReference": "3f28d3" + } + } + } + }, + { + "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", + "meta": { + "globalKey": "f1b17431" + }, + "settlementDate": { + "meta": { + "globalKey": "de136e51" + }, + "relativeDate": { + "meta": { + "globalKey": "de136e51" + }, + "period": "D", + "periodMultiplier": 0, + "businessDayConvention": "NOT_APPLICABLE", + "dateRelativeTo": { + "externalReference": "RepurchaseDate", + "globalReference": "3f28d6" + } + } + } + } + ], + "securityInformation": { + "meta": { + "globalKey": "40232adf" + }, + "security": { + "identifier": [ + { + "value": { + "identifier": { + "value": "GB00B24FF097" + }, + "meta": { + "globalKey": "1ad6d034" + }, + "source": "ISIN" + } + } + ], + "securityType": "DEBT" + } + } + } + ] + }, + "terminationDate": { + "adjustableDate": { + "meta": { + "globalKey": "3f28d6" + }, + "unadjustedDate": "2023-02-17" + }, + "meta": { + "externalKey": "RepurchaseDate", + "globalKey": "3f28d6" + } + } + }, + "meta": { + "globalKey": "7ca04329" + } + }, + "meta": { + "globalKey": "7ca04329" + } +} diff --git a/docs/eligible-collateral-representation.md b/docs/eligible-collateral-representation.md index 839bb442b7..ea97116ef6 100644 --- a/docs/eligible-collateral-representation.md +++ b/docs/eligible-collateral-representation.md @@ -220,13 +220,13 @@ type AssetCriteria: agencyRating AgencyRatingCriteria (0..*) maturityType MaturityTypeEnum (0..1) maturityRange PeriodRange (0..1) - productIdentifier ProductIdentifier (0..*) + assetIdentifier AssetIdentifier (0..*) collateralTaxonomy CollateralTaxonomy (0..*) domesticCurrencyIssued boolean (0..1) listing ListingType (0..1) - condition AssetCriteriaChoice: - optional choice collateralAssetType, collateralTaxonomy, productIdentifier + condition AssetCriteriaChoice: + optional choice collateralAssetType, collateralTaxonomy, assetIdentifier ``` - `collateralAssetType` Represents a filter based on the asset product @@ -807,7 +807,7 @@ ranges, this would be a common feature of a collateral eligibility schedule especially if there is an uncleared margin rules regulatory requirement. -### Product Identifier +### Asset Identifier **Used within Asset Criteria** @@ -815,12 +815,12 @@ The CDM model as described throughout this guide will allow the user to define collateral assets through the granular structure of the `AssetCriteria`, but we must understand that expression of asset details for eligibility purposes can take other forms across the universe of -collateral, for some processes there is a requirement to use certain -product identifiers. Data type `productIdentifier` can be used to +collateral, for some processes there is a requirement to use specific identifiers +for particular financial products. The data type `AssetIdentifier` can be used to express specific instrument identifiers such as ISINs, CUSIPs etc. There is a section within the CDM documentation that covers this area of the model, this can be found in the following link -[products-with-identifiers-section](/docs/product-model#products-with-identifiers). +[products-with-identifiers-section](/docs/product-model#identifiers). ### Listing diff --git a/docs/event-model.md b/docs/event-model.md index ae97202ca8..49ad2669c2 100644 --- a/docs/event-model.md +++ b/docs/event-model.md @@ -2,6 +2,8 @@ title: Event Model --- +## Introduction to the Event Model + **The CDM event model provides data structures to represent the lifecycle events of financial transactions**. A lifecycle event occurs when a transaction goes through a *state transition* initiated either by @@ -68,7 +70,9 @@ Each of them is described in the next four sections. ![](/img/event-model-overview.png) -# Trade State +## Trade Events + +### Trade State A trade state is defined in CDM by the `TradeState` data type and represents the state of a trade at each stage in its lifecycle. With @@ -76,10 +80,15 @@ each trade creation or modification event, a new `TradeState` instance is created. Chaining together the sequence of `TradeState` instances then recreates the path each trade took within its lifecycle. -`TradeState` is a foundational data type in the CDM Event Model as it -represents the input and output of any state transition. Therefore, all -trade-related information that can change throughout the trade lifecycle -are representing within `TradeState`. +:::tip Definition: TradeState + +Defines the fundamental financial information that can be changed by a +Primitive Event and by extension any business or life-cycle event. +Each TradeState specifies where a Trade is in its life-cycle. TradeState +is a root type and as such, can be created independently to any other +CDM data type, but can also be used as part of the CDM Event Model. + +::: ``` Haskell type TradeState: @@ -101,7 +110,15 @@ economic terms of the transaction as agreed between the parties. The `Trade`, `State`, `Reset` and `Transfer` data types that are utilised within `TradeState` are all detailed in the sections below. -## Trade +### Trade + +:::tip Definition: Trade + +Defines the output of a financial transaction between parties - a Business +Event. A Trade impacts the financial position (i.e. the balance sheet) +of involved parties. + +::: The `Trade` data type defines the outcome of a financial transaction between parties, where the terms are primarily reflected in the tradable @@ -111,14 +128,13 @@ as the parties, may already be defined in a workflow step or business event and can simply be referenced in `Trade`. ``` Haskell -type Trade: +type Trade extends TradableProduct: [metadata key] tradeIdentifier TradeIdentifier (1..*) tradeDate date (1..1) [metadata id] tradeTime TimeZone (0..1) [metadata id] - tradableProduct TradableProduct (1..1) party Party (0..*) partyRole PartyRole (0..*) executionDetails ExecutionDetails (0..1) @@ -136,7 +152,7 @@ Attributes within `Trade` and `ContractDetails` incorporate elements from FpML's *trade confirmation* view, whereas the `TradableProduct` data type corresponds to FpML's *pre-trade* view. The `TradableProduct` data type is further detailed in the -[`tradable-product`](/docs/product-model#TraableProduct) section of the +[`tradable-product`](/docs/product-model#TradableProduct) section of the documentation. --- @@ -145,7 +161,7 @@ Additionally, `Trade` supports the representation of specific execution or contractual details via the `executionDetails` and `contractDetails` attributes. -### ExecutionDetails +#### ExecutionDetails The `ExecutionDetails` data type represents details applicable to trade executions and includes attributes that describe the execution venue and @@ -165,7 +181,7 @@ type ExecutionDetails: then executionVenue exists ``` -### ContractDetails +#### ContractDetails `ContractDetails` are only applicable to trades on contractual products and are typically provided at or prior to trade confirmation. @@ -178,7 +194,7 @@ type ContractDetails: [metadata scheme] ``` -## State +### State The `State` data type defines the state of a trade at a point in the Trade's life cycle. Trades have many state dimensions, all of which are @@ -215,7 +231,7 @@ enum ClosedStateEnum: Terminated ``` -## Reset +### Reset In many cases, a trade relies on the value of an observable which will become known in the future: for instance, a floating rate observation at @@ -261,13 +277,20 @@ type Observation: observationIdentifier ObservationIdentifier (1..1) ``` -## Transfer +### Transfer A transfer is a multi-purpose object that represents the transfer of any asset, including cash, from one party to another. The `Transfer` object is associated to an enumeration to qualify the status that the transfer is in, from instruction to settlement or rejection. +:::tip Definition: Transfer + +Defines the movement of an Asset (eg cash, securities or commodities) +between two parties on a date. + +::: + ``` Haskell type TransferState: [metadata key] @@ -301,12 +324,18 @@ type TransferBase: then quantity -> unit -> financialUnit exists ``` -## Primitive Operator {#primitive-event} +## Primitive Events {#primitive-event} + +### Primitive Operator + +:::tip Definition: Primitive operators -**Primitive operators are functional building blocks used to compose -business events**. Each primitive operator describes a fundamental state +Primitive operators are functional building blocks used to compose +business events. Each primitive operator describes a fundamental state transition that applies to a trade. +::: + There are nine fundamental operations on trade state. Other than split and execution, they each impact separate attributes of a trade state and are therefore independent of each other. @@ -322,7 +351,7 @@ are therefore independent of each other. party to another 9. split: splits a trade into multiple identical trades -## Primitive Function +### Primitive Function A primitive operator is represented by a primitive function that takes a before trade state as input and returns an after trade state as output, @@ -350,7 +379,7 @@ func Create_PartyChange: newTrade TradeState (1..1) ``` -## Primitive Instruction +### Primitive Instruction Primitive functions take additional inputs alongside the before trade state to specify the parameters of the state transition. Each primitive @@ -385,7 +414,7 @@ type PrimitiveInstruction: transfer TransferInstruction (0..1) ``` -## Primitive Composition +### Primitive Composition The separation between the before trade state and primitive instructions allows to compose primitive operators. Primitive operators can be @@ -426,7 +455,7 @@ func Create_TradeState: after TradeState (1..1) ``` -## Special Case: Split +### Special Case: Split Split is a special case of primitive operator. It is used in many lifecycle events that require a trade to be copied, such as in clearing @@ -476,9 +505,9 @@ func Create_Split: Examples of how primitive operators work are illustrated below. -## Examples of Primitive Operators +### Examples of Primitive Operators -### Execution Primitive +#### Execution Primitive The first step in instantiating a transaction between two parties in the CDM is an *execution*. In practice, this execution represents the @@ -501,9 +530,9 @@ func Create_Execution: ``` Haskell type ExecutionInstruction: - product Product (1..1) + product NonTransferableProduct (1..1) priceQuantity PriceQuantity (1..*) - counterparty Counterparty (2..2) + counterparty Counterparty (2..2) ancillaryParty AncillaryParty (0..*) parties Party (2..*) partyRoles PartyRole (0..*) @@ -514,9 +543,10 @@ type ExecutionInstruction: [metadata id] tradeIdentifier TradeIdentifier (1..*) collateral Collateral (0..1) + lotIdentifier Identifier (0..1) ``` -### Contract Formation Primitive +#### Contract Formation Primitive Once an execution is confirmed, a legally binding contract is signed between the two executing parties and a *contract formation* associates @@ -562,7 +592,7 @@ scenario can be represented using a compositive primitive instruction that comprises both an execution and a contract formation instruction and applies to a null trade state. -### Reset Primitive +#### Reset Primitive The reset function associates a reset object to the trade state. The reset function creates an instances of the `Reset` data type and adds it @@ -587,7 +617,7 @@ type ResetInstruction: resetDate date (1..1) ``` -### Transfer Primitive +#### Transfer Primitive The transfer primitive function takes a `TransferState` object as transfer instruction input and adds it to the `transferHistory` @@ -610,6 +640,15 @@ type TransferInstruction: ## Business Event +:::tip Definition: Business Event + +A business event represents a life cycle event of a trade. The combination +of the state changes results in a qualifiable life cycle event. An example +of a Business Event is a PartialTermination which is a defined by a quantity +change primitive event. + +::: + Business events are built according to the following principles: - **A business event is specified functionally by composing primitive @@ -662,7 +701,7 @@ mechanism is fully retired. --- -## Event Composition +### Event Composition An example composition of primitive instructions to represent a complete lifecycle event is shown below. The event represents the *partial @@ -754,7 +793,7 @@ that involves multiple before trades being downsized or terminated and new trades being created between multiple parties, all of which must happen concurrently. -## Event Qualification {#event-qualification-section} +### Event Qualification {#event-qualification-section} **The CDM qualifies lifecycle events as a function of their primitive components** rather than explicitly declaring the event type. The CDM @@ -818,7 +857,7 @@ is further detailed in the Rosetta DSL documentation. --- -## Intent +### Intent The intent attribute is an enumeration value that represents the intent of a particular business event. It is used in the event qualifcation @@ -855,7 +894,7 @@ enum EventIntentEnum: Repurchase ``` -## Lineage +### Lineage The `BusinessEvent` data type implements *lineage* by tying each trade state to the trade state(s) that came before it in the lifecyle. The @@ -870,7 +909,7 @@ operators specified in the business event. The after trade state is optional because it may be latent while the business event is going through some acceptance workflow. -## Other Misc. Information +### Other Misc. Information Other selected attributes of a business event are explained below. @@ -880,11 +919,13 @@ Other selected attributes of a business event are explained below. qualification features. This is further detailed in the [event qualification](#event-qualification) section. -# Workflow +## Workflow The CDM provides support for implementors to develop workflows to process transaction lifecycle events. +:::tip Definition: Workflow + A *workflow* represents a set of actions or steps that are required to trigger a business event, including the initial execution or contract formation. A workflow is organised into a sequence in which each step is @@ -892,6 +933,8 @@ represented by a *workflow step*. A workflow may involve multiple parties in addition to the parties to the transaction, and may include automated and manual steps. A workflow may involve only one step. +::: + The CDM supports a workflow's audit trail by providing lineage from one step to another in that workflow. @@ -922,7 +965,7 @@ type WorkflowStep: The different attributes of a workflow step are detailed in the sections below. -## Workflow Step Business Event +### Workflow Step Business Event This attribute specifies the business event that the workflow step is meant to generate. It is optional because the workflow may require a @@ -931,7 +974,7 @@ business event becomes effective, therefore the business event does not exist yet in those steps. The business event attribute is typically associated with the final step in the workflow. -## Proposed Event +### Proposed Event This attribute specifies the inputs required to perform the event's state transition and comprises a subset of the attributes of the @@ -953,7 +996,7 @@ type EventInstruction: instruction Instruction (0..*) ``` -## Next Event +### Next Event Parties sometimes pre-agree a follow-on event that is meant to be executed after the current event completes, but separately from it. A @@ -965,20 +1008,20 @@ between the parties as part of the current event. The parameters of this next event are represented by an `EventInstruction` data type included in the workflow process. -## Previous Workflow Step +### Previous Workflow Step This attribute, which is provided as a reference, defines the lineage between steps in a workflow. The result is an audit trail for a business event, which can trace the various steps leading to the business event that was triggered. -## Action +### Action The action enumeration qualification specifies whether the event is a new one or a correction or cancellation of a prior one, which are trade entry references and not reflective of negotiated changes to a contract. -## Message Information +### Message Information The `messageInformation` attribute defines details for delivery of the message containing the workflow steps. @@ -1006,7 +1049,7 @@ MessageInformation corresponds to some of the components of the FpML --- -## Timestamp +### Timestamp The CDM adopts a generic approach to represent timestamp information, consisting of a `dateTime` and a `qualification` attributes, with the @@ -1042,7 +1085,7 @@ of this approach. ] ``` -## Event Identifier +### Event Identifier The Event Identifier provides a unique id that can be used for reference by other workflow steps. The data type is a generic identifier component @@ -1072,7 +1115,7 @@ which comes in different variations: `PartyTradeIdentifier`, with the --- -## Other Misc. Attributes +### Other Misc. Attributes - The `party` and `account` information are optional because not applicable to certain events. diff --git a/docs/process-model.md b/docs/process-model.md index 71ad53c8e7..05e30b64ca 100644 --- a/docs/process-model.md +++ b/docs/process-model.md @@ -2,9 +2,9 @@ title: Process Model --- -# Purpose +## Purpose -## Why a Process Model +### Why a Process Model **The CDM lays the foundation for the standardisation, automation and inter-operability of industry processes**. Industry processes represent @@ -20,7 +20,7 @@ example, day count fraction formulae which are used when calculating interest rate payments) can be a source of dispute between parties in a transaction. -## What Is the Process Model +### What Is the Process Model **The CDM Process Model has been designed to translate the technical standards that support those industry processes** into a standardised @@ -32,7 +32,7 @@ interoperability between technology solutions. It greatly minimises the cost of adoption and provides a blueprint on which industry utilities can be built. -## How Does It Work +### How Does It Work The data and process model definitions of the CDM are systematically translated into executable code using purpose-built code generation @@ -40,12 +40,12 @@ technology. The CDM executable code is available in a number of modern, widely adopted and freely available programming languages and is systematically distributed as part of the CDM release. -The code generation process is based on the Rosetta DSL and is further +The code generation process is based on the Rune DSL and is further described in the [Code Generation Section](https://docs.rosetta-technology.io/rosetta/rosetta-dsl/rosetta-code-generators), including an up-to-date list of [available languages](https://docs.rosetta-technology.io/rosetta/rosetta-dsl/rosetta-code-generators/#what-code-generators-are-available). Support for further languages can be added as required by market participants. -# Scope +## Scope The scope of the process model has two dimensions: @@ -53,7 +53,7 @@ The scope of the process model has two dimensions: 2. **Granularity** - at which level of detail each process should be specified. -## Coverage +### Coverage **The CDM process model currently covers the post-trade lifecycle of securities, contractual products, and foreign exchange**. Generally, a @@ -75,13 +75,13 @@ in scope: - Regulatory reporting (although covered in a different documentation section) -## Granularity +### Granularity **It is important for implementors of the CDM to understand the scope of the model** with regard to specifications and executable code for the above list of post-trade lifecycle processes. -The CDM process model leverages the *function* component of the Rosetta +The CDM process model leverages the *function* component of the Rune DSL. A function receives a set of input values and applies logical instructions to return an output. The input and output are both CDM objects (including basic types). While a function specifies its inputs @@ -137,9 +137,9 @@ enforcement of the intended logic. By contrast, in the CDM, validation components are an integral part of the process model specifications and are distributed as executable code in the Java representation of the CDM. The CDM validation components -leverage the *validation* components of the Rosetta DSL. +leverage the *validation* components of the Rune DSL. -## Product Validation +### Product Validation As an example, the *FpML ird validation rule #57*, states that if the calculation period frequency is expressed in units of month or year, @@ -171,12 +171,12 @@ Fraction rules, and performance calculations for Equity Swaps. The CDM also specifies related utility functions. These calculation processes leverage the *calculation function* -component of the Rosetta DSL which is associated to a `[calculation]` +component of the Rune DSL which is associated to a `[calculation]` annotation. Explanations of these processes are provided in the following sections. -## Base Libraries - Vector Math +### Base Libraries - Vector Math The CDM includes a very basic library for performing vector math. This is intended to support more complex calculations such as daily @@ -185,7 +185,7 @@ these functions in Java, and allows individual implementations to substitute their own more robust representations. A small library of functions for working with vectors (ordered -collections of numbers) has been added to CDM to support Rosetta +collections of numbers) has been added to CDM to support functions needing to perform complex mathematical operations. Anticipated uses include averaging and compounding calculations for floating amounts, but the functions are designed to be general use. @@ -229,7 +229,7 @@ rate processing: takes a precision rather than an amount, and uses a different rounding mode enumeration that supports more values. -## Base Libraries - Date Math +### Base Libraries - Date Math The CDM includes a very basic library for performing date math. This is intended to support more complex calculations such as daily compounded @@ -238,7 +238,7 @@ functions in Java, and allows individual implementations to substitute their own more robust representations. A small library of functions for working with dates and lists of dates -has been added to CDM to support Rosetta functions needing to perform +has been added to CDM to support functions needing to perform date mathematics. Anticipated uses include date list generation for modular rate calculations for floating amounts, but the functions are designed to be general use. @@ -272,7 +272,7 @@ Functions include: - `AppendDateToList`: Add a date to a list of dates. - `PopOffDateList`: Remove last element from a list of dates. -The following are implemented in Rosetta based on the above primitives: +The following are implemented in Rune based on the above primitives: - `IsWeekend`: Returns whether the supplied date is a weekend. This implementation currently assumes a 5 day week with Saturday and @@ -295,7 +295,7 @@ The following are implemented in Rosetta based on the above primitives: any days that are weekends or holidays according to the supplied business centers. -## Base Libraries - Daycounting +### Base Libraries - Daycounting The CDM includes a library for performing day counting calculations. @@ -307,7 +307,7 @@ fraction. This perhaps should take into account leap years, though the ISDA compounding formulas do not cover ACT basis at the moment. *`DayCountBasis`: Return the day count basis (the denominator of the day count fraction) for the day count fraction. -## Floating Rate Option/Index Features +### Floating Rate Option/Index Features The CDM includes features for retrieving information about floating rate options and for calculating custom ("modular") floating rates. @@ -359,7 +359,7 @@ Functions for calculating modular floating rates include: weight. This is used to support section 7.4 of the 2021 ISDA Definitions. -## Fixed Amount and Floating Amount Definitions +### Fixed Amount and Floating Amount Definitions The CDM includes preliminary features for calculating fixed and floating amounts for interest rate payouts. @@ -445,7 +445,7 @@ Most of the above have a preliminary implementation for feedback. A few are only defined as "do-nothing" interfaces, and users needing these features would need to implement the functions. -## Fixed Amount and Floating Amount Definitions +### Fixed Amount and Floating Amount Definitions The CDM expressions of `FixedAmount` and `FloatingAmount` are similar in structure: a calculation formula that reflects the terms of the ISDA @@ -471,7 +471,7 @@ func FloatingAmount: set floatingAmount : floatingCalc-> calculatedAmount ``` -## Year Fraction +### Year Fraction The CDM process model incorporates calculations that represent the set of day count fraction rules specified as part of the ISDA 2006 @@ -509,7 +509,7 @@ func YearFraction(dayCountFractionEnum: DayCountFractionEnum -> _30E_360): (360 * (endYear - startYear) + 30 * (endMonth - startMonth) + (endDay - startDay)) / 360 ``` -## Utility Function +### Utility Function CDM elements often need to be transformed by a function to construct the arguments for a formula in a calculation. A typical example is the @@ -536,7 +536,7 @@ func CalculationPeriod: output: result CalculationPeriodData (1..1) ``` -## Equity Performance +### Equity Performance The CDM process model includes calculations to support the equity performance concepts applied to reset and pay cashflows on Equity Swaps. @@ -555,20 +555,30 @@ func EquityCashSettlementAmount: equityCashSettlementAmount Transfer (1..1) alias equityPerformancePayout: - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> performancePayout only-element + tradeState -> trade -> product -> economicTerms -> payout -> performancePayout only-element alias equityPerformance: - EquityPerformance(tradeState ->trade, tradeState -> resetHistory only-element -> resetValue, date) + EquityPerformance( + tradeState -> trade, + tradeState -> resetHistory only-element -> resetValue, + date + ) alias payer: - ExtractCounterpartyByRole( tradeState -> trade -> tradableProduct -> counterparty, equityPerformancePayout -> payerReceiver -> payer ) -> partyReference + ExtractCounterpartyByRole( + tradeState -> trade -> counterparty, + equityPerformancePayout -> payerReceiver -> payer + ) -> partyReference alias receiver: - ExtractCounterpartyByRole( tradeState -> trade -> tradableProduct -> counterparty, equityPerformancePayout -> payerReceiver -> receiver ) -> partyReference + ExtractCounterpartyByRole( + tradeState -> trade -> counterparty, + equityPerformancePayout -> payerReceiver -> receiver + ) -> partyReference set equityCashSettlementAmount -> quantity -> value: Abs(equityPerformance) set equityCashSettlementAmount -> quantity -> unit -> currency: ResolveEquityInitialPrice( - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> price - ) -> unit -> currency + tradeState -> trade -> tradeLot only-element -> priceQuantity -> price + ) -> unit -> currency set equityCashSettlementAmount -> payerReceiver -> payerPartyReference: if equityPerformance >= 0 then payer else receiver set equityCashSettlementAmount -> payerReceiver -> receiverPartyReference: @@ -596,7 +606,7 @@ func RateOfReturn: (finalPriceValue - initialPriceValue) / initialPriceValue ``` -## Billing +### Billing The CDM process model includes calculations to support the billing event consisting of the individual amounts that need to be settled in relation @@ -642,7 +652,7 @@ func Create_SecurityLendingInvoice: Create_BillingSummary( invoice -> billingRecord ) ``` -# Lifecycle Event Process +## Lifecycle Event Process While the lifecycle event model described in the [event-model-section](/docs/event-model) provides a @@ -677,7 +687,7 @@ processes are described in the [calculation-process](#calculation-process) and [ Illustration of the three components are given in the sections below. -## Primitive Creation +### Primitive Creation Primitive creation functions can be thought of as the fundamental mathematical operators that operate on a *trade state*. While a @@ -755,30 +765,30 @@ func ResolvePerformanceObservationIdentifiers: identifiers ObservationIdentifier (1..1) alias adjustedFinalValuationDate: - ResolveAdjustableDate( payout -> valuationDates -> finalValuationDate -> valuationDate ) - - alias valuationDates: + ResolveAdjustableDate( + payout -> valuationDates -> finalValuationDate -> valuationDate + ) + alias valuationDates: if adjustedDate < adjustedFinalValuationDate then payout -> valuationDates -> interimValuationDate else payout -> valuationDates -> finalValuationDate - add identifiers -> observable -> asset -> Instrument -> Security -> identifier: - payout -> underlier -> security -> identifier - - set identifiers -> observationDate: + set identifiers -> observable: + payout -> underlier -> Observable + set identifiers -> observationDate: AdjustedValuationDates(payout -> valuationDates) filter item <= adjustedDate then last - - set identifiers -> observationTime: + set identifiers -> observationTime: ResolvePerformanceValuationTime( valuationDates -> valuationTime, valuationDates -> valuationTimeType, - identifiers -> observable -> asset ->> identifier only-element, + identifiers -> observable -> Asset ->> identifier only-element, valuationDates -> determinationMethod ) - - set identifiers -> determinationMethodology -> determinationMethod: + set identifiers -> informationSource: + payout -> observationTerms -> informationSource -> primarySource + set identifiers -> determinationMethodology -> determinationMethod: valuationDates -> determinationMethod ``` @@ -818,7 +828,7 @@ func ResolvePerformanceReset: observation ``` -## Workflow Step Creation +### Workflow Step Creation (*This feature is currently being developed and will be documented upon release in the CDM*) diff --git a/docs/product-model.md b/docs/product-model.md index a21fcca8d0..4d66a56384 100644 --- a/docs/product-model.md +++ b/docs/product-model.md @@ -2,76 +2,80 @@ title: Product Model --- ---- -**Note:** -Some significant enhancements are being introduced to the Product Model -in the CDM in version 6. These are being driven by the Asset Refactoring -Task Force. -This documentation will be updated as these changes are released into -the development version. - ---- - -## Introduction to the Product Model - -Where applicable, the CDM follows the data structure of the Financial -Products Markup Language (FpML), which is widely used in the OTC -Derivatives market. For example, the CDM type `PayerReceiver` is -equivalent to the FpML PayerReceiver.model. Both of these are data -structures used frequently throughout each respective model. In other -cases, the CDM data structure is more normalised, per Development Guidelines. For example, price and quantity are -represented in a single type, `TradableProduct`, which is shared by all -products. Another example is the use of a composable product model -whereby: - -- **Economic terms are specified by composition**, For example, the - `InterestRatePayout` type is a component used in the definition of - any product with one or more interest rate legs (e.g. Interest Rate - Swaps, Equity Swaps, and Credit Default Swaps). -- **Product qualification is inferred** from those economic terms - rather than explicitly naming the product type, whereas FpML - qualifies the product explcitly through the *product* substitution - group. - -Regardless of whether the data structure is the same or different from -FpML, the CDM includes defined Synonyms that map to FpML (and other -models) and can be used for transformation purposes. More details on -Synonyms are provided in the Mapping (Synonym) section of this document. - ## Financial Products {#product} -A financial product is an instrument that is used to transfer financial +In the CDM, a financial product describes a thing that is used to transfer financial risk between two parties. +The model is based on several building blocks +to define the characteristics of that risk transfer. +The most fundamental of these building blocks is an `Asset`, which represents +a basic, transferable financial product such as cash, a commodity or security. +From those basic transferable assets, any other financial product can be built using +other composable building blocks called `Payout` that are assembled to represent the +complete `EconomicTerms` of that product. +A `Payout` is a parametric description of the commitment between two parties to the transfer +of one or more assets in the future - for instance, but not exclusively, future cashflows +when that asset is cash. These future transfers may be contingent on the future value +or performance of that asset or other, as in the case of options. + ### Asset {#asset} -:::tip[Definition: `Asset`] +:::tip Definition: Asset -An Asset is defined as something that can be owned and transferred in the financial markets, for example, cash, a -commodity, a loan or a security. As a choice data type, one and only one of the attributes must be used. +An Asset is defined as something that can be held by one party and is transferable from one party to another: for example, cash, a +commodity, a loan or a security. ::: -The Asset data type is modelled as follows: +The Asset data type is represented as a `choice` of several underlying data types, which means one and only one of those data types must be used. ``` Haskell choice Asset: Cash Commodity + [metadata location] DigitalAsset Instrument +``` + +Each of the choice values are defined as data types within the model and each also extends a common base type +`AssetBase`: +``` Haskell +type AssetBase: + identifier AssetIdentifier (1..*) + taxonomy Taxonomy (0..*) + isExchangeListed boolean (0..1) + exchange LegalEntity (0..1) + relatedExchange LegalEntity (0..*) ``` -These attributes are: +The data types are designed to carry the minimal amount of information that is needed to uniquely identify the asset +in question. -* Cash: An asset that consists solely of a monetary holding in a currency. The only attribute on this - data type is an `Identifier`, populated with the currency code (using the `CurrencyCodeEnum` list) for the currency +The base type ensures that every instance of all types of an `Asset` has a defined `AssetIdentifier` which is +itself composed of an `identifier` and an `identifierType` enumerator that defines the symbology source of the identifier, +for example a CUSIP or ISIN. + +The base type also includes an optional `taxonomy` which aligns the asset to one of the asset classification +sources defined by industry organisations, such as ISDA, or regulators, such as CFTC or ESMA. It is also possible +to define the exchange listing characteristics of the asset. + +Conditions are applied on each of the asset types to enforce certain rules; for example, a `Cash` asset +can not have an `exchange`. + +The `Asset` definitions are as follows: + +* **Cash**: An asset that consists solely of a monetary holding in a currency. The only attribute on this + data type is the `Identifier`, populated with the currency code (using the `CurrencyCodeEnum` list) for the currency of the cash. -* Commodity: An Asset comprised of raw or refined materials or agricultural products, eg gold, oil or wheat. - The applicable identifiers are the ISDA definitions for reference benchmarks. -* DigitalAsset: An Asset that exists only in digital form, eg Bitcoin or Ethereum; excludes the digital representation of other Assets. -* Instrument: An asset that is issued by one party to one or more others; Instrument is also a choice data type. +* **Commodity**: An Asset comprised of raw or refined materials or agricultural products, eg gold, oil or wheat. + The applicable identifiers are the ISDA definitions for reference benchmarks. If no such benchmark exists, the + characteristics of a commodity asset can be more fully identified using a `CommodityProductDefinition`. +* **DigitalAsset**: An Asset that exists only in digital form, eg Bitcoin or Ethereum; excludes the digital representation + of other Assets. +* **Instrument**: An asset that is issued by one party to one or more others; Instrument is also a choice data type. The `Instrument` data type is further broken down using the `choice` construct: @@ -80,69 +84,149 @@ choice Instrument: ListedDerivative Loan Security - ``` with these attributes: -* ListedDerivative: A securitized derivative on another asset that is created by an exchange. -* Loan: An Asset that represents a loan or borrow obligation. -* Security: An Asset that is issued by a party to be held by or transferred to others. +* **ListedDerivative**: A securitized derivative on another asset that is created by an exchange. If the particular + contract cannot be fully identified using the `identifier`, the optional `deliveryTerm`, `optionType` and + `strike` attributes can be populated. +* **Loan**: An Asset that represents a loan or borrow obligation. As loans rarely have standard industry identifiers, + the data type includes optional attributes to help uniquely identify the loan, including `borrower`, `lien`, + `facilityType`, `creditAgreementDate` and `tranche`. +* **Security**: An Asset that is issued by a party to be held by or transferred to others. As "security" covers a + broad gamut of assets, the `securityType` attribute (which is a list of enumerators including "Debt" and "Equity") + must always be specified. Further categorisation, by `debtType`, `equityType` and `FundType`, can also be used + and are governed by conditions on the data type definition. + +### Observable + +In addition to assets, there are variables which can be observed in the markets and which can directly +influence the outcomes of financial products. In the CDM, the observed value represents the price of +an "observable". + +:::tip Definition: Observable + +The `Observable` data type specifies the reference object whose price is to be observed. +It could be an underlying asset, if it can be held or transferred, +or something which can be observed but not transferred, such as an index. + +::: + +In addition to `Asset`, the `Observable` is a choice betwen the following data types: + +``` Haskell +choice Observable: + Asset + Basket + Index +``` + +* **Asset**: The inclusion of Asset in Observable enables the price of an asset to be included within the definition of another +financial product. +* **Basket**: The object to be observed is a Basket, ie a collection of Observables with an identifier and optional weightings. +* **Index**: The object to be observed is an Index, ie an observable whose value is computed on the prices, rates or valuations +of a number of assets. + +The CDM allows both products and observables to be used as underlying building blocks to construct +more complex products (see the *[Underlier](#underlier)* section). ### Product ---- -**Note:** -The Product data type will be further refactored before the release of CDM 6. +The model defines a product using three attributes: ---- +* **identifier**: a product must have a unique identifier composed of an `identifier` string +and an `identifierType` enumerator that defines the symbology source of the identifier. +* **taxonomy**: a product can be classified according to one or more classification sources. +Compared to assets, the taxonomy value can be _inferred_ from the product's economic terms +rather than explicitly naming the product type. +* **economicTerms**: a parametric representation of the future financial obligations (e.g. cashflows) +generated by the product, built by composing payouts. + +The first two attributes are common with the definition of an asset. Therefore, the defining feature +of a product compared with an asset is that it includes economic terms. + +There are two types of products: + +* A **transferable product** associates an asset, itself transferable, with the economic terms describing that asset. +* A **non-transferable product** describes a commitment between two parties to one or more transfers of assets in the future. + +#### TransferableProduct -Financial products are represented in the -`Product` type, which is also constrained by a `one-of` condition, -meaning that for a single Tradable Product, there can only be one -Product. +Because an asset is a basic type of financial product, the `Asset` data type only needs to provide limited information +about that product: essentially it allows to identify the product using publicly available identifiers. + +Sometimes, there is a need to specify the full economic terms of that product, when that product in turn +generates some future asset transfers - e.g. cashflows in the case of a loan, bond or equity (dividends). +This is supported by the `TransferableProduct` data type. + +:::tip Definition: TransferableProduct + +A TransferableProduct is a type of Product which allows to specify the EconomicTerms of an Asset. +It can be used as the underlier of a basic Payout that describes the buying and selling of that Asset. + +::: ``` Haskell -type Product: +type TransferableProduct extends Asset: + economicTerms EconomicTerms (1..1) +``` + +Because `TransferableProduct` extends `Asset`, it inherits its `identifier` and `taxonomy` attributes from it. +In that case, those attributes are of type, respectively, `AssetIdentifier` and `Taxonomy`. + +#### NonTransferableProduct + +By contrast with a transferable product, which can be held by a single party who can in turn transfer it to another, +some financial products consist of bilateral agreements between two parties. As such, they cannot be freely transferred +by one of the parties to a third party (at least not without the consent of the other party). Such product is usually +materialised by a financial contract between those parties and can also be referred to as a "contractual" product. + +In the CDM, those products are represented by the `NonTransferableProduct` type: + +:::tip Definition: NonTransferableProduct + +A non-transferable product represents a financial product that is agreed bilaterally between two parties. +The data type species the financial product's economic terms alongside its identifier and taxonomy. +A non-transferable product is instantiated by a trade between the two parties that defines the tradable product, +and evolves through the CDM's lifecycle event model. + +::: + +``` Haskell +type NonTransferableProduct: [metadata key] - contractualProduct ContractualProduct (0..1) - index Index (0..1) - loan Loan (0..1) - foreignExchange ForeignExchange (0..1) - commodity Commodity (0..1) - security Security (0..1) - basket Basket (0..1) - - condition: one-of + identifier ProductIdentifier (0..*) + taxonomy ProductTaxonomy (0..*) + economicTerms EconomicTerms (1..1) ``` -The CDM allows any one of these products to included in a trade or used -as an underlier for another product (see the *Underlier* section). One -unlikely case for a direct trade is Index, which is primarily used as an -underlier. +While a `NonTransferableProduct` shares the `identifier` and `taxonomy` attributes with its `TransferableProduct` counterpart, +those attributes use different types, respectively: + +* **`ProductIdentifier`** uses a more restrictive enumerator to specify the `identifierType` compared to `AssetIdentifier`. +* **`ProductTaxonomy`** enriches the simpler `Taxonomy` data type with the product's primary and secondary asset classes +using the `AssetClassEnum`, which leverages the FpML classification. + +Compared with Asset and Observable, which are minimally defined, +the modelling of a contractual product requires a larger data structure +to support the representation of economic terms. -Among this set of products, the contractual product is the most -complicated and requires the largest data structure. In a contractual -product, an exchange of financial risk is materialised by a unique -bilateral contract that specifies the financial obligations of each -party. The terms of the contract are specified at trade inception and +The terms of the contract are specified at trade inception and apply throughout the life of the contract (which can last for decades -for certain long-dated products), unless amended by mutual agreement. -Contractual products are fungible (in other words, replaceable by other +for certain long-dated products) unless amended by mutual agreement. +Contractual products may be fungible (replaceable by other identical or similar contracts) only under specific terms: e.g. the existence of a close-out netting agreement between the parties. Given that each contractual product transaction is unique, all of the contract terms must be specified and stored in an easily accessible -transaction lifecycle model so that each party can evaluate the -financial and counterparty risks during the life of the agreement. +transaction lifecycle model so that each party can evaluate their +financial risks during the life of the agreement. Foreign Exchange (FX) spot and forward trades (including Non-Deliverable Forwards) and private loans also represent an exchange of financial risk represented by a form of bilateral agreements. FX forwards and private loans can have an extended term, and are generally not fungible. -However, these products share few other commonalities with contractual -products such as Interest Rate Swaps. Therefore, they are defined -separately. By contrast, in the case of the execution of a security (e.g. a listed equity), the exchange of finanical risk is a one-time event that takes @@ -153,49 +237,13 @@ identifiers are publically available. Therefore, the terms of the security do not have to be stored in a transaction lifecycle model, but can be referenced with public identifiers. -An Index product is an exception because it's not directly tradable, +An index-based product is an exception because it's not directly tradable, but is included here because it can be referenced as an underlier for a tradable product and can be identified by a public identifier. -### Observable - -:::tip[Definition: `Observable`] - -The `Observable` data type specifies the reference object to be observed -for a price, which could be an underlying asset or a reference to something -which can be observed but not actually transferred, such as an index or -a foreign exchange rate. +#### Product Scope -::: - -In addition to `Asset` (something that can be held or transferred in the -financial markets), an `Observable` is composed of one and only one -definition: - -``` Haskell -type Observable: - - asset Asset (0..1) - basket Basket (0..1) - index Index (0..1) - productIdentifier ProductIdentifier (0..*) - [metadata location] - rateOption FloatingRateOption (0..1) - [metadata location] - - condition: one-of -``` - -The definition of these attributes is as follows: - -* Basket: The object to be observed is a Basket, ie a collection of Observables with an identifier and optional weightings. -* CurrencyPair: The object to be observed is foreign exchange rate between two currencies. -* Index: The object to be observed is an Index, ie an observable computed on the prices, rates or valuations of a number of assets. - -### Contractual Product - -The scope of contractual products in the current model are summarized -below: +The scope of (non-transferable) products in the model is summarized below: - **Interest rate derivatives**: - Interest Rate Swaps (incl. cross-currency swaps, non-deliverable @@ -206,7 +254,7 @@ below: - OTC Options on Bonds - **Credit derivatives**: - Credit Default Swaps (incl. baskets, tranche, swaps with - mortgage and loans underlyers, ...) + mortgage and loan underliers, ...) - Options on Credit Default Swaps - **Equity derivatives**: - Equity Swaps (single name) @@ -217,24 +265,9 @@ below: - **Repurchase Agreements**: - Open Term, Fixed Term, Fixed Rate, Floating Rate -In the CDM, contractual products are represented by the -`ContractualProduct` type: - -``` Haskell -type ContractualProduct extends ProductBase: - [metadata key] - [metadata template] - productIdentifier ProductIdentifier (0..*) -``` - -Note that price, quantity and counterparties are defined in -`TradableProduct` as these are attributes common to all products. The -remaining economic terms of the contractual product are defined in -`EconomicTerms` which is an encapsulated type in `ContractualProduct` . - ### Economic Terms -:::tip[Definition: `EconomicTerms`] +:::tip Definition: EconomicTerms Represents the full set of features associated with a product: the payout component; the notional/quantity; the effective date, termination date and the date adjustment @@ -269,12 +302,12 @@ type EconomicTerms: The `Payout` type defines the composable payout types, each of which describes a set of terms and conditions for the financial -responsibilities between the contractual parties. Payout types can be +obligation between the contractual parties. Payout types can be combined to compose a product. For example, an Equity Swap can be composed by combining an `InterestRatePayout` and an `PerformancePayout`. -:::tip[Definition: `Payout`] +:::tip Definition: Payout Represents the set of future cashflow methodologies in the form of specific payout data type(s) which result from the financial product. @@ -292,7 +325,7 @@ type Payout: creditDefaultPayout CreditDefaultPayout (0..1) optionPayout OptionPayout (0..*) commodityPayout CommodityPayout (0..*) - forwardPayout ForwardPayout (0..*) + settlementPayout SettlementPayout (0..*) fixedPricePayout FixedPricePayout (0..*) cashflow Cashflow (0..*) performancePayout PerformancePayout (0..*) @@ -318,12 +351,11 @@ The list of payouts that extend _PayoutBase_ are: - `CreditDefaultPayout` - `OptionPayout` - `CommodityPayout` -- `ForwardPayout` +- `SettlementPayout` - `FixedPricePayout` - `Cashflow` - `PerformancePayout` - `AssetPayout` -- `SettlementPayout` - the `ProtectionTerms` data type encapsulated in `CreditDefaultPayout` @@ -420,7 +452,7 @@ quantity, and other details necessary to complete an execution of a security or a negotiated contract between two counterparties. Tradable products are represented by the `TradableProduct` data type. -:::tip[Definition: `TradableProduct`] +:::tip Definition: TradableProduct Definition of a financial product as ready to be traded, i.e. included in an execution or contract, by associating a specific price and quantity to @@ -434,7 +466,7 @@ same two counterparties. ``` Haskell type TradableProduct: - product Product (1..1) + product NonTransferableProduct (1..1) tradeLot TradeLot (1..*) counterparty Counterparty (2..2) ancillaryParty AncillaryParty (0..*) @@ -530,7 +562,7 @@ decreases (or unwind) are treated differently. An increase adds a new `TradeLot` instance to the tradadable product, whereas a decrease reduces the quantity of one or more of the existing trade lots. -:::tip[Definition: `Observable`] +:::tip Definition: TradeLot Specifies the prices and quantities of one or more trades, where the same product could be traded multiple times with the same counterparty @@ -593,8 +625,7 @@ type PriceQuantity: quantity NonNegativeQuantitySchedule (0..*) [metadata location] observable Observable (0..1) - buyerSeller BuyerSeller (0..1) - settlementTerms SettlementTerms (0..1) + [metadata location] effectiveDate AdjustableOrRelativeDate (0..1) ``` @@ -959,62 +990,56 @@ type CalculationPeriodDates: ### Underlier -The underlier attribute on types `OptionPayout`, `ForwardPayout` and -`EquityPayout` allows for any product to be used as the underlier for a -corresponding products option, forward, and equity swap. - -``` Haskell -type OptionPayout extends PayoutBase: - [metadata key] - buyerSeller BuyerSeller (1..1) - feature OptionFeature (0..1) - observationTerms ObservationTerms (0..1) - schedule CalculationSchedule (0..1) - delivery AssetDeliveryInformation (0..1) - underlier Product (1..1) - optionType OptionTypeEnum (0..1) - exerciseTerms ExerciseTerms (1..1) - strike OptionStrike (0..1) -``` +The concept of an underlier allows for financial products to be used +to drive outcomes within the definition of a corresponding product, for example +an option, forward, or equity swap. This nesting of the product component is another example of a composable product model. One use case is an interest rate swaption for which the -high-level product uses the `OptionPayout` type and underlier is an +high-level product uses the `OptionPayout` type and the underlier is an Interest Rate Swap composed of two `InterestRatePayout` types. Similiarly, the product underlying an Equity Swap composed of an -`InterestRatePayout` and an `EquityPayout` would be a non-contractual +`InterestRatePayout` and a `PerformancePayout` would be a transferable product: an equity security. -### Data Templates - -The `ContractualProduct` type is specified with the -`[metadata template]` annotation indicating that it is eligible to be -used as a template. - -Financial markets often trade a high volume of trades with near -identical contractual product data. Templates provide a way to store -this data more efficiently. The contractual product data which is -duplicated on each contract can be extracted into a single template and -replaced by a reference. This allows each trade to specify only the -unique contractual product data. The template reference can be resolved -to a template object which can then be merged in to form a single, -complete object. - -For instance, Equity Swaps used by Equity Financing desks sometimes -refer to a *Master Confirmation* agreement, which is an overall -agreement that specifies all the standard Equity Swap terms that do not -need to be renegotiated on each trade. Each contractual product would -only specify the unique product details (such as start and end date, -underlier, price and spread) together with a reference to the Master -Confirmation containing the template product details. - -Code libraries, written in Java and distributed with the CDM, contain -tools to merge CDM objects together. Implementors may extend these -merging tools to change the merging strategy to suit their requirements. -The CDM Java Examples download, available via the [CDM Portal Downloads -page](https://cdm.finos.org/docs/download/), contains a example demonstrating usage of a data template and -the merging tools. See -`com.regnosys.cdm.example.template.TemplateExample`. +In the simplest case, the underlier in an `AssetPayout` can only ever be +a security, so the definition within this data type is constrained as such. + +In a `CommodityPayout` or a `PerformancePayout`, the purpose of the underlier +is to influence the values of the future returns, so the appropriate data +type to use for the underlier is an Observable. + +In the case of a `SettlementPayout`, there are a variety of possible +outcomes as the settlement can be an Asset, the cash value of an Index, or +a TransferableProduct. Therefore, the choice data type `Underlier` has +been defined and is used as the underlier attribute in this payout. + +Option financial products allow for an even greater range of outcomes, so +the choice data type `OptionUnderlier` provides for both Observables and Products +(itself also a choice data type) to be used in an `OptionPayout`. + +``` Haskell +choice Underlier: + Observable + [metadata address "pointsTo"=PriceQuantity->observable] + Product + +choice Product: + TransferableProduct + NonTransferableProduct +``` + +**Use of underliers in payouts** + +The following table summarises the use of underliers for each of the main payout data types. + +| **Payout** | **Underlier Definition** | **Rationale** | +| :-------- | :------- | :------- | +| `AssetPayout` | `securityInformation Security (1..1)` | The underlier must be a `security` +| `CommodityPayout` | `underlier Observable (1..1)` | Identifies the underlying product that is referenced for pricing of the applicable leg in a swap. +| `OptionPayout` | `underlier OptionUnderlier (1..1)` | The underlier defines the exercise, which can be cash or physical, therefore it can be any of an Asset, Basket, Index or NonTransferableProduct +| `PerformancePayout` | `underlier Observable (0..1)` | The underlier is a pricing mechanism, ie an Observable +| `SettlementPayout` | `underlier Underlier (1..1)` | The underlier that is settled and can be an Asset, Index or TransferableProduct ### Identifiers @@ -1062,20 +1087,6 @@ condition Options: if optionType exists then strike exists else strike is absent ``` -#### Product Identifiers - -The abstract data type ProductBase serves as a base for all products -that have an identifier, as illustrated below: - -``` Haskell -type ProductBase: - productTaxonomy ProductTaxonomy (0..*) - economicTerms EconomicTerms (1..1) -``` - -The data types that extend from ProductBase are Commodity -and Security. - --- **Note:** The conditions for this data type are excluded from the snippet above @@ -1100,20 +1111,18 @@ type Security extends InstrumentBase: debtType DebtType (0..1) equityType EquityTypeEnum (0..1) fundType FundProductTypeEnum (0..1) - economicTerms EconomicTerms (0..1) - productTaxonomy ProductTaxonomy (0..*) -condition DebtSubType: - if securityType <> SecurityTypeEnum -> Debt - then debtType is absent + condition DebtSubType: + if securityType <> SecurityTypeEnum -> Debt + then debtType is absent -condition EquitySubType: - if securityType <> SecurityTypeEnum -> Equity - then equityType is absent + condition EquitySubType: + if securityType <> SecurityTypeEnum -> Equity + then equityType is absent -condition FundSubType: - if securityType <> SecurityTypeEnum -> Fund - then fundType is absent + condition FundSubType: + if securityType <> SecurityTypeEnum -> Fund + then fundType is absent ``` The product identifier will uniquely identify the security. The @@ -1188,7 +1197,7 @@ positioned as a CDM enumeration. The output of the qualification function is used to populate the `productQualifier` attribute of the `ProductTaxonomy` object, which is -created when a `ContractualProduct` object is created. The product +created when a `NonTransferableProduct` object is created. The product taxonomy includes both the product qualification generated by the CDM and any additional product taxonomy information which may come from the originating document, such as FpML. In this case, taxonomy schemes may diff --git a/docs/repurchase-agreement-representation.md b/docs/repurchase-agreement-representation.md index 3e6fdb0cf3..8ace2a26f1 100644 --- a/docs/repurchase-agreement-representation.md +++ b/docs/repurchase-agreement-representation.md @@ -20,8 +20,8 @@ contribution of the FINOS CDM for Repo and Bonds Steering Committee. The repo product model in the CDM does not follow any pre-defined taxonomy such as FpML or any regulatory model such as SFTR. Instead the repo model is agnostic to external models, messaging standards and -technology. The fundmental concepts in the repo model are based on -industry defintions of financial products, the GMRA and the ERCC Best +technology. The fundamental concepts in the repo model are based on +industry definitions of financial products, the GMRA and the ERCC Best Practices Guide. Repurchase transactions are represented in the CDM as contractual @@ -30,19 +30,19 @@ The types of repo products that can be defined in the CDM is almost unlimited using the `InterestRatePayout` and `AssetPayout` structure. At a minimum the model supports basic repo transactions, fixed term repo, open repo, fixed rate and floating rate with optionality for early -termination, evergreen and extendible. The model also support +termination, evergreen and extendable. The model also support buy/sell-back transactions. Repo lifecycle events are supported through a set of functions that accept a small set of inputs to auto-generate primitive instructions needed to execute business events. Repo lifecycle events include, -rolling, re-rating, interium payments, pair-off and shaping. +rolling, re-rating, interim payments, pair-off and shaping. # Benefits The benefits of using the CDM for repo transactions is that it provides a standard digital representation of the data required to define a repo -product and a standardized set of lifecyle events. +product and a standardized set of lifecycle events. Examples of where the CDM can be used in the repo market: @@ -53,17 +53,19 @@ Examples of where the CDM can be used in the repo market: - Capturing event history. - Market standard taxonomy and mapping interface to other platforms. -ICMA Contacts: \-\-\-\-\-\-\-\-\-\-\--Gabriel Callsen, Director - +44 (0)20 7213 0334 +ICMA Contacts: -Tom Healey, FINXIS LLC, Consultant +| Contact | Role | Email | Phone +| :--- | :--- | :--- | :--- | +| Gabriel Callsen | Director | | +44 (0)20 7213 0334 | +| Tom Healey | FINXIS LLC, Consultant | | # Scope The scope of the CDM Repo initiative was intended to define: - Consistent definition of buyer-seller entities based on LEI data -- Collateral, margin anf haircut attributes. +- Collateral, margin and haircut attributes. - Flexible interest rate payout model to support complex structures. - Standardized product taxonomy. - Predefine lifecycle event processing and event history. @@ -74,8 +76,9 @@ Building upon the CDM, the Repo CDM added new data types, attributes and events needed to create fixed term, open and floating rate repos, and execute various lifecycle events. -A repo product is formed from a ContractualProduct as an extension of -ProductBase. The payout structure for a repo is constructed using an +A repo product is composed as a contracted financial product in the +normal manner (see the [Product Model](/docs/product-model) section for more details). +The payout structure for a repo is constructed using an `InterestRatePayout` for the cash loan and `AssetPayout` for the collateral. @@ -92,18 +95,17 @@ from the PayoutBase. Collateral on a repo transaction is defined using `AssetPayout`. Security identification is set in the `securityInformation` attribute, -which itself is a `Product` allowing for the possibility of creating -products defined in terms of other products. Collateral may also be +which is a `Security` Asset. Collateral may also be defined using parameters such as currency, country, maturity and other -attributes available in `CollateralProvisions` to classify +attributes available in `CollateralProvisions` to classify. ## Purchase Date and Repurchase Date In `economicTerms`, the `effectiveDate` attribute represents the repo purchase date and the `terminationDate` is the repurchase date. For an open repo the `terminationDate` is not set until the repo terminates. -The external and global key references should include \"PurchaseDate and -\"RepurchaseDate\": +The external and global key references should include "PurchaseDate" and +"RepurchaseDate": ``` Javascript "effectiveDate": { @@ -200,13 +202,12 @@ Collateral is defined in `assetPayout->securityInformation`: ``` Javascript "securityInformation": { "security": { - "productIdentifier": [ + "identifier": [ { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "source": "ISIN" + "identifier": { + "value": "GB00B24FF097" + }, + "identifierType": "ISIN" }], "securityType": "DEBT" } @@ -273,8 +274,7 @@ components are needed: A fixed term, fixed rate repo example json structure can be found here: -Fixed-Term,Fixed-Rate Repo Product :download:json -\ +[Fixed-Term,Fixed-Rate Repo Product](https://github.com/finos/common-domain-model/blob/master/docs/code-snippets/fixed-term-fixed-rate-repo-product.json) The `priceQuantity` object is used to define the collateral value and repo rate. diff --git a/docs/securities-lending.md b/docs/securities-lending.md index 64dbcee568..25159ca78a 100644 --- a/docs/securities-lending.md +++ b/docs/securities-lending.md @@ -45,8 +45,8 @@ In a cash loan, the lender lends the borrower the requested securities, and the borrower provides cash as collateral against the securities that they are borrowing. -Loans against cash collateral are formed as a `ContractualProduct` that -includes an `InterestRatePayout` for the cash collateral, held under +Loans against cash collateral are formed as a `SettlemenetPayout` that +includes an `TransferableProduct` using a `Cash` asset for the cash collateral, held under `economicTerms->collateral`, and an `AssetPayout` for the security being lent, held under `economicTerms->payout`. @@ -73,17 +73,17 @@ security being lent is provided below: }, "collateralPortfolio": [ { "collateralPosition": [ { - "product": { - "contractualProduct": { "economicTerms": { "payout": { - "interestRatePayout": [ - { - ... - } - ] - } + "settlementPayout": [ + { + "underlier": { + "cash": { + } } + ... + } + ] } } } ] @@ -99,8 +99,8 @@ In a non-cash loan, the lender lends the borrower the requested securities, and the borrower provides collateral in the form of other securities or products. -Loans against non-cash collateral are formed as a `ContractualProduct` that -includes an `AssetPayout` for the non-cash collateral, held under +Loans against non-cash collateral are formed as a `NonTransferableProduct` that +includes a `SettlementPayout` containing with an `Asset` for the non-cash collateral, held under `economicTerms->collateral`, and another `AssetPayout` for the security being lent, held under `economicTerms->payout`. @@ -127,17 +127,17 @@ the security being lent is provided below: }, "collateralPortfolio": [ { "collateralPosition": [ { - "product": { - "contractualProduct": { "economicTerms": { "payout": { - "assetPayout": [ - { - ... - } - ] - } + "settlementPayout": [ + { + "underlier": { + "security": { + } } + ... + } + ] } } } ] @@ -152,8 +152,8 @@ In a cash pool loan, the lender lends the borrower the requested securities, and takes cash as collateral from a cash pool held by the lender on behalf of the borrower. -Loans against cash collateral are formed as a `ContractualProduct` that -includes an `InterestRatePayout` for the cash collateral, held under +Loans against cash collateral are formed as a `NonTransferableProduct` that +includes an `SettlementPayout` for the cash collateral, held under `economicTerms->collateral`, and an `AssetPayout` for the security being lent, held under `economicTerms->payout`. @@ -171,7 +171,7 @@ be defined in the `AssetPayout` of the product. This can be done using the `security` type under `securityInformation`. The details of the security should be entered in the attributes held within -the `security->productIdentifier` type, being the `identifier` and the `source`. +the `security->identifier` type, being the `identifier` and the `source`. ### Parties, Party Roles and Counterparties @@ -207,7 +207,7 @@ receiver of the collateral. The key factors that affect the earnings on a securities lending trade are the interest rate, price, loan quantity and loan value. These are all held in the -`priceQuantity` type, which is represented as a list, allowing multiple items +`priceQuantity` type, which is represented as a list, allowing multiple items to be specified. *Note: where a trade has multiple lots associated to it, each `tradeLot` can* @@ -394,15 +394,15 @@ security being lent should be populated. However, it is recommended that the `settlementDate` under both `assetPayout -> settlementTerms` types are set. For a trade against cash there would be an `assetPayout` for the securities -being lent and an `interestRatePayout` for the cash being used as collateral. +being lent and a `settlementPayout` for the cash being used as collateral. The security settlement date should be placed in the `settlementDate` under `settlementTerms` in the `assetPayout`, and the cash settlement date should be placed in the `settlementDate` under `settlementTerms` in the -`interestRatePayout`. +`settlementPayout`. *Note: For DVP trades the cash and security settlement dates will be the same.* *They should still be set under the `assetPayout->settlementTerms->settlementDate`* -*and `interestRatePayout->settlementTerms->settlementDate` types as described* +*and `settlementPayout->settlementTerms->settlementDate` types as described* *above.* #### Termination Date diff --git a/examples/pom.xml b/examples/pom.xml index 8f8aae7ca6..d19d636aa4 100644 --- a/examples/pom.xml +++ b/examples/pom.xml @@ -26,6 +26,10 @@ org.finos.cdm cdm-java + + com.regnosys + rosetta-common + com.regnosys rosetta-testing diff --git a/examples/src/main/java/com/regnosys/cdm/example/FxSwapContractCreation.java b/examples/src/main/java/com/regnosys/cdm/example/FxSwapContractCreation.java deleted file mode 100644 index 26f1713387..0000000000 --- a/examples/src/main/java/com/regnosys/cdm/example/FxSwapContractCreation.java +++ /dev/null @@ -1,238 +0,0 @@ -package com.regnosys.cdm.example; - -import cdm.base.datetime.AdjustableDates; -import cdm.base.math.NonNegativeQuantitySchedule; -import cdm.base.math.UnitType; -import cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule; -import cdm.base.math.metafields.ReferenceWithMetaNonNegativeQuantitySchedule; -import cdm.base.staticdata.asset.common.Index; -import cdm.base.staticdata.identifier.AssignedIdentifier; -import cdm.base.staticdata.party.*; -import cdm.base.staticdata.party.metafields.ReferenceWithMetaParty; -import cdm.event.common.Trade; -import cdm.event.common.TradeIdentifier; -import cdm.observable.asset.*; -import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule; -import cdm.product.asset.ForeignExchange; -import cdm.product.common.settlement.*; -import cdm.product.template.*; -import com.fasterxml.jackson.core.JsonProcessingException; -import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep; -import com.regnosys.rosetta.common.hashing.NonNullHashCollector; -import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; -import com.rosetta.model.lib.GlobalKey; -import com.rosetta.model.lib.RosettaModelObject; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.meta.Key; -import com.rosetta.model.lib.meta.Reference; -import com.rosetta.model.lib.process.PostProcessStep; -import com.rosetta.model.lib.records.Date; -import com.rosetta.model.metafields.FieldWithMetaDate; -import com.rosetta.model.metafields.FieldWithMetaString; -import com.rosetta.model.metafields.MetaFields; - -import java.math.BigDecimal; -import java.util.List; - -import static com.rosetta.model.lib.records.Date.of; - -public class FxSwapContractCreation { - - private final PostProcessStep keyProcessor; - - public FxSwapContractCreation() { - keyProcessor = new GlobalKeyProcessStep(NonNullHashCollector::new); - } - - public static void main(String[] args) throws JsonProcessingException { - FxSwapContractCreation fxSwapContractCreation = new FxSwapContractCreation(); - Trade fxSwapContract = fxSwapContractCreation.createFxSwapContractExample(); - - String json = RosettaObjectMapper.getNewRosettaObjectMapper().writerWithDefaultPrettyPrinter().writeValueAsString(fxSwapContract); - - System.out.println(json); - } - - /** - * @return FX Swap Trade - */ - private Trade createFxSwapContractExample() { - String currency1Str = "GBP"; - long quantity1 = 10000000; - - String currency2Str = "USD"; - long quantity2 = 14800000; - - double rate = 1.48; - - Party party1 = addGlobalKey(Party.class, - createParty("5493000SCC07UI6DB380", "http://www.fpml.org/coding-scheme/external/iso17442")); - - Party party2 = addGlobalKey(Party.class, - createParty("529900DTJ5A7S5UCBB52", "http://www.fpml.org/coding-scheme/external/iso17442")); - - PriceQuantity priceQuantity = createPriceQuantity(currency1Str, quantity1, currency2Str, quantity2, rate); - - Product underlier = createForeignExchangeUnderlier( - createExchangeCurrency(CounterpartyRoleEnum.PARTY_1, CounterpartyRoleEnum.PARTY_2), - createExchangeCurrency(CounterpartyRoleEnum.PARTY_2, CounterpartyRoleEnum.PARTY_1)); - - Date settlementDate = of(2001, 10, 25); - - Date tradeDate = of(2001, 10, 23); - - ContractualProduct contractualProduct = createContractualProduct(underlier, settlementDate); - - TradeIdentifier citi123 = createIdentifier("CITI123", "http://www.citi.com/fx/trade-id", party1); - TradeIdentifier barc987 = createIdentifier("BARC987", "http://www.barclays.com/fx/trade-id", party2); - - List identifiers = List.of(citi123, barc987); - List parties = List.of(party1, party2); - - return createFxSwapContract(identifiers, parties, priceQuantity, contractualProduct, tradeDate, party1, party2); - } - - private PriceQuantity createPriceQuantity(String currency1Str, long quantity1, String currency2Str, long quantity2, double rate) { - return PriceQuantity.builder() - .addPrice(FieldWithMetaPriceSchedule.builder() - .setMeta(MetaFields.builder() - .addKey(Key.builder() - .setScope("DOCUMENT") - .setKeyValue("price-1"))) - .setValue(Price.builder() - .setValue(BigDecimal.valueOf(rate)) - .setUnit(UnitType.builder() - .setCurrencyValue(currency1Str)) - .setPerUnitOf(UnitType.builder() - .setCurrencyValue(currency2Str)) - .setPriceType(PriceTypeEnum.EXCHANGE_RATE)) - ) - .addQuantity(FieldWithMetaNonNegativeQuantitySchedule.builder() - .setMeta(MetaFields.builder() - .addKey(Key.builder() - .setScope("DOCUMENT") - .setKeyValue("quantity-1"))) - .setValue(NonNegativeQuantitySchedule.builder() - .setValue(BigDecimal.valueOf(quantity1)) - .setUnit(UnitType.builder() - .setCurrencyValue(currency1Str)))) - .addQuantity(FieldWithMetaNonNegativeQuantitySchedule.builder() - .setMeta(MetaFields.builder() - .addKey(Key.builder() - .setScope("DOCUMENT") - .setKeyValue("quantity-2"))) - .setValue(NonNegativeQuantitySchedule.builder() - .setValue(BigDecimal.valueOf(quantity2)) - .setUnit(UnitType.builder() - .setCurrencyValue(currency2Str)))) - .setObservable(Observable.builder() - .setIndex(Index.builder() - .setForeignExchangeRate(ForeignExchangeRate.builder() - .setQuotedCurrencyPair(QuotedCurrencyPair.builder() - .setCurrency1Value(currency1Str) - .setCurrency2Value(currency2Str) - .setQuoteBasis(QuoteBasisEnum.CURRENCY_2_PER_CURRENCY_1))))) - .build(); - } - - private Trade createFxSwapContract(List identifiers, - List parties, - PriceQuantity priceQuantity, - ContractualProduct contractualProduct, - Date tradeDate, - Party party1, - Party party2) { - Trade trade = Trade.builder() - .addTradeIdentifier(identifiers) - .setTradableProduct(TradableProduct.builder() - .addCounterparty(Counterparty.builder() - .setPartyReferenceValue(party1) - .setRole(CounterpartyRoleEnum.PARTY_1)) - .addCounterparty(Counterparty.builder() - .setPartyReferenceValue(party2) - .setRole(CounterpartyRoleEnum.PARTY_2)) - .addTradeLot(TradeLot.builder() - .addPriceQuantity(priceQuantity)) - .setProduct(Product.builder().setContractualProduct(contractualProduct))) - .addParty(parties) - .setTradeDate(FieldWithMetaDate.builder().setValue(tradeDate).build()) - .build(); - - return addGlobalKey(Trade.class, trade); - } - - private Product createForeignExchangeUnderlier(Cashflow exchangedCurrency1, Cashflow exchangedCurrency2) { - return Product.builder() - .setForeignExchange(ForeignExchange.builder() - .setExchangedCurrency1(exchangedCurrency1) - .setExchangedCurrency2(exchangedCurrency2) - .build()) - .build(); - } - - private Cashflow createExchangeCurrency(CounterpartyRoleEnum payer, CounterpartyRoleEnum receiver) { - return Cashflow.builder() - .setPriceQuantity(ResolvablePriceQuantity.builder() - .setQuantitySchedule(ReferenceWithMetaNonNegativeQuantitySchedule.builder() - .setReference(Reference.builder() - .setScope("DOCUMENT") - .setReference("quantity-2")))) - .setPayerReceiver(PayerReceiver.builder() - .setPayer(payer) - .setReceiver(receiver)) - .build(); - } - - - private ContractualProduct createContractualProduct(Product underlier, Date settlementDate) { - return ContractualProduct.builder() - .setEconomicTerms(EconomicTerms.builder() - .setPayout(Payout.builder() - .addForwardPayout(ForwardPayout.builder() - .setSettlementTerms(SettlementTerms.builder() - .setSettlementDate(SettlementDate.builder() - .setAdjustableDates(AdjustableDates.builder() - .addAdjustedDateValue(settlementDate)))) - .setUnderlier(underlier))) - .build()); - } - - private Party createParty(String partyId, String scheme) { - return Party.builder().addPartyId(PartyIdentifier.builder() - .setIdentifierValue(partyId) - .setMeta(MetaFields.builder().setScheme(scheme).build()) - .build()) - .build(); - } - - private TradeIdentifier createIdentifier(String identifier, String scheme, Party issuer) { - return TradeIdentifier.builder().addAssignedIdentifier( - AssignedIdentifier.builder().setIdentifier( - FieldWithMetaString.builder().setValue(identifier) - .setMeta(MetaFields.builder() - .setScheme(scheme) - .build()) - .build()) - .build()) - .setIssuerReference(ReferenceWithMetaParty.builder() - .setGlobalReference(getGlobalReference(issuer)) - .build()) - .build(); - } - - /** - * Utility to post process a {@link RosettaModelObject} to add ll gloval keys. - */ - private T addGlobalKey(Class type, T modelObject) { - RosettaModelObjectBuilder builder = modelObject.toBuilder(); - keyProcessor.runProcessStep(type, builder); - return type.cast(builder.build()); - } - - /** - * Utility to get the global reference string from a {@link GlobalKey} instance. - */ - private String getGlobalReference(GlobalKey globalKey) { - return globalKey.getMeta().getGlobalKey(); - } -} diff --git a/examples/src/main/java/com/regnosys/cdm/example/Qualification.java b/examples/src/main/java/com/regnosys/cdm/example/Qualification.java deleted file mode 100644 index db2278ee90..0000000000 --- a/examples/src/main/java/com/regnosys/cdm/example/Qualification.java +++ /dev/null @@ -1,68 +0,0 @@ -package com.regnosys.cdm.example; - -import cdm.product.template.ContractualProduct; -import cdm.product.template.EconomicTerms; -import cdm.product.template.Payout; -import cdm.product.template.meta.EconomicTermsMeta; -import com.google.inject.Inject; -import com.regnosys.rosetta.common.postprocess.qualify.QualificationHandlerProvider; -import com.rosetta.model.lib.qualify.QualifyFunctionFactory; -import com.rosetta.model.lib.qualify.QualifyResult; -import com.rosetta.model.lib.qualify.QualifyResultsExtractor; -import org.isda.cdm.qualify.EconomicTermsQualificationHandler; - -import java.math.BigDecimal; - -import static com.regnosys.cdm.example.InterestRatePayoutCreation.getFixedRatePayout; -import static com.regnosys.cdm.example.InterestRatePayoutCreation.getFloatingRatePayout; -import static org.hamcrest.CoreMatchers.is; -import static org.hamcrest.MatcherAssert.assertThat; - -public class Qualification extends AbstractExample { - - @Inject - private QualifyFunctionFactory.Default qualifyFunctionFactory; - - @Inject - private QualificationHandlerProvider qualificationHandlerProvider; - - @Override - public void example() { - // Build an ContractualProduct containing an EconomicTerms with two InterestRatePayouts (e.g. an IRS). - // - var contractualProduct = ContractualProduct.builder() - .setEconomicTerms(EconomicTerms.builder() - .setPayout(Payout.builder() - .addInterestRatePayout(getFixedRatePayout(BigDecimal.valueOf(0.05))) - .addInterestRatePayout(getFloatingRatePayout()))) - .build(); - - - - // Extract the list of qualification function applicable to the EconomicTerms object - // - var qualifyFunctions = new EconomicTermsMeta().getQualifyFunctions(qualifyFunctionFactory); - - // Use the QualifyResultsExtractor helper to easily make use of qualification results - // - var qualificationResult = new QualifyResultsExtractor<>(qualifyFunctions, contractualProduct.getEconomicTerms()) - .getOnlySuccessResult() - .map(QualifyResult::getName) - .orElse("Failed to qualify"); - - System.out.println(qualificationResult); - assertThat(qualificationResult, is("InterestRate_IRSwap_FixedFloat")); - - - // Stamp the qualification value in the correct location using the qualification handler - // - EconomicTermsQualificationHandler qualificationHandler = new EconomicTermsQualificationHandler(); - var contractualProductBuilder = contractualProduct.toBuilder(); - qualificationHandler.setQualifier(contractualProductBuilder, qualificationResult); - assertThat(qualificationHandler.getQualifier(contractualProductBuilder), is("InterestRate_IRSwap_FixedFloat")); - } - - public static void main(String[] args) { - new Qualification().run(); - } -} diff --git a/examples/src/main/java/com/regnosys/cdm/example/Validation.java b/examples/src/main/java/com/regnosys/cdm/example/Validation.java deleted file mode 100644 index 6596893a6c..0000000000 --- a/examples/src/main/java/com/regnosys/cdm/example/Validation.java +++ /dev/null @@ -1,70 +0,0 @@ -package com.regnosys.cdm.example; - -import cdm.product.asset.InterestRatePayout; -import cdm.product.asset.meta.InterestRatePayoutMeta; -import cdm.product.template.Payout; -import cdm.product.template.validation.datarule.PayoutDayCountFraction; -import com.regnosys.rosetta.common.validation.RosettaTypeValidator; -import com.rosetta.model.lib.path.RosettaPath; -import com.rosetta.model.lib.validation.ValidationResult; -import com.rosetta.model.lib.validation.ValidatorFactory; - -import javax.inject.Inject; -import java.math.BigDecimal; -import java.util.Comparator; - -/** - * Illustration of how to invoke validations on a CDM object as well as - * individual validations - */ -public class Validation extends AbstractExample { - - @Inject - private ValidatorFactory.Default validatorFactory; - - @Inject - private RosettaTypeValidator validator; - - @Inject - private PayoutDayCountFraction condition; - - @Override - public void example() { - var fixedRatePayout = InterestRatePayoutCreation.getFixedRatePayout(BigDecimal.valueOf(0.05)); - - // Recursively run all validators for an object - // - validator.runProcessStep(InterestRatePayout.class, fixedRatePayout.toBuilder()) - .getValidationResults().forEach(System.out::println); - - // The validators for a single class can be accessed via it's meta class - // - var fixedRatePayoutMeta = (InterestRatePayoutMeta) fixedRatePayout.metaData(); - - // the meta class offers granularity over which types of Validators to extract - // - var validators = fixedRatePayoutMeta.dataRules(validatorFactory); - - // fixedRatePayoutMeta.validator() returns the cardinality validator for fixedRatePayout - // - validators.add(fixedRatePayoutMeta.validator()); - - // Run Validators - // - validators.stream() - .map(validator -> validator.validate(RosettaPath.valueOf("InterestRatePayout"), fixedRatePayout)) - .sorted(Comparator.comparing(ValidationResult::isSuccess, Boolean::compareTo)) // failures first - .forEach(System.out::println); - - // Individual Validators can be invoked for further debugging - // - var validationResult = condition - .validate(RosettaPath.valueOf("InterestRatePayout"), Payout.builder().addInterestRatePayout(fixedRatePayout).build()); - - System.out.println("\nSingle validation result:\n" + validationResult); - } - - public static void main(String[] args) { - new Validation().run(); - } -} diff --git a/examples/src/main/java/com/regnosys/cdm/example/qualify/QualificationReportExample.java b/examples/src/main/java/com/regnosys/cdm/example/qualify/QualificationReportExample.java deleted file mode 100644 index 8d41fcce3e..0000000000 --- a/examples/src/main/java/com/regnosys/cdm/example/qualify/QualificationReportExample.java +++ /dev/null @@ -1,44 +0,0 @@ -package com.regnosys.cdm.example.qualify; - -import cdm.event.common.TradeState; -import com.google.common.io.Resources; -import com.google.inject.Guice; -import com.google.inject.Injector; -import com.regnosys.rosetta.common.postprocess.qualify.QualificationReport; -import com.regnosys.rosetta.common.postprocess.qualify.QualificationResult; -import com.regnosys.rosetta.common.postprocess.qualify.QualifyProcessorStep; -import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; -import org.finos.cdm.CdmRuntimeModule; - -import java.io.IOException; -import java.net.URL; -import java.util.Collection; - -public class QualificationReportExample { - - public QualificationReportExample() { - } - - public static void main(String[] args) throws IOException { - - URL resource = Resources.getResource("result-json-files/fpml-5-10/products/rates/bond-option-uti.json"); - TradeState tradeState = RosettaObjectMapper.getNewRosettaObjectMapper().readValue(resource, TradeState.class); - - - Injector injector = Guice.createInjector(new CdmRuntimeModule()); - QualifyProcessorStep qualifyProcessorStep = injector.getInstance(QualifyProcessorStep.class); - - QualificationReport qualificationReport = qualifyProcessorStep.runProcessStep(tradeState.getType(), tradeState.toBuilder()); - - int qualifiableObjectsCount = qualificationReport.getUniquelyQualifiedObjectsCount(); - - System.out.println("The number of unique qualifications was " + qualifiableObjectsCount); - - qualificationReport.getResults().stream() - .map(QualificationResult::getAllQualifyResults) - .flatMap(Collection::stream) - .sorted((c, o) -> Boolean.compare(o.isSuccess(), c.isSuccess())) - .forEach(x -> System.out.println(String.format("Qualification %s: %-50s - %s", x.isSuccess() ? "PASS" : "FAIL", x.getName(), x.getExpressionDataRuleResults()))); - - } -} diff --git a/examples/src/main/java/com/regnosys/cdm/example/util/ProductIdentifiers.java b/examples/src/main/java/com/regnosys/cdm/example/util/ProductIdentifiers.java deleted file mode 100644 index 6ab37077b6..0000000000 --- a/examples/src/main/java/com/regnosys/cdm/example/util/ProductIdentifiers.java +++ /dev/null @@ -1,11 +0,0 @@ -package com.regnosys.cdm.example.util; - -import cdm.base.staticdata.asset.common.ProductIdentifier; - -public class ProductIdentifiers { - - public static boolean areEqual(ProductIdentifier left, ProductIdentifier right) { - return left.getIdentifier().getValue().equals(right.getIdentifier().getValue()) - && left.getSource().equals(right.getSource()); - } -} diff --git a/examples/src/main/java/com/regnosys/cdm/example/util/ResourcesUtils.java b/examples/src/main/java/com/regnosys/cdm/example/util/ResourcesUtils.java deleted file mode 100644 index da4175e418..0000000000 --- a/examples/src/main/java/com/regnosys/cdm/example/util/ResourcesUtils.java +++ /dev/null @@ -1,35 +0,0 @@ -package com.regnosys.cdm.example.util; - -import com.google.common.io.Resources; -import com.regnosys.rosetta.common.hashing.ReferenceResolverProcessStep; -import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; -import com.rosetta.model.lib.RosettaModelObject; -import org.isda.cdm.processor.CdmReferenceConfig; - -import java.io.IOException; -import java.net.URL; -import java.nio.charset.StandardCharsets; - -public class ResourcesUtils { - - public static String getJson(String resourceName) throws IOException { - URL url = Resources.getResource(resourceName); - String json = Resources.toString(url, StandardCharsets.UTF_8); - return json; - } - - public static T getObject(Class clazz, String resourceName) throws IOException { - String json = getJson(resourceName); - return RosettaObjectMapper.getNewRosettaObjectMapper().readValue(json, clazz); - } - - public static T getObjectAndResolveReferences(Class clazz, String resourceName) throws IOException { - T object = getObject(clazz, resourceName); - return resolveReferences(object); - } - private static T resolveReferences(T object) { - RosettaModelObject builder = object.toBuilder(); - new ReferenceResolverProcessStep(CdmReferenceConfig.get()).runProcessStep(builder.getType(), builder); - return (T) builder.build(); - } -} diff --git a/examples/src/main/java/com/regnosys/cdm/example/DemoCdmRuntimeModule.java b/examples/src/main/java/org/finos/cdm/example/DemoCdmRuntimeModule.java similarity index 78% rename from examples/src/main/java/com/regnosys/cdm/example/DemoCdmRuntimeModule.java rename to examples/src/main/java/org/finos/cdm/example/DemoCdmRuntimeModule.java index 7d58e4f6bd..7c2fa4c23d 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/DemoCdmRuntimeModule.java +++ b/examples/src/main/java/org/finos/cdm/example/DemoCdmRuntimeModule.java @@ -1,7 +1,7 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; import cdm.product.asset.functions.ResolveRateIndex; -import com.regnosys.cdm.example.functions.impls.NoOpResolveRateIndexImpl; +import org.finos.cdm.example.functions.impls.NoOpResolveRateIndexImpl; import org.finos.cdm.CdmRuntimeModule; public class DemoCdmRuntimeModule extends CdmRuntimeModule { diff --git a/examples/src/main/java/com/regnosys/cdm/example/EnumSerialisation.java b/examples/src/main/java/org/finos/cdm/example/EnumSerialisation.java similarity index 97% rename from examples/src/main/java/com/regnosys/cdm/example/EnumSerialisation.java rename to examples/src/main/java/org/finos/cdm/example/EnumSerialisation.java index f75f8930ef..e98e563375 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/EnumSerialisation.java +++ b/examples/src/main/java/org/finos/cdm/example/EnumSerialisation.java @@ -1,7 +1,8 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; import cdm.base.datetime.daycount.DayCountFractionEnum; import com.fasterxml.jackson.databind.ObjectMapper; +import org.finos.cdm.example.util.AbstractExample; import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; import org.slf4j.Logger; import org.slf4j.LoggerFactory; diff --git a/examples/src/main/java/com/regnosys/cdm/example/InterestRatePayoutCreation.java b/examples/src/main/java/org/finos/cdm/example/InterestRatePayoutCreation.java similarity index 92% rename from examples/src/main/java/com/regnosys/cdm/example/InterestRatePayoutCreation.java rename to examples/src/main/java/org/finos/cdm/example/InterestRatePayoutCreation.java index 902b200912..ea6c41ef73 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/InterestRatePayoutCreation.java +++ b/examples/src/main/java/org/finos/cdm/example/InterestRatePayoutCreation.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; import cdm.base.datetime.*; import cdm.base.datetime.daycount.DayCountFractionEnum; @@ -10,7 +10,8 @@ import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum; import cdm.base.staticdata.party.CounterpartyRoleEnum; import cdm.base.staticdata.party.PayerReceiver; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; +import cdm.observable.asset.InterestRateIndex; import cdm.observable.asset.Price; import cdm.observable.asset.PriceTypeEnum; import cdm.observable.asset.metafields.ReferenceWithMetaPriceSchedule; @@ -75,12 +76,13 @@ public static InterestRatePayout getFloatingRatePayout() { .setPeriod(PeriodExtendedEnum.M))) .setRateSpecification(RateSpecification.builder() - .setFloatingRate(FloatingRateSpecification.builder() - .setRateOptionValue(FloatingRateOption.builder() - .setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_LIBOR_BBA) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(6))))) + .setFloatingRateSpecification(FloatingRateSpecification.builder() + .setRateOptionValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_LIBOR_BBA) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(6)))))) .setPayerReceiver(PayerReceiver.builder() .setPayer(CounterpartyRoleEnum.PARTY_1) @@ -129,7 +131,7 @@ public static InterestRatePayout getFixedRatePayout(BigDecimal fixedRate) { .build()) .build()) .setRateSpecification(RateSpecification.builder() - .setFixedRate(FixedRateSpecification.builder() + .setFixedRateSpecification(FixedRateSpecification.builder() .setRateSchedule(RateSchedule.builder() .setPrice(ReferenceWithMetaPriceSchedule.builder() .setReference(Reference.builder() diff --git a/examples/src/main/java/org/finos/cdm/example/ValidateAndQualifySample.java b/examples/src/main/java/org/finos/cdm/example/ValidateAndQualifySample.java new file mode 100644 index 0000000000..8db43b5bcb --- /dev/null +++ b/examples/src/main/java/org/finos/cdm/example/ValidateAndQualifySample.java @@ -0,0 +1,48 @@ +package org.finos.cdm.example; + +import cdm.event.common.TradeState; +import com.google.inject.Inject; +import org.finos.cdm.example.util.AbstractExample; +import org.finos.cdm.example.util.ResourcesUtils; +import com.regnosys.rosetta.common.postprocess.qualify.QualificationReport; +import com.regnosys.rosetta.common.postprocess.qualify.QualifyProcessorStep; +import com.regnosys.rosetta.common.validation.RosettaTypeValidator; +import com.regnosys.rosetta.common.validation.ValidationReport; +import org.slf4j.Logger; +import org.slf4j.LoggerFactory; + +import static org.finos.cdm.example.util.ResourcesUtils.serialiseAsJson; + +public class ValidateAndQualifySample extends AbstractExample { + + private static final Logger LOGGER = LoggerFactory.getLogger(ValidateAndQualifySample.class); + + @Inject + RosettaTypeValidator validateProcessor; + + @Inject + QualifyProcessorStep qualifyProcessor; + + @Override + public void example() throws RuntimeException { + // Deserialise (and resolve references) + String resourceName = "result-json-files/fpml-5-10/products/rates/EUR-Vanilla-uti.json"; + TradeState tradeState = ResourcesUtils.getObjectAndResolveReferences(TradeState.class, resourceName); + TradeState.TradeStateBuilder tradeStateBuilder = tradeState.toBuilder(); + + // Qualify + QualificationReport report = qualifyProcessor.runProcessStep(TradeState.class, tradeStateBuilder); + report.logReport(); + // Result object with qualification result set on the object + TradeState qualifiedTradeState = (TradeState) report.getResultObject().build(); + LOGGER.info(serialiseAsJson(qualifiedTradeState)); + + // Validate + ValidationReport validationReport = validateProcessor.runProcessStep(TradeState.class, tradeStateBuilder); + validationReport.logReport(); // logs validation failures as DEBUG and validation success as TRACE + } + + public static void main(String[] args) { + new ValidateAndQualifySample().run(); + } +} diff --git a/examples/src/main/java/com/regnosys/cdm/example/functions/FixedRateCalculationWithFunction.java b/examples/src/main/java/org/finos/cdm/example/functions/FixedRateCalculationWithFunction.java similarity index 93% rename from examples/src/main/java/com/regnosys/cdm/example/functions/FixedRateCalculationWithFunction.java rename to examples/src/main/java/org/finos/cdm/example/functions/FixedRateCalculationWithFunction.java index ae87cd5e5c..afc969e297 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/functions/FixedRateCalculationWithFunction.java +++ b/examples/src/main/java/org/finos/cdm/example/functions/FixedRateCalculationWithFunction.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import cdm.base.datetime.daycount.DayCountFractionEnum; import cdm.base.datetime.daycount.metafields.FieldWithMetaDayCountFractionEnum; @@ -6,8 +6,8 @@ import cdm.product.asset.InterestRatePayout; import cdm.product.asset.functions.FixedAmount; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExample; -import com.regnosys.cdm.example.InterestRatePayoutCreation; +import org.finos.cdm.example.util.AbstractExample; +import org.finos.cdm.example.InterestRatePayoutCreation; import com.rosetta.model.lib.records.Date; import java.math.BigDecimal; diff --git a/examples/src/main/java/com/regnosys/cdm/example/functions/FloatingRateCalculationWithFunction.java b/examples/src/main/java/org/finos/cdm/example/functions/FloatingRateCalculationWithFunction.java similarity index 93% rename from examples/src/main/java/com/regnosys/cdm/example/functions/FloatingRateCalculationWithFunction.java rename to examples/src/main/java/org/finos/cdm/example/functions/FloatingRateCalculationWithFunction.java index d0bad99df7..6d74b3d769 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/functions/FloatingRateCalculationWithFunction.java +++ b/examples/src/main/java/org/finos/cdm/example/functions/FloatingRateCalculationWithFunction.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import cdm.base.datetime.daycount.DayCountFractionEnum; import cdm.base.datetime.daycount.metafields.FieldWithMetaDayCountFractionEnum; @@ -6,8 +6,8 @@ import cdm.product.asset.InterestRatePayout; import cdm.product.asset.functions.FloatingAmount; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExample; -import com.regnosys.cdm.example.InterestRatePayoutCreation; +import org.finos.cdm.example.util.AbstractExample; +import org.finos.cdm.example.InterestRatePayoutCreation; import com.rosetta.model.lib.records.Date; import java.math.BigDecimal; diff --git a/examples/src/main/java/com/regnosys/cdm/example/functions/InterestRateCalculationExample.java b/examples/src/main/java/org/finos/cdm/example/functions/InterestRateCalculationExample.java similarity index 94% rename from examples/src/main/java/com/regnosys/cdm/example/functions/InterestRateCalculationExample.java rename to examples/src/main/java/org/finos/cdm/example/functions/InterestRateCalculationExample.java index a1405f59f3..005756c880 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/functions/InterestRateCalculationExample.java +++ b/examples/src/main/java/org/finos/cdm/example/functions/InterestRateCalculationExample.java @@ -1,11 +1,11 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import cdm.base.math.NonNegativeQuantity; import cdm.product.asset.functions.FixedAmount; import cdm.product.asset.functions.FloatingAmount; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExample; -import com.regnosys.cdm.example.InterestRatePayoutCreation; +import org.finos.cdm.example.util.AbstractExample; +import org.finos.cdm.example.InterestRatePayoutCreation; import com.rosetta.model.lib.records.Date; import java.math.BigDecimal; diff --git a/examples/src/main/java/com/regnosys/cdm/example/functions/impls/NoOpResolveRateIndexImpl.java b/examples/src/main/java/org/finos/cdm/example/functions/impls/NoOpResolveRateIndexImpl.java similarity index 87% rename from examples/src/main/java/com/regnosys/cdm/example/functions/impls/NoOpResolveRateIndexImpl.java rename to examples/src/main/java/org/finos/cdm/example/functions/impls/NoOpResolveRateIndexImpl.java index 73d2e0782f..c6bc7a4aa2 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/functions/impls/NoOpResolveRateIndexImpl.java +++ b/examples/src/main/java/org/finos/cdm/example/functions/impls/NoOpResolveRateIndexImpl.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example.functions.impls; +package org.finos.cdm.example.functions.impls; import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum; import cdm.product.asset.functions.ResolveRateIndex; diff --git a/examples/src/main/java/com/regnosys/cdm/example/globalkey/GlobalKeyHash.java b/examples/src/main/java/org/finos/cdm/example/globalkey/GlobalKeyHash.java similarity index 92% rename from examples/src/main/java/com/regnosys/cdm/example/globalkey/GlobalKeyHash.java rename to examples/src/main/java/org/finos/cdm/example/globalkey/GlobalKeyHash.java index cd4a6ff65f..50cb300ada 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/globalkey/GlobalKeyHash.java +++ b/examples/src/main/java/org/finos/cdm/example/globalkey/GlobalKeyHash.java @@ -1,7 +1,7 @@ -package com.regnosys.cdm.example.globalkey; +package org.finos.cdm.example.globalkey; import cdm.product.asset.InterestRatePayout; -import com.regnosys.cdm.example.InterestRatePayoutCreation; +import org.finos.cdm.example.InterestRatePayoutCreation; import com.rosetta.model.lib.process.PostProcessStep; import com.rosetta.model.metafields.MetaFields; diff --git a/examples/src/main/java/com/regnosys/cdm/example/globalkey/SerialisingHashFunction.java b/examples/src/main/java/org/finos/cdm/example/globalkey/SerialisingHashFunction.java similarity index 98% rename from examples/src/main/java/com/regnosys/cdm/example/globalkey/SerialisingHashFunction.java rename to examples/src/main/java/org/finos/cdm/example/globalkey/SerialisingHashFunction.java index 03fd39840c..44d43ce6e5 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/globalkey/SerialisingHashFunction.java +++ b/examples/src/main/java/org/finos/cdm/example/globalkey/SerialisingHashFunction.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example.globalkey; +package org.finos.cdm.example.globalkey; import com.fasterxml.jackson.core.JsonProcessingException; import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; diff --git a/examples/src/main/java/com/regnosys/cdm/example/AbstractExample.java b/examples/src/main/java/org/finos/cdm/example/util/AbstractExample.java similarity index 81% rename from examples/src/main/java/com/regnosys/cdm/example/AbstractExample.java rename to examples/src/main/java/org/finos/cdm/example/util/AbstractExample.java index 3fb7a210e8..419bfe5ce8 100644 --- a/examples/src/main/java/com/regnosys/cdm/example/AbstractExample.java +++ b/examples/src/main/java/org/finos/cdm/example/util/AbstractExample.java @@ -1,7 +1,8 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example.util; import com.google.inject.Guice; import com.google.inject.Injector; +import org.finos.cdm.example.DemoCdmRuntimeModule; public abstract class AbstractExample { diff --git a/examples/src/main/java/org/finos/cdm/example/util/ResourcesUtils.java b/examples/src/main/java/org/finos/cdm/example/util/ResourcesUtils.java new file mode 100644 index 0000000000..ad1aa676a5 --- /dev/null +++ b/examples/src/main/java/org/finos/cdm/example/util/ResourcesUtils.java @@ -0,0 +1,59 @@ +package org.finos.cdm.example.util; + +import com.fasterxml.jackson.core.JsonProcessingException; +import com.fasterxml.jackson.databind.ObjectWriter; +import com.google.common.io.Resources; +import com.regnosys.rosetta.common.hashing.ReferenceResolverProcessStep; +import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; +import com.rosetta.model.lib.RosettaModelObject; +import org.isda.cdm.processor.CdmReferenceConfig; + +import java.io.IOException; +import java.io.UncheckedIOException; +import java.net.URL; +import java.nio.charset.StandardCharsets; + +public class ResourcesUtils { + + private static final ObjectWriter OBJECT_WRITER = + RosettaObjectMapper + .getNewMinimalRosettaObjectMapper() + .writerWithDefaultPrettyPrinter(); + + public static String getJson(String resourceName) { + try { + URL url = Resources.getResource(resourceName); + return Resources.toString(url, StandardCharsets.UTF_8); + } catch (IOException e) { + throw new UncheckedIOException(e); + } + } + + public static T getObject(Class clazz, String resourceName) { + try { + String json = getJson(resourceName); + return RosettaObjectMapper.getNewRosettaObjectMapper().readValue(json, clazz); + } catch (JsonProcessingException e) { + throw new UncheckedIOException(e); + } + } + + public static T getObjectAndResolveReferences(Class clazz, String resourceName) { + T object = getObject(clazz, resourceName); + return resolveReferences(object); + } + + private static T resolveReferences(T object) { + RosettaModelObject builder = object.toBuilder(); + new ReferenceResolverProcessStep(CdmReferenceConfig.get()).runProcessStep(builder.getType(), builder); + return (T) builder.build(); + } + + public static String serialiseAsJson(RosettaModelObject o) { + try { + return OBJECT_WRITER.writeValueAsString(o); + } catch (JsonProcessingException e) { + throw new RuntimeException(e); + } + } +} diff --git a/examples/src/test/java/com/regnosys/cdm/example/QualificationTest.java b/examples/src/test/java/com/regnosys/cdm/example/QualificationTest.java deleted file mode 100644 index 1735c32c91..0000000000 --- a/examples/src/test/java/com/regnosys/cdm/example/QualificationTest.java +++ /dev/null @@ -1,16 +0,0 @@ -package com.regnosys.cdm.example; - -import com.google.inject.Inject; -import org.junit.jupiter.api.Test; - -class QualificationTest extends AbstractExampleTest { - - @Inject - private Qualification qualification; - - @Test - void shouldRunWithoutExceptions() { - qualification.run(); - } - -} \ No newline at end of file diff --git a/examples/src/test/java/com/regnosys/cdm/example/TestObjectsFactory.java b/examples/src/test/java/com/regnosys/cdm/example/TestObjectsFactory.java deleted file mode 100644 index eaa07165be..0000000000 --- a/examples/src/test/java/com/regnosys/cdm/example/TestObjectsFactory.java +++ /dev/null @@ -1,181 +0,0 @@ -package com.regnosys.cdm.example; - -import cdm.base.datetime.AdjustableDates; -import cdm.base.math.NonNegativeQuantitySchedule; -import cdm.base.math.UnitType; -import cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule; -import cdm.base.staticdata.asset.common.*; -import cdm.base.staticdata.identifier.AssignedIdentifier; -import cdm.base.staticdata.party.*; -import cdm.base.staticdata.party.metafields.ReferenceWithMetaParty; -import cdm.event.common.*; -import cdm.legaldocumentation.common.ClosedState; -import cdm.observable.asset.Money; -import cdm.observable.asset.Observable; -import cdm.observable.asset.Price; -import cdm.observable.asset.PriceTypeEnum; -import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule; -import cdm.product.common.settlement.*; -import cdm.product.template.Product; -import cdm.product.template.TradableProduct; -import cdm.product.template.TradeLot; -import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep; -import com.regnosys.rosetta.common.hashing.NonNullHashCollector; -import com.regnosys.rosetta.common.hashing.ReKeyProcessStep; -import com.rosetta.model.lib.meta.Key; -import com.rosetta.model.lib.process.PostProcessStep; -import com.rosetta.model.lib.records.Date; -import com.rosetta.model.metafields.FieldWithMetaDate; -import com.rosetta.model.metafields.FieldWithMetaString; -import com.rosetta.model.metafields.MetaFields; - -import java.math.BigDecimal; -import java.time.LocalDate; -import java.util.Arrays; -import java.util.List; -import java.util.Optional; - -/** - * Class to generate sample data for unit tests - */ -public class TestObjectsFactory { - - public static final String CUSIP_US1234567891 = "US1234567891"; - public static final String CUSIP_DH9105730505 = "DH9105730505"; - public static final String CURRENCY_USD = "USD"; - public static final String CLIENT_A_ID = "c1"; - public static final String CLIENT_A_NAME = "clientA"; - public static final String EXECUTING_BROKER_ID = "b1"; - public static final String EXECUTING_BROKER_NAME = "executingBroker"; - public static final String COUNTERPARTY_BROKER_A_ID = "b2"; - public static final String COUNTERPARTY_BROKER_A_NAME = "counterpartyBrokerA"; - public static final String COUNTERPARTY_BROKER_B_ID = "b3"; - public static final String COUNTERPARTY_BROKER_B_NAME = "counterpartyBrokerB"; - - private final List postProcessors; - - public TestObjectsFactory() { - GlobalKeyProcessStep globalKeyProcessStep = new GlobalKeyProcessStep(NonNullHashCollector::new); - this.postProcessors = Arrays.asList(globalKeyProcessStep, - new ReKeyProcessStep(globalKeyProcessStep)); - } - - public TradeState getTradeState(int tradeId, LocalDate tradeDate, String cusip, long quantity, double dirtyPrice, double cleanPrice, String tradedCurrency, LocalDate settlementDate, - boolean isExecutingEntityBuy, Party clientParty, Party executingBrokerParty, Party counterpartyBrokerParty) { - - TradeState.TradeStateBuilder tradeStateBuilder = TradeState.builder() - .setTrade(Trade.builder() - .setExecutionDetails(ExecutionDetails.builder() - .setExecutionType(ExecutionTypeEnum.ELECTRONIC) - .setExecutionVenue(LegalEntity.builder().setName(FieldWithMetaString.builder().setValue("Tradeweb").build()).build())) - .addTradeIdentifier(getIdentifier("tradeId" + tradeId, executingBrokerParty.getMeta().getExternalKey())) - .setTradeDate(FieldWithMetaDate.builder().setValue(Date.of(tradeDate)).build()) - .setTradableProduct(TradableProduct.builder() - .setProduct(getProduct(cusip)) - .addTradeLot(TradeLot.builder() - .addPriceQuantity(getPriceQuantity(quantity, cusip, cleanPrice, tradedCurrency, - getSettlementTerms(settlementDate, dirtyPrice, quantity, tradedCurrency))))) - .addParty(clientParty) - .addParty(executingBrokerParty) - .addParty(counterpartyBrokerParty) - .addPartyRole(getPartyRole(executingBrokerParty, isExecutingEntityBuy ? PartyRoleEnum.BUYER : PartyRoleEnum.SELLER)) - .addPartyRole(getPartyRole(counterpartyBrokerParty, isExecutingEntityBuy ? PartyRoleEnum.SELLER : PartyRoleEnum.BUYER)) - .addPartyRole(getPartyRole(clientParty, PartyRoleEnum.CLIENT)) - .addPartyRole(getPartyRole(executingBrokerParty, PartyRoleEnum.EXECUTING_ENTITY)) - .addPartyRole(getPartyRole(counterpartyBrokerParty, PartyRoleEnum.COUNTERPARTY))) - .setState(State.builder() - .setClosedState(ClosedState.builder())); - - // Generate global key/references etc - postProcessors.forEach(postProcessStep -> postProcessStep.runProcessStep(TradeState.class, tradeStateBuilder)); - - return tradeStateBuilder.build(); - } - - private PartyRole getPartyRole(Party party, PartyRoleEnum partyRole) { - return PartyRole.builder() - .setPartyReference(ReferenceWithMetaParty.builder() - .setExternalReference(party.getMeta().getExternalKey()) - .setValue(party)) - .setRole(partyRole) - .build(); - } - - public Party getParty(String id, String partyId, Account account) { - Party.PartyBuilder partyBuilder = Party.builder() - .setMeta(MetaFields.builder() - .setExternalKey(id) - .build()) - .addPartyId(PartyIdentifier.builder() - .setIdentifierValue(partyId) - .setMeta(MetaFields.builder() - .setScheme("http://www.fpml.org/coding-scheme/external") - .build()) - .build()); - - Optional.ofNullable(account).ifPresent(partyBuilder::setAccount); - - return partyBuilder.build(); - } - - private TradeIdentifier getIdentifier(String identifier, String issuer) { - return TradeIdentifier.builder() - .addAssignedIdentifier(AssignedIdentifier.builder() - .setIdentifier(FieldWithMetaString.builder().setValue(identifier).build())) - .setIssuerReference(ReferenceWithMetaParty.builder().setExternalReference(issuer).build()) - .build(); - } - - private PriceQuantity getPriceQuantity(double notional, String productIdentifier, double cleanPrice, String tradedCurrency, SettlementTerms settlementTerms) { - return PriceQuantity.builder() - .addPrice(FieldWithMetaPriceSchedule.builder() - .setMeta(MetaFields.builder() - .addKey(Key.builder() - .setScope("DOCUMENT") - .setKeyValue("cleanPrice-1"))) - .setValue(Price.builder() - .setValue(BigDecimal.valueOf(cleanPrice)) - .setUnit(UnitType.builder() - .setCurrencyValue(tradedCurrency)) - .setPriceType(PriceTypeEnum.ASSET_PRICE))) - .addQuantity(FieldWithMetaNonNegativeQuantitySchedule.builder() - .setMeta(MetaFields.builder().addKey(Key.builder() - .setScope("DOCUMENT") - .setKeyValue("notional-1"))) - .setValue(NonNegativeQuantitySchedule.builder() - .setValue(BigDecimal.valueOf(notional)) - .setUnit(UnitType.builder() - .setCurrencyValue(tradedCurrency)))) - .setObservable(Observable.builder() - .addProductIdentifierValue(ProductIdentifier.builder() - .setIdentifierValue(productIdentifier) - .setSource(ProductIdTypeEnum.CUSIP))) - .setSettlementTerms(settlementTerms) - .build(); - } - - private Product getProduct(String productId) { - return Product.builder() - .setSecurity(Security.builder() - .addIdentifier(AssetIdentifier.builder() - .setIdentifierValue(productId) - .setIdentifierType(AssetIdTypeEnum.CUSIP)) - .setSecurityType(SecurityTypeEnum.DEBT)) - .build(); - } - - private SettlementTerms getSettlementTerms(LocalDate settlementDate, double dirtyPrice, long quantity, String settlementCurrency) { - return SettlementTerms.builder() - .setSettlementDate(SettlementDate.builder() - .setAdjustableDates(AdjustableDates.builder() - .addAdjustedDateValue(Date.of(settlementDate)))) - .addCashSettlementTerms(CashSettlementTerms.builder() - .setCashSettlementAmount(Money.builder() - .setValue(BigDecimal.valueOf(dirtyPrice * quantity)) - .setUnit(UnitType.builder() - .setCurrencyValue(settlementCurrency)))) - .setSettlementCurrencyValue(settlementCurrency) - .setTransferSettlementType(TransferSettlementEnum.DELIVERY_VERSUS_PAYMENT) - .build(); - } -} diff --git a/examples/src/test/java/com/regnosys/cdm/example/template/TemplateExampleTest.java b/examples/src/test/java/com/regnosys/cdm/example/template/TemplateExampleTest.java deleted file mode 100644 index 6a8803b62c..0000000000 --- a/examples/src/test/java/com/regnosys/cdm/example/template/TemplateExampleTest.java +++ /dev/null @@ -1,127 +0,0 @@ -package com.regnosys.cdm.example.template; - -import cdm.event.common.TradeState; -import cdm.product.template.ContractualProduct; -import com.fasterxml.jackson.core.JsonProcessingException; -import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep; -import com.regnosys.rosetta.common.hashing.NonNullHashCollector; -import com.regnosys.rosetta.common.hashing.ReKeyProcessStep; -import com.regnosys.rosetta.common.merging.MergeTemplateProcessStep; -import com.regnosys.rosetta.common.merging.SimpleMerger; -import com.regnosys.rosetta.common.merging.SimpleSplitter; -import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; -import com.regnosys.rosetta.common.util.RosettaModelObjectSupplier; -import com.rosetta.model.lib.RosettaModelObject; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.process.PostProcessStep; -import org.junit.jupiter.api.BeforeEach; -import org.junit.jupiter.api.Disabled; -import org.junit.jupiter.api.Test; - -import java.io.IOException; -import java.util.Arrays; -import java.util.List; -import java.util.Optional; -import java.util.function.Consumer; - -import static com.regnosys.cdm.example.util.ResourcesUtils.getObject; -import static java.util.Optional.of; -import static org.junit.jupiter.api.Assertions.assertEquals; - -/** - * Test to demonstrate how to use data templates in the CDM. - * - * Regenerate sample data with com.regnosys.granite.ingestor.template.GenerateTemplateExampleJsonWriter. - * - * @see com.regnosys.rosetta.common.merging.MergeTemplateProcessStep - * @see com.regnosys.rosetta.common.util.RosettaModelObjectSupplier - * @see com.rosetta.model.lib.process.BuilderMerger - * @see com.regnosys.rosetta.common.merging.SimpleMerger - * @see com.regnosys.rosetta.common.merging.SimpleSplitter - */ -public class TemplateExampleTest { - - private RosettaModelObjectSupplier templateSupplier; - private Consumer reKeyPostProcessor; - - @BeforeEach - void setUp() throws IOException { - // ContractualProduct template object - ContractualProduct contractualProductTemplate = - getObject(ContractualProduct.class, "template/contractual-product-template.json"); - - // Simple implementation that returns the contractual product template based on type and global key - templateSupplier = new RosettaModelObjectSupplier() { - @Override - public Optional get(Class clazz, String globalKey) { - if (ContractualProduct.class.isAssignableFrom(clazz) && globalKey.equals(contractualProductTemplate.getMeta().getGlobalKey())) { - return of((T) contractualProductTemplate); - } - return Optional.empty(); - } - }; - - // Post-processors to re-generate key based on external keys which is injected into the merger / splitter. - // Real implementations may or may not need to post-process the result builder, depending on their approach to creating ids / keys. - GlobalKeyProcessStep globalKeyProcessStep = new GlobalKeyProcessStep(NonNullHashCollector::new); - List postProcessors = Arrays.asList(globalKeyProcessStep, new ReKeyProcessStep(globalKeyProcessStep)); - reKeyPostProcessor = (builder) -> postProcessors.forEach(p -> p.runProcessStep(TradeState.class, builder)); - } - - /** - * The input is a TradeState that contains a partially populated ContractualProduct with a reference to a template, and following a template - * merge, the output is a fully populated valid TradeState object. - * - * The processor MergeTemplateProcessStep traverses through the TradeState object and when it finds a template reference, it gets the template - * object using the RosettaModelObjectSupplier, and merges it into the TradeState using the SimpleMerger to create a fully populated valid object. - * - * Input file: template/trade-state-unmerged.json - * Template file: template/contractual-product-template.json - * Output file: template/trade-state-merged.json - * - * @throws IOException if json file look up fails. - */ - @Disabled - @Test - void shouldMergeContractualProductTemplateIntoContract() throws IOException { - TradeState.TradeStateBuilder builder = getObject(TradeState.class, "template/trade-state-unmerged.json").toBuilder(); - - new MergeTemplateProcessStep(new SimpleMerger(), templateSupplier, reKeyPostProcessor).runProcessStep(TradeState.class, builder); - - TradeState merged = builder.build(); - TradeState expected = getObject(TradeState.class, "template/trade-state-merged.json"); - assertEquals(toJson(expected), toJson(merged)); - } - - /** - * The input is a TradeState fully populated ContractualProduct, and following a template split, the output is a partially populated TradeState - * object with a reference to a template. - * - * The processor MergeTemplateProcessStep traverses through the TradeState object and when it finds a template reference, it gets the template - * object using the RosettaModelObjectSupplier, and subtracts the template from the TradeState using the SimpleSplitter to create a partially - * populated TradeState object. - * - * Input file: template/trade-state-merged.json - * Template file: template/contractual-product-template.json - * Output file: template/trade-state-unmerged.json - * - * @throws IOException if json file look up fails. - */ - @Test - void shouldSplitContractualProductTemplateAndContract() throws IOException { - TradeState.TradeStateBuilder builder = getObject(TradeState.class, "template/trade-state-merged.json").toBuilder(); - - new MergeTemplateProcessStep(new SimpleSplitter(), templateSupplier, reKeyPostProcessor).runProcessStep(TradeState.class, builder); - - TradeState unmerged = builder.build(); - TradeState expected = getObject(TradeState.class, "template/trade-state-unmerged.json"); - assertEquals(toJson(expected), toJson(unmerged)); - } - - /** - * Diff json rather than the object because it's more readable. - */ - private String toJson(Object object) throws JsonProcessingException { - return RosettaObjectMapper.getNewRosettaObjectMapper().writerWithDefaultPrettyPrinter().writeValueAsString(object); - } -} diff --git a/examples/src/test/java/com/regnosys/cdm/example/AbstractExampleTest.java b/examples/src/test/java/org/finos/cdm/example/AbstractExampleTest.java similarity index 94% rename from examples/src/test/java/com/regnosys/cdm/example/AbstractExampleTest.java rename to examples/src/test/java/org/finos/cdm/example/AbstractExampleTest.java index b6b957b151..633dd9b1b0 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/AbstractExampleTest.java +++ b/examples/src/test/java/org/finos/cdm/example/AbstractExampleTest.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; import com.google.inject.Guice; import com.google.inject.Injector; diff --git a/examples/src/test/java/com/regnosys/cdm/example/CdmDemoTestsModule.java b/examples/src/test/java/org/finos/cdm/example/CdmDemoTestsModule.java similarity index 79% rename from examples/src/test/java/com/regnosys/cdm/example/CdmDemoTestsModule.java rename to examples/src/test/java/org/finos/cdm/example/CdmDemoTestsModule.java index 2c04f8fb93..4d2a6a430c 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/CdmDemoTestsModule.java +++ b/examples/src/test/java/org/finos/cdm/example/CdmDemoTestsModule.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; public class CdmDemoTestsModule extends DemoCdmRuntimeModule { diff --git a/examples/src/test/java/com/regnosys/cdm/example/EnumSerialisationTest.java b/examples/src/test/java/org/finos/cdm/example/EnumSerialisationTest.java similarity index 89% rename from examples/src/test/java/com/regnosys/cdm/example/EnumSerialisationTest.java rename to examples/src/test/java/org/finos/cdm/example/EnumSerialisationTest.java index 58ea4b24fe..8883bd1139 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/EnumSerialisationTest.java +++ b/examples/src/test/java/org/finos/cdm/example/EnumSerialisationTest.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; import com.google.inject.Inject; import org.junit.jupiter.api.Test; diff --git a/examples/src/test/java/com/regnosys/cdm/example/SerialisationTest.java b/examples/src/test/java/org/finos/cdm/example/SerialisationTest.java similarity index 97% rename from examples/src/test/java/com/regnosys/cdm/example/SerialisationTest.java rename to examples/src/test/java/org/finos/cdm/example/SerialisationTest.java index afc025a777..b3dca13511 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/SerialisationTest.java +++ b/examples/src/test/java/org/finos/cdm/example/SerialisationTest.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example; +package org.finos.cdm.example; import cdm.event.common.TradeState; import cdm.product.asset.InterestRatePayout; @@ -16,7 +16,6 @@ import java.nio.file.Path; import static org.hamcrest.MatcherAssert.assertThat; -import static org.hamcrest.core.IsEqual.equalTo; import static org.junit.jupiter.api.Assertions.assertEquals; import static org.junit.jupiter.api.Assertions.assertNotNull; diff --git a/examples/src/test/java/org/finos/cdm/example/ValidateAndQualifySampleTest.java b/examples/src/test/java/org/finos/cdm/example/ValidateAndQualifySampleTest.java new file mode 100644 index 0000000000..ceddb6dfa3 --- /dev/null +++ b/examples/src/test/java/org/finos/cdm/example/ValidateAndQualifySampleTest.java @@ -0,0 +1,15 @@ +package org.finos.cdm.example; + +import com.google.inject.Inject; +import org.junit.jupiter.api.Test; + +public class ValidateAndQualifySampleTest extends AbstractExampleTest { + + @Inject + private ValidateAndQualifySample validateAndQualifySample; + + @Test + void shouldRunWithoutExceptions() { + validateAndQualifySample.run(); + } +} diff --git a/examples/src/test/java/com/regnosys/cdm/example/functions/CreateEligibleCollateralSpecificationFromInstructionTest.java b/examples/src/test/java/org/finos/cdm/example/functions/CreateEligibleCollateralSpecificationFromInstructionTest.java similarity index 96% rename from examples/src/test/java/com/regnosys/cdm/example/functions/CreateEligibleCollateralSpecificationFromInstructionTest.java rename to examples/src/test/java/org/finos/cdm/example/functions/CreateEligibleCollateralSpecificationFromInstructionTest.java index 94cad37a68..c3e58763be 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/functions/CreateEligibleCollateralSpecificationFromInstructionTest.java +++ b/examples/src/test/java/org/finos/cdm/example/functions/CreateEligibleCollateralSpecificationFromInstructionTest.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import cdm.base.datetime.Period; import cdm.base.datetime.PeriodBound; @@ -8,8 +8,8 @@ import cdm.product.collateral.*; import cdm.product.collateral.functions.Create_EligibleCollateralSpecificationFromInstruction; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExampleTest; -import com.regnosys.cdm.example.util.ResourcesUtils; +import org.finos.cdm.example.AbstractExampleTest; +import org.finos.cdm.example.util.ResourcesUtils; import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; import org.junit.jupiter.api.Test; diff --git a/examples/src/test/java/com/regnosys/cdm/example/functions/CreateNovationEventTest.java b/examples/src/test/java/org/finos/cdm/example/functions/CreateNovationEventTest.java similarity index 97% rename from examples/src/test/java/com/regnosys/cdm/example/functions/CreateNovationEventTest.java rename to examples/src/test/java/org/finos/cdm/example/functions/CreateNovationEventTest.java index 9ee0f17eb7..f6b49ccda7 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/functions/CreateNovationEventTest.java +++ b/examples/src/test/java/org/finos/cdm/example/functions/CreateNovationEventTest.java @@ -1,4 +1,4 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import cdm.base.math.NonNegativeQuantitySchedule; import cdm.base.math.QuantityChangeDirectionEnum; @@ -14,11 +14,11 @@ import cdm.event.workflow.WorkflowStep; import cdm.event.workflow.functions.Create_AcceptedWorkflowStepFromInstruction; import cdm.legaldocumentation.common.ClosedStateEnum; -import cdm.product.common.settlement.PriceQuantity; +import cdm.observable.asset.PriceQuantity; import com.google.common.collect.Lists; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExampleTest; -import com.regnosys.cdm.example.util.ResourcesUtils; +import org.finos.cdm.example.AbstractExampleTest; +import org.finos.cdm.example.util.ResourcesUtils; import com.regnosys.rosetta.common.postprocess.WorkflowPostProcessor; import com.rosetta.model.lib.RosettaModelObject; import com.rosetta.model.lib.RosettaModelObjectBuilder; diff --git a/examples/src/test/java/com/regnosys/cdm/example/functions/CreatePartialTerminationEventTest.java b/examples/src/test/java/org/finos/cdm/example/functions/CreatePartialTerminationEventTest.java similarity index 94% rename from examples/src/test/java/com/regnosys/cdm/example/functions/CreatePartialTerminationEventTest.java rename to examples/src/test/java/org/finos/cdm/example/functions/CreatePartialTerminationEventTest.java index fbe5a1839a..7bb46fd00c 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/functions/CreatePartialTerminationEventTest.java +++ b/examples/src/test/java/org/finos/cdm/example/functions/CreatePartialTerminationEventTest.java @@ -1,7 +1,10 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import cdm.base.datetime.AdjustableOrAdjustedOrRelativeDate; -import cdm.base.math.*; +import cdm.base.math.NonNegativeQuantity; +import cdm.base.math.NonNegativeQuantitySchedule; +import cdm.base.math.QuantityChangeDirectionEnum; +import cdm.base.math.UnitType; import cdm.base.staticdata.identifier.AssignedIdentifier; import cdm.base.staticdata.identifier.Identifier; import cdm.base.staticdata.party.PartyReferencePayerReceiver; @@ -13,10 +16,10 @@ import cdm.event.workflow.WorkflowStep; import cdm.event.workflow.functions.Create_AcceptedWorkflowStepFromInstruction; import cdm.observable.asset.FeeTypeEnum; -import cdm.product.common.settlement.PriceQuantity; +import cdm.observable.asset.PriceQuantity; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExampleTest; -import com.regnosys.cdm.example.util.ResourcesUtils; +import org.finos.cdm.example.AbstractExampleTest; +import org.finos.cdm.example.util.ResourcesUtils; import com.regnosys.rosetta.common.postprocess.WorkflowPostProcessor; import com.rosetta.model.lib.RosettaModelObject; import com.rosetta.model.lib.RosettaModelObjectBuilder; @@ -85,8 +88,8 @@ private WorkflowStep getWorkflowStepInstruction() throws IOException { .setMeta(MetaFields.builder().setScheme(CURRENCY_SCHEME)))))); // Transfer instruction specifying the partial termination fee - ReferenceWithMetaParty payerPartyReference = beforeTradeState.getTrade().getTradableProduct().getCounterparty().get(0).getPartyReference(); - ReferenceWithMetaParty receiverPartyReference = beforeTradeState.getTrade().getTradableProduct().getCounterparty().get(1).getPartyReference(); + ReferenceWithMetaParty payerPartyReference = beforeTradeState.getTrade().getCounterparty().get(0).getPartyReference(); + ReferenceWithMetaParty receiverPartyReference = beforeTradeState.getTrade().getCounterparty().get(1).getPartyReference(); TransferInstruction transferInstruction = TransferInstruction.builder() .addTransferState(TransferState.builder() .setTransfer(Transfer.builder() @@ -157,7 +160,7 @@ private void assertWorkflowStep(WorkflowStep eventWorkflowStep) { TradeState afterTradeState = businessEvent.getAfter().get(0); // Assert new decreased notional - NonNegativeQuantitySchedule quantity = afterTradeState.getTrade().getTradableProduct() + NonNegativeQuantitySchedule quantity = afterTradeState.getTrade() .getTradeLot().get(0) .getPriceQuantity().get(0) .getQuantity().get(0).getValue(); diff --git a/examples/src/test/java/com/regnosys/cdm/example/functions/FixedRateCalculationWithFunctionTest.java b/examples/src/test/java/org/finos/cdm/example/functions/FixedRateCalculationWithFunctionTest.java similarity index 63% rename from examples/src/test/java/com/regnosys/cdm/example/functions/FixedRateCalculationWithFunctionTest.java rename to examples/src/test/java/org/finos/cdm/example/functions/FixedRateCalculationWithFunctionTest.java index b2055a04be..cfc9b997d3 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/functions/FixedRateCalculationWithFunctionTest.java +++ b/examples/src/test/java/org/finos/cdm/example/functions/FixedRateCalculationWithFunctionTest.java @@ -1,8 +1,7 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExampleTest; -import com.regnosys.cdm.example.functions.FixedRateCalculationWithFunction; +import org.finos.cdm.example.AbstractExampleTest; import org.junit.jupiter.api.Test; class FixedRateCalculationWithFunctionTest extends AbstractExampleTest { diff --git a/examples/src/test/java/com/regnosys/cdm/example/functions/FloatingRateCalculationWithFunctionTest.java b/examples/src/test/java/org/finos/cdm/example/functions/FloatingRateCalculationWithFunctionTest.java similarity index 66% rename from examples/src/test/java/com/regnosys/cdm/example/functions/FloatingRateCalculationWithFunctionTest.java rename to examples/src/test/java/org/finos/cdm/example/functions/FloatingRateCalculationWithFunctionTest.java index 207a60e734..bab577dbfa 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/functions/FloatingRateCalculationWithFunctionTest.java +++ b/examples/src/test/java/org/finos/cdm/example/functions/FloatingRateCalculationWithFunctionTest.java @@ -1,8 +1,7 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExampleTest; -import com.regnosys.cdm.example.functions.FloatingRateCalculationWithFunction; +import org.finos.cdm.example.AbstractExampleTest; import org.junit.jupiter.api.Test; class FloatingRateCalculationWithFunctionTest extends AbstractExampleTest { diff --git a/examples/src/test/java/com/regnosys/cdm/example/functions/InterestRateCalculationExampleTest.java b/examples/src/test/java/org/finos/cdm/example/functions/InterestRateCalculationExampleTest.java similarity index 77% rename from examples/src/test/java/com/regnosys/cdm/example/functions/InterestRateCalculationExampleTest.java rename to examples/src/test/java/org/finos/cdm/example/functions/InterestRateCalculationExampleTest.java index 6c3f58a2b6..b9f5b05ea5 100644 --- a/examples/src/test/java/com/regnosys/cdm/example/functions/InterestRateCalculationExampleTest.java +++ b/examples/src/test/java/org/finos/cdm/example/functions/InterestRateCalculationExampleTest.java @@ -1,7 +1,7 @@ -package com.regnosys.cdm.example.functions; +package org.finos.cdm.example.functions; import com.google.inject.Inject; -import com.regnosys.cdm.example.AbstractExampleTest; +import org.finos.cdm.example.AbstractExampleTest; import org.junit.jupiter.api.Test; class InterestRateCalculationExampleTest extends AbstractExampleTest { diff --git a/examples/src/test/resources/logback-test.xml b/examples/src/test/resources/logback-test.xml index 5dca8d711c..049064109d 100644 --- a/examples/src/test/resources/logback-test.xml +++ b/examples/src/test/resources/logback-test.xml @@ -11,8 +11,8 @@ - - + + diff --git a/examples/src/test/resources/template/contractual-product-template.json b/examples/src/test/resources/template/contractual-product-template.json deleted file mode 100644 index d114d38dc0..0000000000 --- a/examples/src/test/resources/template/contractual-product-template.json +++ /dev/null @@ -1,172 +0,0 @@ -{ - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" - } - }, - "meta" : { - "globalKey" : "b9792af6" - } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "underlier" : { - "security" : { - "isExchangeListed" : true, - "exchange" : { - "entityId" : [ { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - } ], - "meta" : { - "globalKey" : "247344" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "c2888d50" - } - }, - "meta" : { - "globalKey" : "599bda69" - } - } ], - "meta" : { - "globalKey" : "748b3a33" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "810160b7" - } -} \ No newline at end of file diff --git a/examples/src/test/resources/template/trade-state-merged.json b/examples/src/test/resources/template/trade-state-merged.json deleted file mode 100644 index 22e50c25fd..0000000000 --- a/examples/src/test/resources/template/trade-state-merged.json +++ /dev/null @@ -1,711 +0,0 @@ -{ - "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, - "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] - }, - "meta" : { - "globalKey" : "97fde1d6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" - } - }, - "meta" : { - "globalKey" : "e67a4a96" - } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, - "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" - } - }, - "valuationTimeType" : "Close", - "meta" : { - "globalKey" : "2276b670" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "96fa6685" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "55829e23" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "55829e23", - "externalKey" : "FinalEquityPaymentDate" - } - } - }, - "meta" : { - "globalKey" : "b133b78f", - "externalKey" : "EquityPaymentDate" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "entityId" : [ { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - } ], - "meta" : { - "globalKey" : "247344" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "4fa43e79" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] - } - }, - "meta" : { - "globalKey" : "64a37ab4" - } - } ], - "meta" : { - "globalKey" : "c27479ca" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "templateGlobalReference" : "810160b7", - "globalKey" : "4afc6f9a" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "entityId" : [ { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - } ], - "meta" : { - "globalKey" : "247344" - } - }, - "securityType" : "Equity" - } - } - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "meta" : { - "globalKey" : "45a781f4" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, - "meta" : { - "globalKey" : "78376b45" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ], - "adjustment" : "Execution" - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "Party A", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - } - }, - "meta" : { - "globalKey" : "33f59567" - } - } ], - "meta" : { - "globalKey" : "33f59567", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "Party B", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - } - }, - "meta" : { - "globalKey" : "33f59568" - } - } ], - "meta" : { - "globalKey" : "33f59568", - "externalKey" : "party2" - } - } ], - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MasterAgreement", - "masterAgreementType" : { - "value" : "ISDAMaster" - } - }, - "vintage" : 2002 - }, - "contractualParty" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ], - "meta" : { - "globalKey" : "c5ed4b0b" - } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "Confirmation", - "contractualDefinitionsType" : [ { - "value" : "ISDA2000" - }, { - "value" : "ISDA2002EquityDerivatives" - } ] - } - }, - "contractualParty" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ], - "meta" : { - "globalKey" : "ca2edcc9" - } - } ], - "governingLaw" : { - "value" : "GBEN" - }, - "meta" : { - "globalKey" : "faaaf22" - } - }, - "meta" : { - "globalKey" : "3774111e" - } - }, - "meta" : { - "globalKey" : "3774111e" - } -} \ No newline at end of file diff --git a/examples/src/test/resources/template/trade-state-unmerged.json b/examples/src/test/resources/template/trade-state-unmerged.json deleted file mode 100644 index 6b05013f06..0000000000 --- a/examples/src/test/resources/template/trade-state-unmerged.json +++ /dev/null @@ -1,568 +0,0 @@ -{ - "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, - "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] - }, - "meta" : { - "globalKey" : "97fde1d6" - } - }, - "meta" : { - "globalKey" : "3bce0bd8" - } - } ], - "performancePayout" : [ { - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, - "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" - } - }, - "valuationTimeType" : "Close", - "meta" : { - "globalKey" : "2276b670" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "96fa6685" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" - } - } - }, - "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ] - }, - "meta" : { - "globalKey" : "38627937" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] - } - }, - "meta" : { - "globalKey" : "63224126" - } - } ], - "meta" : { - "globalKey" : "ba4b46fe" - } - } - }, - "meta" : { - "templateGlobalReference" : "810160b7", - "globalKey" : "ba4b46fe" - } - }, - "meta" : { - "globalKey" : "ba4b46fe" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "entityId" : [ { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - } ], - "meta" : { - "globalKey" : "247344" - } - }, - "securityType" : "Equity" - } - } - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "meta" : { - "globalKey" : "45a781f4" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, - "meta" : { - "globalKey" : "78376b45" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ], - "adjustment" : "Execution" - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "Party A", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - } - }, - "meta" : { - "globalKey" : "33f59567" - } - } ], - "meta" : { - "globalKey" : "33f59567", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "Party B", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" - } - }, - "meta" : { - "globalKey" : "33f59568" - } - } ], - "meta" : { - "globalKey" : "33f59568", - "externalKey" : "party2" - } - } ], - "contractDetails" : { - "documentation" : [ { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "MasterAgreement", - "masterAgreementType" : { - "value" : "ISDAMaster" - } - }, - "vintage" : 2002 - }, - "contractualParty" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ], - "meta" : { - "globalKey" : "55a4012a" - } - }, { - "legalAgreementIdentification" : { - "agreementName" : { - "agreementType" : "Confirmation", - "contractualDefinitionsType" : [ { - "value" : "ISDA2000" - }, { - "value" : "ISDA2002EquityDerivatives" - } ] - } - }, - "contractualParty" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ], - "meta" : { - "globalKey" : "34ba30e8" - } - } ], - "governingLaw" : { - "value" : "GBEN" - }, - "meta" : { - "globalKey" : "d01b90c2" - } - }, - "meta" : { - "globalKey" : "fc934d44" - } - }, - "meta" : { - "globalKey" : "fc934d44" - } -} \ No newline at end of file diff --git a/pom.xml b/pom.xml index 9e0c00d417..9a7292aac7 100644 --- a/pom.xml +++ b/pom.xml @@ -80,7 +80,7 @@ s01.oss.sonatype.org 10 - 11.23.0 + 11.23.2 ${rosetta.bundle.version} 9.19.0 diff --git a/rosetta-source/src/main/java/cdm/base/math/processor/OpenUnitsMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/math/processor/OpenUnitsMappingProcessor.java index 7b9f8c3fe3..7413a78738 100644 --- a/rosetta-source/src/main/java/cdm/base/math/processor/OpenUnitsMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/math/processor/OpenUnitsMappingProcessor.java @@ -12,7 +12,6 @@ import java.util.Optional; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMappedValue; -import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMapping; @SuppressWarnings("unused") public class OpenUnitsMappingProcessor extends MappingProcessor { diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/AssetIdentifierTypeMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/AssetIdentifierTypeMappingProcessor.java index d1103650ec..1c03c5f515 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/AssetIdentifierTypeMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/AssetIdentifierTypeMappingProcessor.java @@ -16,8 +16,6 @@ /** * Update asset identifier type enum based on the instrumentIdScheme or productIdScheme. - * - * @see cdm.base.staticdata.asset.common.processor.ProductIdentifierSourceMappingProcessor */ @SuppressWarnings("unused") public class AssetIdentifierTypeMappingProcessor extends MappingProcessor { @@ -28,12 +26,13 @@ public AssetIdentifierTypeMappingProcessor(RosettaPath modelPath, List syn public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { MappingProcessorUtils.getNonNullMappingForModelPath(getMappings(), PathUtils.toPath(getModelPath().newSubPath("value"))) - .map(m -> m.getXmlPath()) - .ifPresent(xmlPath -> { + .ifPresent(mapping -> { AssetIdentifierBuilder assetIdentifierBuilder = (AssetIdentifierBuilder) parent; FieldWithMetaStringBuilder assetIdentifierValueBuilder = (FieldWithMetaStringBuilder) builder; - - updateSchemeAndSource(xmlPath, assetIdentifierBuilder, assetIdentifierValueBuilder); + + // use the model path from the mapping so the indexes are correct + Path baseModelPath = mapping.getRosettaPath().getParent(); + updateSchemeAndSource(mapping.getXmlPath(), baseModelPath, assetIdentifierBuilder, assetIdentifierValueBuilder); // If unset, set to OTHER if (assetIdentifierBuilder.getIdentifierType() == null) { @@ -42,26 +41,42 @@ public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaMode }); } - protected void updateSchemeAndSource(Path xmlPath, AssetIdentifierBuilder assetIdentifierBuilder, FieldWithMetaStringBuilder assetIdentifierValueBuilder) { - setValueAndUpdateMappings(xmlPath.addElement("instrumentIdScheme"), - xmlValue -> { - // Update scheme - assetIdentifierValueBuilder.getOrCreateMeta().setScheme(xmlValue); - // Update Source - assetIdentifierBuilder.setIdentifierType(getSourceEnum(xmlValue)); - }); - setValueAndUpdateMappings(xmlPath.addElement("productIdScheme"), - xmlValue -> { - // Update scheme - assetIdentifierValueBuilder.getOrCreateMeta().setScheme(xmlValue); - // Update Source - assetIdentifierBuilder.setIdentifierType(getSourceEnum(xmlValue)); - }); + protected void updateSchemeAndSource(Path xmlPath, Path baseModelPath, AssetIdentifierBuilder assetIdentifierBuilder, FieldWithMetaStringBuilder assetIdentifierValueBuilder) { + setSchemeAndIdentifierType(assetIdentifierBuilder, assetIdentifierValueBuilder, xmlPath.addElement("instrumentIdScheme"), baseModelPath); + + setSchemeAndIdentifierType(assetIdentifierBuilder, assetIdentifierValueBuilder, xmlPath.addElement("productIdScheme"), baseModelPath); + + setSchemeAndIdentifierType(assetIdentifierBuilder, assetIdentifierValueBuilder, xmlPath.addElement("indexIdScheme"), baseModelPath); + + setSchemeAndIdentifierType(assetIdentifierBuilder, assetIdentifierValueBuilder, xmlPath.addElement("indexNameScheme"), baseModelPath); + + if (xmlPath.endsWith("currency")) { + assetIdentifierBuilder.setIdentifierType(AssetIdTypeEnum.CURRENCY_CODE); + + setSchemeAndIdentifierType(assetIdentifierBuilder, assetIdentifierValueBuilder, xmlPath.addElement("currencyScheme"), baseModelPath); + } + if (xmlPath.endsWith("description")) { assetIdentifierBuilder.setIdentifierType(AssetIdTypeEnum.NAME); } } + private void setSchemeAndIdentifierType(AssetIdentifierBuilder assetIdentifierBuilder, FieldWithMetaStringBuilder assetIdentifierValueBuilder, Path schemeSynonymPath, Path baseModelPath) { + Path schemeModelPath = baseModelPath.addElement("meta").addElement("scheme"); + + MappingProcessorUtils.setValueAndUpdateMappings(schemeSynonymPath, + xmlValue -> setSchemeAndIdentifierType(assetIdentifierBuilder, assetIdentifierValueBuilder, xmlValue), + getMappings(), + PathUtils.toRosettaPath(schemeModelPath)); + } + + private void setSchemeAndIdentifierType(AssetIdentifierBuilder assetIdentifierBuilder, FieldWithMetaStringBuilder assetIdentifierValueBuilder, String xmlValue) { + // Update scheme + assetIdentifierValueBuilder.getOrCreateMeta().setScheme(xmlValue); + // Update Source + assetIdentifierBuilder.setIdentifierType(getSourceEnum(xmlValue)); + } + protected AssetIdTypeEnum getSourceEnum(String scheme) { if (scheme.contains("CUSIP")) { return AssetIdTypeEnum.CUSIP; diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/CashAssetIdentifierMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/CashAssetIdentifierMappingProcessor.java new file mode 100644 index 0000000000..c0b05cdf0b --- /dev/null +++ b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/CashAssetIdentifierMappingProcessor.java @@ -0,0 +1,47 @@ +package cdm.base.staticdata.asset.common.processor; + +import cdm.base.staticdata.asset.common.AssetIdTypeEnum; +import cdm.base.staticdata.asset.common.AssetIdentifier; +import cdm.base.staticdata.asset.common.Cash; +import com.regnosys.rosetta.common.translation.MappingContext; +import com.regnosys.rosetta.common.translation.MappingProcessor; +import com.regnosys.rosetta.common.translation.MappingProcessorUtils; +import com.regnosys.rosetta.common.translation.Path; +import com.rosetta.model.lib.RosettaModelObjectBuilder; +import com.rosetta.model.lib.path.RosettaPath; + +import java.util.List; + +@SuppressWarnings("unused") +public class CashAssetIdentifierMappingProcessor extends MappingProcessor { + + private final FxMetaHelper helper; + + public CashAssetIdentifierMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { + super(modelPath, synonymPaths, context); + this.helper = new FxMetaHelper(context.getMappings()); + } + + public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { + helper.getCurrencySynonymPath(synonymPath) + .ifPresent(currencyPath -> { + AssetIdentifier.AssetIdentifierBuilder assetIdentifierBuilder = AssetIdentifier.builder(); + + RosettaPath modelPath = getModelPath().newSubPath("value").newSubPath("identifier", 0).newSubPath("identifier"); + + MappingProcessorUtils.setValueAndUpdateMappings(currencyPath, + xmlValue -> + assetIdentifierBuilder + .setIdentifierValue(xmlValue) + .setIdentifierType(AssetIdTypeEnum.CURRENCY_CODE), + helper.getNonReferenceMappings(), + modelPath); + + if (assetIdentifierBuilder.hasData()) { + Cash.CashBuilder cashBuilder = (Cash.CashBuilder) builder; + cashBuilder.addIdentifier(assetIdentifierBuilder.build()); + } + }); + } +} + diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/FxMetaHelper.java b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/FxMetaHelper.java new file mode 100644 index 0000000000..d687d56a85 --- /dev/null +++ b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/FxMetaHelper.java @@ -0,0 +1,72 @@ +package cdm.base.staticdata.asset.common.processor; + +import com.regnosys.rosetta.common.translation.Mapping; +import com.regnosys.rosetta.common.translation.Path; +import com.rosetta.model.lib.meta.Reference; + +import java.util.List; +import java.util.Optional; +import java.util.stream.Collectors; + +import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMappedValue; + +public class FxMetaHelper { + + private final List mappings; + + public FxMetaHelper(List mappings) { + this.mappings = mappings; + } + + public List getNonReferenceMappings() { + return mappings.stream() + .filter(m -> !(m.getRosettaValue() instanceof Reference)) + .collect(Collectors.toList()); + } + + public Optional getCurrencySynonymPath(Path synonymPath) { + if (synonymPath.endsWith("quoteBasis")) { + return getQuoteBasisCurrencySynonymPath(synonymPath); + } else if (synonymPath.endsWith("strikeQuoteBasis")) { + return getStrikeQuoteBasisCurrencySynonymPath(synonymPath); + } else { + return Optional.empty(); + } + } + + private Optional getQuoteBasisCurrencySynonymPath(Path quoteBasisPath) { + return getNonNullMappedValue(quoteBasisPath, mappings) + .flatMap(this::isUnderlierCurrency1) + .map(isUnderlierCurrency1 -> { + Path quotedCurrencyPairPath = quoteBasisPath.getParent(); + return isUnderlierCurrency1 ? + quotedCurrencyPairPath.addElement("currency1") : + quotedCurrencyPairPath.addElement("currency2"); + }); + } + + private Optional isUnderlierCurrency1(String quoteBasis) { + return Optional.ofNullable(quoteBasis.equals("Currency2PerCurrency1") ? + true : + quoteBasis.equals("Currency1PerCurrency2") ? + false : null); + } + + public Optional getStrikeQuoteBasisCurrencySynonymPath(Path strikeQuoteBasisPath) { + return getNonNullMappedValue(strikeQuoteBasisPath, mappings) + .flatMap(this::isUnderlierPutCurrency) + .map(isUnderlierPutCurrency -> { + Path productPath = strikeQuoteBasisPath.getParent().getParent(); + return isUnderlierPutCurrency ? + productPath.addElement("putCurrencyAmount").addElement("currency") : + productPath.addElement("callCurrencyAmount").addElement("currency"); + }); + } + + private Optional isUnderlierPutCurrency(String strikeQuoteBasis) { + return Optional.ofNullable(strikeQuoteBasis.equals("CallCurrencyPerPutCurrency") ? + true : + strikeQuoteBasis.equals("PutCurrencyPerCallCurrency") ? + false : null); + } +} diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/IndexAssetClassMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/IndexAssetClassMappingProcessor.java deleted file mode 100644 index 04d4a8a070..0000000000 --- a/rosetta-source/src/main/java/cdm/base/staticdata/asset/common/processor/IndexAssetClassMappingProcessor.java +++ /dev/null @@ -1,15 +0,0 @@ -package cdm.base.staticdata.asset.common.processor; - -import com.regnosys.rosetta.common.translation.MappingContext; -import com.regnosys.rosetta.common.translation.Path; -import com.rosetta.model.lib.path.RosettaPath; - -import java.util.List; - -@SuppressWarnings("unused") // used in generated code -public class IndexAssetClassMappingProcessor extends cdm.observable.asset.processor.IndexAssetClassMappingProcessor { - - public IndexAssetClassMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { - super(modelPath, synonymPaths, context); - } -} diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/AccountPartyReferenceMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/AccountPartyReferenceMappingProcessor.java index 84fbf0756e..2dbab150a5 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/AccountPartyReferenceMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/AccountPartyReferenceMappingProcessor.java @@ -21,7 +21,7 @@ * * In FpML, account references are positioned in PayerReceiver and BuyerSeller, both inside the Product. * In CDM, the Product is agnostic to parties and accounts so the account mappings from removed from the Product, and the accounts are - * associated to the party by mapping attribute Contract.accounts.partyReference. + * associated to the party by mapping attribute Trade.accounts.partyReference. */ @SuppressWarnings("unused") public class AccountPartyReferenceMappingProcessor extends MappingProcessor { diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerAsReceiverOrPayerMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerAsReceiverOrPayerMappingProcessor.java index 2c52f5a1e6..8c3705a1ca 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerAsReceiverOrPayerMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerAsReceiverOrPayerMappingProcessor.java @@ -1,5 +1,6 @@ package cdm.base.staticdata.party.processor; +import cdm.base.staticdata.party.CounterpartyRoleEnum; import cdm.legaldocumentation.contract.processor.PartyMappingHelper; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.Path; @@ -8,10 +9,10 @@ import org.slf4j.LoggerFactory; import java.util.List; +import java.util.function.Consumer; import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isCreditFundingLeg; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isFra; +import static cdm.base.staticdata.party.processor.BuyerSellerPartyHelper.isBuyerAsReceiver; /** * FpML mapping processor. @@ -27,11 +28,8 @@ public BuyerAsReceiverOrPayerMappingProcessor(RosettaPath modelPath, List @Override void setCounterparty(Path synonymPath, PayerReceiverBuilder builder, PartyMappingHelper helper) { - RosettaPath modelPath = getModelPath(); - if (isCreditFundingLeg(modelPath, synonymPath) || isFra(modelPath, synonymPath)) { - helper.setCounterpartyRoleEnum(modelPath, synonymPath, builder::setPayer); - } else { - helper.setCounterpartyRoleEnum(modelPath, synonymPath, builder::setReceiver); - } + Consumer setter = + isBuyerAsReceiver(synonymPath, getModelPath()) ? builder::setReceiver : builder::setPayer; + helper.setCounterpartyRoleEnum(getModelPath(), synonymPath, setter); } } diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerSellerPartyHelper.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerSellerPartyHelper.java new file mode 100644 index 0000000000..0832537eb1 --- /dev/null +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/BuyerSellerPartyHelper.java @@ -0,0 +1,34 @@ +package cdm.base.staticdata.party.processor; + +import com.regnosys.rosetta.common.translation.Path; +import com.rosetta.model.lib.path.RosettaPath; + +import java.util.Arrays; + +import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.subPath; +import static com.regnosys.rosetta.common.util.PathUtils.toPath; + +public class BuyerSellerPartyHelper { + + public static boolean isBuyerAsReceiver(Path synonymPath, RosettaPath modelPath) { + return !(isCreditFundingLeg(modelPath, synonymPath) || isFra(modelPath, synonymPath)); + } + + public static boolean isSellerAsPayer(Path synonymPath, RosettaPath modelPath) { + return !(isCreditFundingLeg(modelPath, synonymPath) || isFra(modelPath, synonymPath)); + } + + private static boolean isCreditFundingLeg(RosettaPath modelPath, Path synonymPath) { + boolean interestRatePayout = subPath("interestRatePayout", toPath(modelPath)).isPresent(); + boolean creditDefaultSwapGeneralTerms = subPath("generalTerms", synonymPath) + .map(path -> path.endsWith("creditDefaultSwap", "generalTerms")) + .orElse(false); + return interestRatePayout && creditDefaultSwapGeneralTerms; + } + + private static boolean isFra(RosettaPath modelPath, Path synonymPath) { + boolean interestRatePayout = subPath("interestRatePayout", toPath(modelPath)).isPresent(); + boolean fra = Arrays.stream(synonymPath.getPathNames()).anyMatch("fra"::equals); + return interestRatePayout && fra; + } +} diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/CreditPartyMappingHelper.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/CreditPartyMappingHelper.java deleted file mode 100644 index d02ce2ea69..0000000000 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/CreditPartyMappingHelper.java +++ /dev/null @@ -1,22 +0,0 @@ -package cdm.base.staticdata.party.processor; - -import com.regnosys.rosetta.common.translation.Path; -import com.rosetta.model.lib.path.RosettaPath; - -import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.subPath; -import static com.regnosys.rosetta.common.util.PathUtils.toPath; - -public class CreditPartyMappingHelper { - - public static boolean isCreditFundingLeg(RosettaPath modelPath, Path synonymPath) { - boolean interestRatePayout = subPath("interestRatePayout", toPath(modelPath)).isPresent(); - boolean creditDefaultSwapGeneralTerms = synonymPath.getParent().endsWith("creditDefaultSwap", "generalTerms"); - return interestRatePayout && creditDefaultSwapGeneralTerms; - } - - public static boolean isFra(RosettaPath modelPath, Path synonymPath) { - boolean interestRatePayout = subPath("interestRatePayout", toPath(modelPath)).isPresent(); - boolean fra = synonymPath.getParent().endsWith("fra"); - return interestRatePayout && fra; - } -} diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionBuyerAsPayerMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionBuyerAsPayerMappingProcessor.java deleted file mode 100644 index 7d10ea4b20..0000000000 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionBuyerAsPayerMappingProcessor.java +++ /dev/null @@ -1,38 +0,0 @@ -package cdm.base.staticdata.party.processor; - -import cdm.legaldocumentation.contract.processor.PartyMappingHelper; -import com.regnosys.rosetta.common.translation.MappingContext; -import com.regnosys.rosetta.common.translation.MappingProcessor; -import com.regnosys.rosetta.common.translation.Path; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.path.RosettaPath; -import org.slf4j.Logger; -import org.slf4j.LoggerFactory; - -import java.util.List; -import java.util.Optional; - -import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; - -/** - * FpML mapping processor. - *

- * Sets option buyer as the FX put payer. - */ -@SuppressWarnings("unused") -public class OptionBuyerAsPayerMappingProcessor extends MappingProcessor { - - private static final Logger LOGGER = LoggerFactory.getLogger(OptionBuyerAsPayerMappingProcessor.class); - - public OptionBuyerAsPayerMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { - super(modelPath, synonymPaths, context); - } - - @Override - public void mapBasic(Path synonymPath, Optional instance, RosettaModelObjectBuilder parent) { - PartyMappingHelper.getInstanceOrThrow(getContext()) - .setCounterpartyRoleEnum(getModelPath(), - synonymPath.getParent().addElement("buyerPartyReference"), - ((PayerReceiverBuilder) parent)::setPayer); - } -} \ No newline at end of file diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionBuyerAsReceiverMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionBuyerAsReceiverMappingProcessor.java deleted file mode 100644 index 3ea998490c..0000000000 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionBuyerAsReceiverMappingProcessor.java +++ /dev/null @@ -1,38 +0,0 @@ -package cdm.base.staticdata.party.processor; - -import cdm.legaldocumentation.contract.processor.PartyMappingHelper; -import com.regnosys.rosetta.common.translation.MappingContext; -import com.regnosys.rosetta.common.translation.MappingProcessor; -import com.regnosys.rosetta.common.translation.Path; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.path.RosettaPath; -import org.slf4j.Logger; -import org.slf4j.LoggerFactory; - -import java.util.List; -import java.util.Optional; - -import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; - -/** - * FpML mapping processor. - *

- * Sets option buyer as the FX call receiver. - */ -@SuppressWarnings("unused") -public class OptionBuyerAsReceiverMappingProcessor extends MappingProcessor { - - private static final Logger LOGGER = LoggerFactory.getLogger(OptionBuyerAsReceiverMappingProcessor.class); - - public OptionBuyerAsReceiverMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { - super(modelPath, synonymPaths, context); - } - - @Override - public void mapBasic(Path synonymPath, Optional instance, RosettaModelObjectBuilder parent) { - PartyMappingHelper.getInstanceOrThrow(getContext()) - .setCounterpartyRoleEnum(getModelPath(), - synonymPath.getParent().addElement("buyerPartyReference"), - ((PayerReceiverBuilder) parent)::setReceiver); - } -} \ No newline at end of file diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionSellerAsPayerMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionSellerAsPayerMappingProcessor.java deleted file mode 100644 index fda64e5bd5..0000000000 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionSellerAsPayerMappingProcessor.java +++ /dev/null @@ -1,38 +0,0 @@ -package cdm.base.staticdata.party.processor; - -import cdm.legaldocumentation.contract.processor.PartyMappingHelper; -import com.regnosys.rosetta.common.translation.MappingContext; -import com.regnosys.rosetta.common.translation.MappingProcessor; -import com.regnosys.rosetta.common.translation.Path; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.path.RosettaPath; -import org.slf4j.Logger; -import org.slf4j.LoggerFactory; - -import java.util.List; -import java.util.Optional; - -import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; - -/** - * FpML mapping processor. - * - * Sets option seller as the FX call payer. - */ -@SuppressWarnings("unused") -public class OptionSellerAsPayerMappingProcessor extends MappingProcessor { - - private static final Logger LOGGER = LoggerFactory.getLogger(OptionSellerAsPayerMappingProcessor.class); - - public OptionSellerAsPayerMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { - super(modelPath, synonymPaths, context); - } - - @Override - public void mapBasic(Path synonymPath, Optional instance, RosettaModelObjectBuilder parent) { - PartyMappingHelper.getInstanceOrThrow(getContext()) - .setCounterpartyRoleEnum(getModelPath(), - synonymPath.getParent().addElement("sellerPartyReference"), - ((PayerReceiverBuilder) parent)::setPayer); - } -} \ No newline at end of file diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionSellerAsReceiverMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionSellerAsReceiverMappingProcessor.java deleted file mode 100644 index f2d2d83eea..0000000000 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/OptionSellerAsReceiverMappingProcessor.java +++ /dev/null @@ -1,38 +0,0 @@ -package cdm.base.staticdata.party.processor; - -import cdm.legaldocumentation.contract.processor.PartyMappingHelper; -import com.regnosys.rosetta.common.translation.MappingContext; -import com.regnosys.rosetta.common.translation.MappingProcessor; -import com.regnosys.rosetta.common.translation.Path; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.path.RosettaPath; -import org.slf4j.Logger; -import org.slf4j.LoggerFactory; - -import java.util.List; -import java.util.Optional; - -import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; - -/** - * FpML mapping processor. - *

- * Sets option seller as the FX put receiver. - */ -@SuppressWarnings("unused") -public class OptionSellerAsReceiverMappingProcessor extends MappingProcessor { - - private static final Logger LOGGER = LoggerFactory.getLogger(OptionSellerAsReceiverMappingProcessor.class); - - public OptionSellerAsReceiverMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { - super(modelPath, synonymPaths, context); - } - - @Override - public void mapBasic(Path synonymPath, Optional instance, RosettaModelObjectBuilder parent) { - PartyMappingHelper.getInstanceOrThrow(getContext()) - .setCounterpartyRoleEnum(getModelPath(), - synonymPath.getParent().addElement("sellerPartyReference"), - ((PayerReceiverBuilder) parent)::setReceiver); - } -} \ No newline at end of file diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/PayerMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/PayerMappingProcessor.java index ade90c09a8..296afe8691 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/PayerMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/PayerMappingProcessor.java @@ -10,8 +10,6 @@ import java.util.List; import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isCreditFundingLeg; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isFra; /** * FpML mapping processor. diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/ReceiverMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/ReceiverMappingProcessor.java index d3d13152c6..a4c82a3375 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/ReceiverMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/ReceiverMappingProcessor.java @@ -10,8 +10,6 @@ import java.util.List; import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isCreditFundingLeg; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isFra; /** * FpML mapping processor. diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/SellerAsPayerOrReceiverMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/SellerAsPayerOrReceiverMappingProcessor.java index 8629f6ad9a..a53fd589e3 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/SellerAsPayerOrReceiverMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/SellerAsPayerOrReceiverMappingProcessor.java @@ -1,5 +1,6 @@ package cdm.base.staticdata.party.processor; +import cdm.base.staticdata.party.CounterpartyRoleEnum; import cdm.legaldocumentation.contract.processor.PartyMappingHelper; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.Path; @@ -8,10 +9,10 @@ import org.slf4j.LoggerFactory; import java.util.List; +import java.util.function.Consumer; import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isCreditFundingLeg; -import static cdm.base.staticdata.party.processor.CreditPartyMappingHelper.isFra; +import static cdm.base.staticdata.party.processor.BuyerSellerPartyHelper.isSellerAsPayer; /** * FpML mapping processor. @@ -27,11 +28,8 @@ public SellerAsPayerOrReceiverMappingProcessor(RosettaPath modelPath, List @Override void setCounterparty(Path synonymPath, PayerReceiverBuilder builder, PartyMappingHelper helper) { - RosettaPath modelPath = getModelPath(); - if (isCreditFundingLeg(modelPath, synonymPath) || isFra(modelPath, synonymPath)) { - helper.setCounterpartyRoleEnum(modelPath, synonymPath, builder::setReceiver); - } else { - helper.setCounterpartyRoleEnum(modelPath, synonymPath, builder::setPayer); - } + Consumer setter = + isSellerAsPayer(synonymPath, getModelPath()) ? builder::setPayer : builder::setReceiver; + helper.setCounterpartyRoleEnum(getModelPath(), synonymPath, setter); } } diff --git a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessor.java b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessor.java index 60890d5aaf..76e38d3dd8 100644 --- a/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessor.java @@ -13,32 +13,28 @@ import java.util.Optional; import java.util.function.Function; -import static cdm.legaldocumentation.contract.processor.PartyMappingHelper.PRODUCT_SUB_PATH; - /** * TradeSide.id to TradeSide.orderer.party.id CME Submission mapping processor. */ public class TradeSideToPartyMappingProcessor extends MappingProcessor { - private static final Logger LOGGER = LoggerFactory.getLogger(TradeSideToPartyMappingProcessor.class); - - private final Function> tradeSideToPartyTranslator; - - public TradeSideToPartyMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext mappingContext) { - super(modelPath, synonymPaths, mappingContext); - this.tradeSideToPartyTranslator = new TradeSideToPartyMappingHelper(mappingContext.getMappings()); - } - - @Override - public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { - if (!getModelPath().containsPath(PRODUCT_SUB_PATH)) { - ReferenceWithMetaPartyBuilder partyReference = (ReferenceWithMetaPartyBuilder) builder; - setValueAndUpdateMappings(synonymPath.addElement("href"), - (tradeSideId) -> tradeSideToPartyTranslator.apply(tradeSideId) - .ifPresent(partyId -> { - LOGGER.info("Mapped tradeSide.id ({}) to tradeSide.orderer.party.id ({}) at path {}", tradeSideId, partyId, getModelPath()); - partyReference.setExternalReference(partyId).build(); - })); - } - } + private static final Logger LOGGER = LoggerFactory.getLogger(TradeSideToPartyMappingProcessor.class); + + private final Function> tradeSideToPartyTranslator; + + public TradeSideToPartyMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext mappingContext) { + super(modelPath, synonymPaths, mappingContext); + this.tradeSideToPartyTranslator = new TradeSideToPartyMappingHelper(mappingContext.getMappings()); + } + + @Override + public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { + ReferenceWithMetaPartyBuilder partyReference = (ReferenceWithMetaPartyBuilder) builder; + setValueAndUpdateMappings(synonymPath.addElement("href"), + (tradeSideId) -> tradeSideToPartyTranslator.apply(tradeSideId) + .ifPresent(partyId -> { + LOGGER.info("Mapped tradeSide.id ({}) to tradeSide.orderer.party.id ({}) at path {}", tradeSideId, partyId, getModelPath()); + partyReference.setExternalReference(partyId).build(); + })); + } } \ No newline at end of file diff --git a/rosetta-source/src/main/java/cdm/event/workflow/processor/FISMapperMappingProcessor.java b/rosetta-source/src/main/java/cdm/event/workflow/processor/FISMapperMappingProcessor.java index c6d92aa7cf..bc141d054f 100644 --- a/rosetta-source/src/main/java/cdm/event/workflow/processor/FISMapperMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/event/workflow/processor/FISMapperMappingProcessor.java @@ -6,7 +6,10 @@ import cdm.base.datetime.RollConventionEnum; import cdm.base.math.FinancialUnitEnum; import cdm.base.math.UnitType; -import cdm.base.staticdata.asset.common.*; +import cdm.base.staticdata.asset.common.AssetIdTypeEnum; +import cdm.base.staticdata.asset.common.AssetIdentifier; +import cdm.base.staticdata.asset.common.Security; +import cdm.base.staticdata.asset.common.SecurityTypeEnum; import cdm.base.staticdata.party.CounterpartyRoleEnum; import cdm.base.staticdata.party.PartyIdentifier; import cdm.event.common.ExecutionTypeEnum; @@ -17,7 +20,6 @@ import cdm.product.collateral.CollateralTypeEnum; import cdm.product.common.settlement.DeliveryMethodEnum; import cdm.product.template.AssetPayout; -import cdm.product.template.DurationTypeEnum; import cdm.product.template.EconomicTerms.EconomicTermsBuilder; import cdm.product.template.TradableProduct; import cdm.product.template.TradableProduct.TradableProductBuilder; @@ -47,8 +49,8 @@ import static cdm.base.math.UnitType.UnitTypeBuilder; import static cdm.base.staticdata.party.Party.PartyBuilder; import static cdm.event.common.TradeState.TradeStateBuilder; +import static cdm.observable.asset.PriceQuantity.PriceQuantityBuilder; import static cdm.product.asset.InterestRatePayout.InterestRatePayoutBuilder; -import static cdm.product.common.settlement.PriceQuantity.PriceQuantityBuilder; /** * This instance override the version in CDM so it can be kept up to date with ISLA model changes. @@ -92,8 +94,7 @@ private void staticMappings(PathValue tradeState) { getIRP(tradeState).getValue().getOrCreatePaymentDates().getOrCreatePaymentFrequency().setPeriodMultiplier(1); //sec lending payout - getSecPO(tradeState).getValue().getOrCreateDurationType().setDurationType(DurationTypeEnum.OPEN); - getSecPO(tradeState).getValue().getOrCreateSecurityInformation().getOrCreateSecurity().setSecurityType(SecurityTypeEnum.EQUITY); + getSecPO(tradeState).getValue().getOrCreateUnderlier().getOrCreateInstrument().getOrCreateSecurity().setSecurityType(SecurityTypeEnum.EQUITY); getSecPO(tradeState).getValue().getOrCreatePayerReceiver().setPayer(CounterpartyRoleEnum.PARTY_1); getSecPO(tradeState).getValue().getOrCreatePayerReceiver().setReceiver(CounterpartyRoleEnum.PARTY_2); @@ -199,13 +200,13 @@ private Multimap> buildCommonMappings PathValue irp = getIRP(tradeState); irp.getValue() .getOrCreateRateSpecification() - .getOrCreateFixedRate() + .getOrCreateFixedRateSpecification() .getOrCreateRateSchedule() .getOrCreatePrice() .setReference(reference); return Arrays.asList( new PathValue<>(pq.getModelPath().append(Path.parse("price[0].value.amount")), value), - new PathValue<>(irp.getModelPath().append(Path.parse("rateSpecification.fixedRate.rateSchedule.price.reference")), reference)); + new PathValue<>(irp.getModelPath().append(Path.parse("rateSpecification.FixedRateSpecification.rateSchedule.price.reference")), reference)); }); commonMappings.put("Loan_Value", (indexes, value, tradeState) -> { @@ -336,27 +337,28 @@ private Multimap> buildCommonMappings commonMappings.put("Security_Sedol_Code", (indexes, value, tradeState) -> { // key PathValue pq = getPriceQuantityForSecurityFinancePayout(tradeState); - ProductIdentifier productIdentifier = ProductIdentifier.builder() - .setIdentifierValue(value) - .setSource(ProductIdTypeEnum.SEDOL) - .build(); + Security security = Security.builder() + .setSecurityType(SecurityTypeEnum.EQUITY) + .addIdentifier(AssetIdentifier.builder() + .setIdentifierValue(value) + .setIdentifierType(AssetIdTypeEnum.SEDOL)); pq.getValue() .getOrCreateObservable() - .addProductIdentifierValue(productIdentifier, 0); + .getOrCreateValue() + .getOrCreateAsset() + .getOrCreateInstrument() + .setSecurity(security); // reference Reference.ReferenceBuilder reference = Reference.builder(); PathValue secLendingPayout = getSecPO(tradeState); secLendingPayout .getValue() - .getOrCreateSecurityInformation() - .getOrCreateSecurity() - .addIdentifier(AssetIdentifier.builder() - .setIdentifierValue(value) - .setIdentifierType(AssetIdTypeEnum.SEDOL)) - .setSecurityType(SecurityTypeEnum.EQUITY); + .getOrCreateUnderlier() + .getOrCreateInstrument() + .setSecurity(security); return Arrays.asList( - new PathValue<>(pq.getModelPath().append(Path.parse("observable.productIdentifier[0].value.identifier.value")), value), - new PathValue<>(secLendingPayout.getModelPath().append(Path.parse("securityInformation.security.productIdentifier[0].value.identifier.value")), reference)); + new PathValue<>(pq.getModelPath().append(Path.parse("observable.value.Asset.value.Instrument.security")), value), + new PathValue<>(secLendingPayout.getModelPath().append(Path.parse("securityInformation.identifier.identifier.value")), reference)); }); commonMappings.put("DVP_Indicator", (indexes, value, tradeState) -> { @@ -536,8 +538,8 @@ private PathValue getSplitTradeState(PathValue getTradableProduct(PathValue pv) { - return new PathValue<>(pv.getModelPath().append(Path.parse("trade.tradableProduct")), - pv.getValue().getOrCreateTrade().getOrCreateTradableProduct()); + return new PathValue<>(pv.getModelPath().append(Path.parse("trade")), + pv.getValue().getOrCreateTrade()); } private PathValue getIRP(PathValue ts) { @@ -548,19 +550,14 @@ private PathValue getIRP(PathValue private PathValue getEcTerms(PathValue ts) { PathValue tp = getTradableProduct(ts); - return new PathValue<>(tp.getModelPath().append(Path.parse("product.contractualProduct.economicTerms")), - tp.getValue().getOrCreateProduct().getOrCreateContractualProduct().getOrCreateEconomicTerms()); + return new PathValue<>(tp.getModelPath().append(Path.parse("product.economicTerms")), + tp.getValue().getOrCreateProduct().getOrCreateEconomicTerms()); } private PathValue getSecPO(PathValue ts) { PathValue et = getEcTerms(ts); - return new PathValue<>(et.getModelPath().addElement("collateral").addElement("collateralPortfolio", 0) - .addElement("collateralPosition", 0).addElement("product") - .addElement("contractualProduct").addElement("economicTerms") - .addElement("payout").addElement("assetPayout", 0), - et.getValue().getOrCreateCollateral().getOrCreateCollateralPortfolio(0).getOrCreateValue() - .getOrCreateCollateralPosition(0).getOrCreateProduct().getOrCreateContractualProduct() - .getOrCreateEconomicTerms().getOrCreatePayout().getOrCreateAssetPayout(0)); + return new PathValue<>(et.getModelPath().addElement("payout").addElement("assetPayout", 0), + et.getValue().getOrCreatePayout().getOrCreateAssetPayout(0)); } private PathValue getColPro(PathValue ts) { diff --git a/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingHelper.java b/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingHelper.java index 03dcf5574c..bcc7670a3c 100644 --- a/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingHelper.java +++ b/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingHelper.java @@ -35,7 +35,6 @@ public class PartyMappingHelper { private static final Logger LOGGER = LoggerFactory.getLogger(PartyMappingHelper.class); static final String PARTY_MAPPING_HELPER_KEY = "PARTY_MAPPING_HELPER"; - public static final RosettaPath PRODUCT_SUB_PATH = RosettaPath.valueOf("tradableProduct"); private final Map partyExternalReferenceToCounterpartyRoleEnumMap; private final List mappings; @@ -77,11 +76,7 @@ public void setCounterpartyRoleEnum(RosettaPath modelPath, Path synonymPath, Con (partyExternalReference) -> { // Map externalRef to CounterpartyRoleEnum and update builder object String partyReference = translatePartyExternalReference(partyExternalReference); - if (!modelPath.containsPath(PRODUCT_SUB_PATH)) { - LOGGER.info("Setting CounterpartyRoleEnum for party reference {} in the model outside the product {}", partyReference, modelPath.buildPath()); - } - Optional counterpartyEnum = - getOrCreateCounterpartyRoleEnum(partyReference); + Optional counterpartyEnum = getOrCreateCounterpartyRoleEnum(partyReference); counterpartyEnum.ifPresent(setter); return counterpartyEnum.isPresent(); // return true to update synonym mapping stats to success }, @@ -160,19 +155,16 @@ private Optional getOrCreateCounterpartyRoleEnum(String ex * Set role with given setter and add associated partyExternalReference to tradableProduct.ancillaryParty. */ public void setAncillaryRoleEnum(RosettaPath modelPath, Path synonymPath, Consumer setter, AncillaryRoleEnum role) { - - if (modelPath.containsPath(PRODUCT_SUB_PATH)) { - setValueAndUpdateMappings(synonymPath.addElement("href"), - partyExternalReference -> { - String translatedPartyRef = translatePartyExternalReference(partyExternalReference); - LOGGER.info("Adding {} for {}", role, translatedPartyRef); - setter.accept(role); - // add to tradableProduct - addAncillaryParty(translatedPartyRef, role); - }, - mappings, - modelPath); - } + setValueAndUpdateMappings(synonymPath.addElement("href"), + partyExternalReference -> { + String translatedPartyRef = translatePartyExternalReference(partyExternalReference); + LOGGER.info("Adding {} for {}", role, translatedPartyRef); + setter.accept(role); + // add to tradableProduct + addAncillaryParty(translatedPartyRef, role); + }, + mappings, + modelPath); } /** diff --git a/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingProcessor.java b/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingProcessor.java index 9f0a8a2591..80af5b7a51 100644 --- a/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/legaldocumentation/contract/processor/PartyMappingProcessor.java @@ -32,7 +32,7 @@ public PartyMappingProcessor(RosettaPath rosettaPath, List synonymPaths, M @Override public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { - Optional.ofNullable(((Trade.TradeBuilder) builder).getTradableProduct()) + Optional.ofNullable((Trade.TradeBuilder) builder) .map(this::createHelper) .ifPresent(PartyMappingHelper::addCounterparties); } diff --git a/rosetta-source/src/main/java/cdm/observable/asset/fro/functions/IndexValueObservationEmptyDataProvider.java b/rosetta-source/src/main/java/cdm/observable/asset/fro/functions/IndexValueObservationEmptyDataProvider.java index 15f49d1e62..2b6afb9475 100644 --- a/rosetta-source/src/main/java/cdm/observable/asset/fro/functions/IndexValueObservationEmptyDataProvider.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/fro/functions/IndexValueObservationEmptyDataProvider.java @@ -1,6 +1,6 @@ package cdm.observable.asset.fro.functions; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; import com.rosetta.model.lib.records.Date; import java.math.BigDecimal; @@ -12,7 +12,7 @@ */ public class IndexValueObservationEmptyDataProvider extends IndexValueObservation { @Override - protected BigDecimal doEvaluate(Date observationDate, FloatingRateOption floatingRateOption) { + protected BigDecimal doEvaluate(Date observationDate, FloatingRateIndex floatingRateOption) { throw new UnsupportedOperationException("IndexValueObservation not implemented"); } } diff --git a/rosetta-source/src/main/java/cdm/observable/asset/processor/CalculationAgentPartyMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/CalculationAgentPartyMappingProcessor.java index bef7967b38..b461697d43 100644 --- a/rosetta-source/src/main/java/cdm/observable/asset/processor/CalculationAgentPartyMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/CalculationAgentPartyMappingProcessor.java @@ -25,7 +25,7 @@ public class CalculationAgentPartyMappingProcessor extends MappingProcessor { private static final RosettaPath OPTIONAL_EARLY_TERMINATION_SUB_PATH = RosettaPath.valueOf("optionalEarlyTermination"); private static final RosettaPath MANDATORY_EARLY_TERMINATION_SUB_PATH = RosettaPath.valueOf("mandatoryEarlyTermination"); private static final RosettaPath FALLBACK_REFERENCE_PRICE_SUB_PATH = RosettaPath.valueOf("fallbackReferencePrice"); - private static final RosettaPath ECONOMIC_TERMS_ENDS_WITH = RosettaPath.valueOf("product.contractualProduct.economicTerms"); + private static final RosettaPath ECONOMIC_TERMS_ENDS_WITH = RosettaPath.valueOf("economicTerms"); public CalculationAgentPartyMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { super(modelPath, synonymPaths, context); diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/FloatingRateCalculationMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/FloatingRateCalculationMappingProcessor.java similarity index 95% rename from rosetta-source/src/main/java/cdm/product/common/settlement/processor/FloatingRateCalculationMappingProcessor.java rename to rosetta-source/src/main/java/cdm/observable/asset/processor/FloatingRateCalculationMappingProcessor.java index b82ed42d76..1affcc2556 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/FloatingRateCalculationMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/FloatingRateCalculationMappingProcessor.java @@ -1,4 +1,4 @@ -package cdm.product.common.settlement.processor; +package cdm.observable.asset.processor; import cdm.base.math.ArithmeticOperationEnum; import cdm.base.math.DatedValue; @@ -20,9 +20,9 @@ import static cdm.base.math.UnitType.UnitTypeBuilder; import static cdm.base.math.UnitType.builder; -import static cdm.product.common.settlement.PriceQuantity.*; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.incrementPathElementIndex; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.toReferencablePriceBuilder; +import static cdm.observable.asset.PriceQuantity.PriceQuantityBuilder; +import static cdm.observable.asset.processor.PriceQuantityHelper.incrementPathElementIndex; +import static cdm.observable.asset.processor.PriceQuantityHelper.toReferencablePriceBuilder; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.*; import static com.regnosys.rosetta.common.util.PathUtils.toPath; import static com.rosetta.util.CollectionUtils.emptyIfNull; diff --git a/rosetta-source/src/main/java/cdm/observable/asset/processor/IndexAssetClassMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/IndexAssetClassMappingProcessor.java index d212c1ebe5..287e69e93e 100644 --- a/rosetta-source/src/main/java/cdm/observable/asset/processor/IndexAssetClassMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/IndexAssetClassMappingProcessor.java @@ -1,11 +1,9 @@ package cdm.observable.asset.processor; import cdm.base.staticdata.asset.common.AssetClassEnum; -import cdm.base.staticdata.asset.common.IndexBase; -import cdm.observable.asset.CreditIndex; import cdm.observable.asset.EquityIndex; -import cdm.observable.asset.FloatingRateIndex; -import cdm.observable.asset.ForeignExchangeRate; +import cdm.observable.asset.IndexBase; +import cdm.observable.asset.InterestRateIndex; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.MappingProcessor; import com.regnosys.rosetta.common.translation.Path; @@ -17,31 +15,27 @@ @SuppressWarnings("unused") // used in generated code public class IndexAssetClassMappingProcessor extends MappingProcessor { - + public IndexAssetClassMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { super(modelPath, synonymPaths, context); } @Override public void mapBasic(Path synonymPath, Optional instance, RosettaModelObjectBuilder parent) { - if (parent instanceof CreditIndex) { - CreditIndex.CreditIndexBuilder builder = (CreditIndex.CreditIndexBuilder) parent; - setAssetClass(builder, AssetClassEnum.CREDIT); - } else if (parent instanceof EquityIndex) { - EquityIndex.EquityIndexBuilder builder = (EquityIndex.EquityIndexBuilder) parent; - setAssetClass(builder, AssetClassEnum.EQUITY); - } else if (parent instanceof FloatingRateIndex) { - FloatingRateIndex.FloatingRateIndexBuilder builder = (FloatingRateIndex.FloatingRateIndexBuilder) parent; - setAssetClass(builder, AssetClassEnum.INTEREST_RATE); - } else if (parent instanceof ForeignExchangeRate) { - ForeignExchangeRate.ForeignExchangeRateBuilder builder = (ForeignExchangeRate.ForeignExchangeRateBuilder) parent; - setAssetClass(builder, AssetClassEnum.FOREIGN_EXCHANGE); - } + if (parent instanceof EquityIndex) { + setAssetClass(parent, AssetClassEnum.EQUITY); + } else if (parent instanceof InterestRateIndex) { + setAssetClass(parent, AssetClassEnum.INTEREST_RATE); + } +// else if (parent instanceof ForeignExchangeRateIndex) { +// ForeignExchangeRateIndex.ForeignExchangeRateIndexBuilder builder = (ForeignExchangeRateIndex.ForeignExchangeRateIndexBuilder) parent; +// setAssetClass(builder, AssetClassEnum.FOREIGN_EXCHANGE); +// } } - private void setAssetClass(IndexBase.IndexBaseBuilder builder, AssetClassEnum assetClass) { + private void setAssetClass(RosettaModelObjectBuilder builder, AssetClassEnum assetClass) { if (builder.hasData()) { - builder.setAssetClass(assetClass); + ((IndexBase.IndexBaseBuilder) builder).setAssetClass(assetClass); } } } diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/NumberOfOptionsMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/NumberOfOptionsMappingProcessor.java similarity index 93% rename from rosetta-source/src/main/java/cdm/product/common/settlement/processor/NumberOfOptionsMappingProcessor.java rename to rosetta-source/src/main/java/cdm/observable/asset/processor/NumberOfOptionsMappingProcessor.java index 9b75fc0468..6bc49c40e5 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/NumberOfOptionsMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/NumberOfOptionsMappingProcessor.java @@ -1,9 +1,9 @@ -package cdm.product.common.settlement.processor; +package cdm.observable.asset.processor; import cdm.base.math.FinancialUnitEnum; import cdm.base.math.NonNegativeQuantitySchedule; import cdm.base.math.UnitType; -import cdm.product.common.settlement.PriceQuantity; +import cdm.observable.asset.PriceQuantity; import com.regnosys.rosetta.common.translation.*; import com.rosetta.model.lib.RosettaModelObjectBuilder; import com.rosetta.model.lib.meta.Reference; @@ -12,8 +12,8 @@ import java.math.BigDecimal; import java.util.List; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.incrementPathElementIndex; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.toReferencableQuantityBuilder; +import static cdm.observable.asset.processor.PriceQuantityHelper.incrementPathElementIndex; +import static cdm.observable.asset.processor.PriceQuantityHelper.toReferencableQuantityBuilder; import static com.regnosys.rosetta.common.util.PathUtils.toPath; /** diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/OrePriceMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/OrePriceMappingProcessor.java similarity index 97% rename from rosetta-source/src/main/java/cdm/product/common/settlement/processor/OrePriceMappingProcessor.java rename to rosetta-source/src/main/java/cdm/observable/asset/processor/OrePriceMappingProcessor.java index 76cd41c345..dcb0876a8c 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/OrePriceMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/OrePriceMappingProcessor.java @@ -1,4 +1,4 @@ -package cdm.product.common.settlement.processor; +package cdm.observable.asset.processor; import cdm.base.math.UnitType; import cdm.observable.asset.PriceSchedule; diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/OreQuantityMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/OreQuantityMappingProcessor.java similarity index 97% rename from rosetta-source/src/main/java/cdm/product/common/settlement/processor/OreQuantityMappingProcessor.java rename to rosetta-source/src/main/java/cdm/observable/asset/processor/OreQuantityMappingProcessor.java index 99bff89ac3..f64d9d0c0e 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/OreQuantityMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/OreQuantityMappingProcessor.java @@ -1,4 +1,4 @@ -package cdm.product.common.settlement.processor; +package cdm.observable.asset.processor; import cdm.base.math.UnitType; import com.regnosys.rosetta.common.translation.MappingContext; diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/PriceQuantityHelper.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/PriceQuantityHelper.java similarity index 98% rename from rosetta-source/src/main/java/cdm/product/common/settlement/processor/PriceQuantityHelper.java rename to rosetta-source/src/main/java/cdm/observable/asset/processor/PriceQuantityHelper.java index 4bca5501fa..85cc85e365 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/PriceQuantityHelper.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/PriceQuantityHelper.java @@ -1,4 +1,4 @@ -package cdm.product.common.settlement.processor; +package cdm.observable.asset.processor; import cdm.base.math.ArithmeticOperationEnum; import cdm.base.math.NonNegativeQuantitySchedule; diff --git a/rosetta-source/src/main/java/cdm/observable/asset/processor/PriceUnitTypeHelper.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/PriceUnitTypeHelper.java index 4c90424ab7..ddc63b6ade 100644 --- a/rosetta-source/src/main/java/cdm/observable/asset/processor/PriceUnitTypeHelper.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/PriceUnitTypeHelper.java @@ -50,6 +50,7 @@ public boolean mapUnitType(Path synonymPath, PriceSchedule.PriceScheduleBuilder || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "capFloorStream", "notionalSchedule", "notionalStepSchedule", "currency") || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "bondOption", "notionalAmount", "currency") || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "fra", "notional", "currency") + || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "swapStream", "calculationPeriodAmount", "knownAmountSchedule", "currency") // Credit || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "fixedAmountCalculation", "calculationAmount", "currency") || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "creditDefaultSwap", "protectionTerms", "calculationAmount", "currency") @@ -59,9 +60,13 @@ public boolean mapUnitType(Path synonymPath, PriceSchedule.PriceScheduleBuilder || updateCurrencyPerCurrencyUnit(priceScheduleBuilder, synonymPath, "interestLeg", "notional", "relativeNotionalAmount", "href") || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "netPrice", Collections.singletonList("currency"), FinancialUnitEnum.SHARE) || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "returnLeg", Arrays.asList("notional", "notionalAmount", "currency"), FinancialUnitEnum.SHARE) + || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "pricePerOption", Arrays.asList("currency"), FinancialUnitEnum.SHARE) || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "equityOption", Arrays.asList("strike", "currency"), getPerUnitOfIndexOrShare()) || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "equityOption", Arrays.asList("strikePricePerUnit", "currency"), getPerUnitOfIndexOrShare()) || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "equityOption", Arrays.asList("equityExercise", "settlementCurrency"), getPerUnitOfIndexOrShare()) + || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "brokerEquityOption", Arrays.asList("strike", "currency"), getPerUnitOfIndexOrShare()) + || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "brokerEquityOption", Arrays.asList("strikePricePerUnit", "currency"), getPerUnitOfIndexOrShare()) + || updateCurrencyPerFinancialUnit(priceScheduleBuilder, synonymPath, "brokerEquityOption", Arrays.asList("equityExercise", "settlementCurrency"), getPerUnitOfIndexOrShare()) // Fx || updateFxOption(priceScheduleBuilder, synonymPath) || updateCurrencyPerCurrencyUnitFromQuotedCurrencyPair(priceScheduleBuilder, synonymPath, "fxVarianceSwap", Arrays.asList("quotedCurrencyPair", "quoteBasis")) diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/TotalNotionalQuantityMappingProcessor.java b/rosetta-source/src/main/java/cdm/observable/asset/processor/TotalNotionalQuantityMappingProcessor.java similarity index 95% rename from rosetta-source/src/main/java/cdm/product/common/settlement/processor/TotalNotionalQuantityMappingProcessor.java rename to rosetta-source/src/main/java/cdm/observable/asset/processor/TotalNotionalQuantityMappingProcessor.java index f7466183d0..d5c99964a6 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/TotalNotionalQuantityMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/observable/asset/processor/TotalNotionalQuantityMappingProcessor.java @@ -1,4 +1,4 @@ -package cdm.product.common.settlement.processor; +package cdm.observable.asset.processor; import cdm.base.math.CapacityUnitEnum; import cdm.base.math.NonNegativeQuantitySchedule; @@ -12,7 +12,7 @@ import java.util.List; import java.util.Optional; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.incrementPathElementIndex; +import static cdm.observable.asset.processor.PriceQuantityHelper.incrementPathElementIndex; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMappedValue; import static com.regnosys.rosetta.common.util.PathUtils.toPath; diff --git a/rosetta-source/src/main/java/cdm/product/asset/processor/DividendPayoutBasketConstituentMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/asset/processor/DividendPayoutBasketConstituentMappingProcessor.java index 705c79a1c6..7ec2dacb98 100644 --- a/rosetta-source/src/main/java/cdm/product/asset/processor/DividendPayoutBasketConstituentMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/asset/processor/DividendPayoutBasketConstituentMappingProcessor.java @@ -1,8 +1,7 @@ package cdm.product.asset.processor; -import cdm.observable.asset.Observable; +import cdm.observable.asset.metafields.ReferenceWithMetaBasketConstituent; import cdm.product.asset.DividendPayoutRatio; -import cdm.product.template.Product; import com.regnosys.rosetta.common.translation.Mapping; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.MappingProcessor; @@ -43,7 +42,7 @@ public void map(Path synonymPath, List buil if (isBasketConstituentSynonymPath(synonymPath)) { List dividendPayoutRatioBuilders = (List) builders; - List basketConstituentBuilders = dividendPayoutRatioBuilders.stream() + List basketConstituentBuilders = dividendPayoutRatioBuilders.stream() .map(DividendPayoutRatio.DividendPayoutRatioBuilder::getBasketConstituent) .filter(Objects::nonNull) .collect(Collectors.toList()); @@ -55,12 +54,12 @@ public void map(Path synonymPath, List buil // - dividendPayoutRatio is set, but the underlier is not a basketConstituent, so remove any dividendPayoutRatio.basketConstituents if (!isDividendPayoutRatioSet()) { // remove data - dividendPayoutRatioBuilders.forEach(b -> b.setBasketConstituent(null)); + //dividendPayoutRatioBuilders.forEach(b -> b.setBasketConstituent(null)); // remove all dividendPayoutRatio mappings removeAllDividendPayoutRatioMappings(basketConstituentSynonymPathMappings); } else if (basketConstituentSynonymPathMappings.isEmpty()) { // remove data - dividendPayoutRatioBuilders.forEach(b -> b.setBasketConstituent(null)); + //dividendPayoutRatioBuilders.forEach(b -> b.setBasketConstituent(null)); // remove all dividendPayoutRatio.basketConstituent mappings removeAllDividendPayoutRatioBasketConstituentMappings(); } diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachMatchingQuantityImpl.java b/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachMatchingQuantityImpl.java index c9b17fbd1e..fd40a0aebb 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachMatchingQuantityImpl.java +++ b/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachMatchingQuantityImpl.java @@ -6,10 +6,10 @@ import cdm.base.math.UnitType; import cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule; import cdm.observable.asset.PriceComposite; +import cdm.observable.asset.PriceQuantity; import cdm.observable.asset.PriceSchedule; import cdm.observable.asset.PriceTypeEnum; import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule; -import cdm.product.common.settlement.PriceQuantity; import com.rosetta.model.metafields.FieldWithMetaString; import java.math.BigDecimal; diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachQuantityImpl.java b/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachQuantityImpl.java index 9ff97f3ae3..e05010463e 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachQuantityImpl.java +++ b/rosetta-source/src/main/java/cdm/product/common/settlement/functions/UpdateAmountForEachQuantityImpl.java @@ -2,14 +2,14 @@ import cdm.base.math.NonNegativeQuantitySchedule; import cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule; -import cdm.product.common.settlement.PriceQuantity; +import cdm.observable.asset.PriceQuantity; import java.math.BigDecimal; import java.util.List; import java.util.Objects; import java.util.stream.Collectors; -import static cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule.*; +import static cdm.base.math.metafields.FieldWithMetaNonNegativeQuantitySchedule.FieldWithMetaNonNegativeQuantityScheduleBuilder; import static com.rosetta.util.CollectionUtils.emptyIfNull; public class UpdateAmountForEachQuantityImpl extends UpdateAmountForEachQuantity { diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/FxOptionQuantityMetaMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/common/settlement/processor/FxOptionQuantityMetaMappingProcessor.java new file mode 100644 index 0000000000..4813dafa8a --- /dev/null +++ b/rosetta-source/src/main/java/cdm/product/common/settlement/processor/FxOptionQuantityMetaMappingProcessor.java @@ -0,0 +1,47 @@ +package cdm.product.common.settlement.processor; + +import cdm.base.staticdata.asset.common.processor.FxMetaHelper; +import com.regnosys.rosetta.common.translation.Mapping; +import com.regnosys.rosetta.common.translation.MappingContext; +import com.regnosys.rosetta.common.translation.MappingProcessor; +import com.regnosys.rosetta.common.translation.Path; +import com.regnosys.rosetta.common.util.PathUtils; +import com.rosetta.model.lib.RosettaModelObjectBuilder; +import com.rosetta.model.lib.meta.Reference; +import com.rosetta.model.lib.path.RosettaPath; + +import java.util.List; + +import static cdm.base.math.metafields.ReferenceWithMetaNonNegativeQuantitySchedule.ReferenceWithMetaNonNegativeQuantityScheduleBuilder; + +@SuppressWarnings("unused") // used in generated code +public class FxOptionQuantityMetaMappingProcessor extends MappingProcessor { + + private final FxMetaHelper helper; + + public FxOptionQuantityMetaMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { + super(modelPath, synonymPaths, context); + this.helper = new FxMetaHelper(context.getMappings()); + } + + @Override + public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { + helper.getStrikeQuoteBasisCurrencySynonymPath(synonymPath) + .map(currencyPath -> currencyPath.getParent().addElement("amount")) + .ifPresent(amountPath -> { + ReferenceWithMetaNonNegativeQuantityScheduleBuilder quantityScheduleBuilder = (ReferenceWithMetaNonNegativeQuantityScheduleBuilder) builder; + Reference.ReferenceBuilder referenceBuilder = quantityScheduleBuilder.getOrCreateReference(); + addMapping(amountPath, referenceBuilder); + }); + } + + private void addMapping(Path currencySynonymPath, Reference.ReferenceBuilder reference) { + // create new mapping to make the reference work + Path referencePath = PathUtils.toPath(getModelPath()).addElement("reference"); + getMappings().add(createSuccessMapping(currencySynonymPath, referencePath, reference)); + } + + private Mapping createSuccessMapping(Path xmlPath, Path modelPath, Reference.ReferenceBuilder reference) { + return new Mapping(xmlPath, null, modelPath, reference, null, true, true, false); + } +} diff --git a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/RelativeNotionalAmountMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/common/settlement/processor/RelativeNotionalAmountMappingProcessor.java index 77caec8bd5..9df6835cb3 100644 --- a/rosetta-source/src/main/java/cdm/product/common/settlement/processor/RelativeNotionalAmountMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/common/settlement/processor/RelativeNotionalAmountMappingProcessor.java @@ -12,7 +12,6 @@ import java.util.Optional; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.filterMappings; -import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMapping; public class RelativeNotionalAmountMappingProcessor extends MappingProcessor { diff --git a/rosetta-source/src/main/java/cdm/product/template/functions/FpmlIrd8Impl.java b/rosetta-source/src/main/java/cdm/product/template/functions/FpmlIrd8Impl.java index f497927aa8..bee6eb68fd 100644 --- a/rosetta-source/src/main/java/cdm/product/template/functions/FpmlIrd8Impl.java +++ b/rosetta-source/src/main/java/cdm/product/template/functions/FpmlIrd8Impl.java @@ -3,6 +3,7 @@ import cdm.base.staticdata.party.Account; import cdm.base.staticdata.party.Counterparty; import cdm.base.staticdata.party.metafields.ReferenceWithMetaParty; +import cdm.event.common.Trade; import cdm.product.template.TradableProduct; import java.util.List; @@ -16,12 +17,12 @@ public class FpmlIrd8Impl extends FpmlIrd8 { @Override - protected Boolean doEvaluate(TradableProduct tradableProduct, List accounts) { - if ( tradableProduct.getCounterparty() == null || tradableProduct.getCounterparty().size() != 2) + protected Boolean doEvaluate(Trade trade, List accounts) { + if ( trade.getCounterparty() == null || trade.getCounterparty().size() != 2) return false; - Optional party1 = Optional.ofNullable(tradableProduct.getCounterparty().get(0)).map(Counterparty::getPartyReference); - Optional party2 = Optional.ofNullable(tradableProduct.getCounterparty().get(1)).map(Counterparty::getPartyReference); + Optional party1 = Optional.ofNullable(trade.getCounterparty().get(0)).map(Counterparty::getPartyReference); + Optional party2 = Optional.ofNullable(trade.getCounterparty().get(1)).map(Counterparty::getPartyReference); if (!party1.isPresent() || !party2.isPresent()) return false; diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/AssetCashMetaMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/AssetCashMetaMappingProcessor.java new file mode 100644 index 0000000000..d208db8ca7 --- /dev/null +++ b/rosetta-source/src/main/java/cdm/product/template/processor/AssetCashMetaMappingProcessor.java @@ -0,0 +1,53 @@ +package cdm.product.template.processor; + +import cdm.base.staticdata.asset.common.processor.FxMetaHelper; +import cdm.observable.asset.metafields.ReferenceWithMetaObservable; +import cdm.product.template.Underlier; +import com.regnosys.rosetta.common.translation.Mapping; +import com.regnosys.rosetta.common.translation.MappingContext; +import com.regnosys.rosetta.common.translation.MappingProcessor; +import com.regnosys.rosetta.common.translation.Path; +import com.regnosys.rosetta.common.util.PathUtils; +import com.rosetta.model.lib.RosettaModelObjectBuilder; +import com.rosetta.model.lib.meta.Reference; +import com.rosetta.model.lib.path.RosettaPath; + +import java.util.List; + +@SuppressWarnings("unused") // used in generated code +public class AssetCashMetaMappingProcessor extends MappingProcessor { + + private final FxMetaHelper helper; + + public AssetCashMetaMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { + super(modelPath, synonymPaths, context); + this.helper = new FxMetaHelper(context.getMappings()); + } + + @Override + public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { + helper.getCurrencySynonymPath(synonymPath) + .ifPresent(currencyPath -> setReference(currencyPath, builder)); + } + + private void setReference(Path currencyPath, RosettaModelObjectBuilder builder) { + if (builder instanceof Underlier.UnderlierBuilder) { + Reference.ReferenceBuilder reference = ((Underlier.UnderlierBuilder) builder).getOrCreateObservable().getOrCreateReference(); + addMapping(currencyPath, "Observable", reference); + } else if (builder instanceof ReferenceWithMetaObservable.ReferenceWithMetaObservableBuilder) { + Reference.ReferenceBuilder reference = ((ReferenceWithMetaObservable.ReferenceWithMetaObservableBuilder) builder).getOrCreateReference(); + addMapping(currencyPath, null, reference); + } + } + + private void addMapping(Path currencySynonymPath, String modelPathElement, Reference.ReferenceBuilder reference) { + // create new mapping to make the reference work + RosettaPath modelPath = modelPathElement != null ? getModelPath().newSubPath(modelPathElement) : getModelPath(); + Path referencePath = PathUtils.toPath(modelPath).addElement("reference"); + getMappings().add(createSuccessMapping(currencySynonymPath, referencePath, reference)); + } + + private Mapping createSuccessMapping(Path xmlPath, Path modelPath, Reference.ReferenceBuilder reference) { + return new Mapping(xmlPath, null, modelPath, reference, null, true, true, false); + } +} diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/CommodityClassificationMetaMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/CommodityClassificationMetaMappingProcessor.java index 06382bbaf3..5fbfe8aac1 100644 --- a/rosetta-source/src/main/java/cdm/product/template/processor/CommodityClassificationMetaMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/template/processor/CommodityClassificationMetaMappingProcessor.java @@ -1,23 +1,18 @@ package cdm.product.template.processor; -import cdm.base.staticdata.asset.common.Commodity; -import cdm.base.staticdata.asset.common.Taxonomy; -import cdm.base.staticdata.asset.common.TaxonomyClassification; -import cdm.base.staticdata.asset.common.TaxonomySourceEnum; -import cdm.product.template.ForwardPayout; +import cdm.product.template.SettlementPayout; import com.regnosys.rosetta.common.translation.Mapping; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.MappingProcessor; import com.regnosys.rosetta.common.translation.Path; +import com.regnosys.rosetta.common.util.PathUtils; import com.rosetta.model.lib.RosettaModelObjectBuilder; +import com.rosetta.model.lib.meta.Reference; import com.rosetta.model.lib.path.RosettaPath; -import java.util.*; -import java.util.stream.Collectors; +import java.util.List; -import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.subPath; -import static java.util.stream.Collectors.groupingBy; -import static java.util.stream.Collectors.toList; +import static cdm.observable.asset.processor.PriceQuantityHelper.incrementPathElementIndex; @SuppressWarnings("unused") public class CommodityClassificationMetaMappingProcessor extends MappingProcessor { @@ -28,92 +23,28 @@ public CommodityClassificationMetaMappingProcessor(RosettaPath modelPath, List

builders, RosettaModelObjectBuilder parent) { - List forwardPayoutBuilders = (List) builders; - if (!forwardPayoutBuilders.isEmpty()) { - ForwardPayout.ForwardPayoutBuilder forwardPayoutBuilder = forwardPayoutBuilders.get(0); - Commodity.CommodityBuilder commodityBuilder = forwardPayoutBuilder.getOrCreateUnderlier().getOrCreateCommodity(); - - List commodityClassificationMappings = getCommodityClassificationMappings(synonymPath.addElement("commodityClassification")); - Map> groupedCommodityClassificationMappings = groupMappings("commodityClassification", commodityClassificationMappings); - - groupedCommodityClassificationMappings.values().forEach(mappings -> - getTaxonomy(mappings, getModelPath()).ifPresent(commodityBuilder::addTaxonomy)); - } - } - - private Optional getTaxonomy(List groupedCommodityClassificationMappings, RosettaPath modelPath) { - Taxonomy.TaxonomyBuilder taxonomyBuilder = Taxonomy.builder(); - - Map> groupedCodeMappings = groupMappings("code", groupedCommodityClassificationMappings); - - groupedCodeMappings.values().forEach(mappings -> { - getTaxonomyClassification(mappings).ifPresent(taxonomyBuilder.getOrCreateValue()::addClassification); - getTaxonomySource(mappings).ifPresent(taxonomyBuilder::setSource); - }); - - return taxonomyBuilder.hasData() ? Optional.of(taxonomyBuilder.build()) : Optional.empty(); - } - - private Optional getTaxonomyClassification(List groupedCodeMappings) { - TaxonomyClassification.TaxonomyClassificationBuilder taxonomyClassificationBuilder = TaxonomyClassification.builder(); - - groupedCodeMappings.forEach(mapping -> { - if (mapping.getXmlPath().endsWith("code")) { - taxonomyClassificationBuilder.setValue((String) mapping.getXmlValue()); - } - if (mapping.getXmlPath().endsWith("commodityClassificationScheme")) { - getOrdinal((String) mapping.getXmlValue()).ifPresent(taxonomyClassificationBuilder::setOrdinal); - } - }); - - return taxonomyClassificationBuilder.hasData() ? Optional.of(taxonomyClassificationBuilder.build()) : Optional.empty(); - } - - private Optional getOrdinal(String scheme) { - switch (scheme) { - case "http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification": - case "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification": - return Optional.of(1); - case "http://www.fpml.org/coding-scheme/isda-layer-2-commodity-classification": - case "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-2-commodity-classification": - return Optional.of(2); - case "http://www.fpml.org/coding-scheme/isda-layer-3-commodity-classification": - case "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-3-commodity-classification": - return Optional.of(3); - default: - return Optional.empty(); - } - } - - private Optional getTaxonomySource(List mappings) { - if (containsScheme(mappings, "http://www.fpml.org/coding-scheme/isda-layer")) { - return Optional.of(TaxonomySourceEnum.ISDA); - } else if (containsScheme(mappings, "http://www.fpml.org/coding-scheme/esma-emir-refit-layer")) { - return Optional.of(TaxonomySourceEnum.EMIR); - } else { - return Optional.empty(); + List settlementPayoutBuilders = + (List) builders; + if (!settlementPayoutBuilders.isEmpty()) { + SettlementPayout.SettlementPayoutBuilder settlementPayoutBuilder = settlementPayoutBuilders.get(0); + // create reference + Reference.ReferenceBuilder referenceBuilder = + settlementPayoutBuilder.getOrCreateUnderlier().getOrCreateObservable().getOrCreateReference(); + // create new mapping to make the reference work + Path commodityClassificationSynonymPath = + synonymPath + .addElement("commodityClassification", 0) + .addElement("code", 0); + Path modelPath = PathUtils.toPath(getModelPath()); + Path referenceModelPath = incrementPathElementIndex(modelPath, "settlementPayout", 0) + .addElement("underlier") + .addElement("Observable") + .addElement("reference"); + getMappings().add(createSuccessMapping(commodityClassificationSynonymPath, referenceModelPath, referenceBuilder)); } } - private boolean containsScheme(List mappings, String scheme) { - return mappings.stream() - .map(Mapping::getXmlValue) - .filter(Objects::nonNull) - .map(String.class::cast) - .anyMatch(v -> v.contains(scheme)); - } - - private List getCommodityClassificationMappings(Path startsWith) { - return getMappings().stream() - .filter(m -> startsWith.nameStartMatches(m.getXmlPath())) - .collect(Collectors.toList()); - } - - private Map> groupMappings(String groupByPathElement, List filteredMappings) { - return filteredMappings.stream() - .filter(m -> m.getXmlValue() != null) - .filter(m -> subPath(groupByPathElement, m.getXmlPath()).isPresent()) - // group the mappings by the groupByPathElement - .collect(groupingBy(m -> subPath(groupByPathElement, m.getXmlPath()).get(), LinkedHashMap::new, toList())); + private Mapping createSuccessMapping(Path xmlPath, Path modelPath, Reference.ReferenceBuilder reference) { + return new Mapping(xmlPath, null, modelPath, reference, null, true, true, false); } } \ No newline at end of file diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/DividendFixedLegMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/DividendFixedLegMappingProcessor.java index 488f858d82..98a4f82e77 100644 --- a/rosetta-source/src/main/java/cdm/product/template/processor/DividendFixedLegMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/template/processor/DividendFixedLegMappingProcessor.java @@ -13,7 +13,7 @@ import java.util.List; import java.util.concurrent.atomic.AtomicInteger; -import static cdm.base.staticdata.party.PayerReceiver.*; +import static cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; import static com.rosetta.util.CollectionUtils.emptyIfNull; /** diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/FraPayoutSplitterMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/FraPayoutSplitterMappingProcessor.java index a2265de988..b82fd283d1 100644 --- a/rosetta-source/src/main/java/cdm/product/template/processor/FraPayoutSplitterMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/template/processor/FraPayoutSplitterMappingProcessor.java @@ -2,8 +2,8 @@ import cdm.base.staticdata.party.PayerReceiver.PayerReceiverBuilder; import cdm.legaldocumentation.contract.processor.PartyMappingHelper; +import cdm.observable.asset.processor.PriceQuantityHelper; import cdm.product.asset.InterestRatePayout.InterestRatePayoutBuilder; -import cdm.product.common.settlement.processor.PriceQuantityHelper; import com.regnosys.rosetta.common.translation.Mapping; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.MappingProcessor; @@ -17,9 +17,6 @@ import java.util.List; import java.util.Optional; -import static cdm.observable.asset.metafields.ReferenceWithMetaFloatingRateOption.ReferenceWithMetaFloatingRateOptionBuilder; -import static cdm.product.asset.FloatingRate.FloatingRateBuilder; -import static cdm.product.asset.RateSpecification.RateSpecificationBuilder; import static cdm.product.template.processor.FraHelper.getDummyFloatingLegPath; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.filterMappings; import static com.rosetta.util.CollectionUtils.emptyIfNull; @@ -57,7 +54,7 @@ public void map(Path synonymPath, List buil * Remove floating rate specification and fixing dates as these belongs on the floating leg. */ private void updateFixedLeg(InterestRatePayoutBuilder fixedLeg) { - fixedLeg.getRateSpecification().setFloatingRate(null); + fixedLeg.getRateSpecification().setFloatingRateSpecification(null); if (fixedLeg.getResetDates() != null) { fixedLeg.getResetDates().setFixingDates(null); @@ -70,7 +67,7 @@ private void updateFixedLeg(InterestRatePayoutBuilder fixedLeg) { * Flip payer/receiver parties (required as this leg was created as a copy of the fixed leg). */ private void updateFloatingLeg(Path synonymPath, InterestRatePayoutBuilder floatingLeg) { - floatingLeg.getRateSpecification().toBuilder().setFixedRate(null); + floatingLeg.getRateSpecification().toBuilder().setFixedRateSpecification(null); floatingLeg.setPaymentDates(null); getReferenceMapping(synonymPath.addElement("notional").addElement("amount")) @@ -106,15 +103,15 @@ private void addFloatingLegQuantityReference(Mapping mapping, InterestRatePayout false)); } - private void updateFloatingRateIndexReference(Mapping mapping, InterestRatePayoutBuilder floatingLeg) { - Reference.ReferenceBuilder reference = Optional.of(floatingLeg) - .map(b -> b.getRateSpecification()) - .map(b -> b.getFloatingRate()) - .map(b -> b.getRateOption()) - .map(b -> b.getReference()) - .orElse(null); + private void updateFloatingRateIndexReference(Mapping mapping, InterestRatePayoutBuilder floatingLegBuilder) { + Reference.ReferenceBuilder reference = floatingLegBuilder + .getOrCreateRateSpecification() + .getOrCreateFloatingRateSpecification() + .getOrCreateRateOption() + .getOrCreateReference(); + Path modelPath = PriceQuantityHelper.incrementPathElementIndex(mapping.getRosettaPath(), "interestRatePayout", 1); mapping.setRosettaValue(reference); - mapping.setRosettaPath(PriceQuantityHelper.incrementPathElementIndex(mapping.getRosettaPath(), "interestRatePayout", 1)); + mapping.setRosettaPath(modelPath); } private void updateFloatingLegParties(InterestRatePayoutBuilder floatingLeg) { diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/FraPriceQuantitySplitterMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/FraPriceQuantitySplitterMappingProcessor.java index b281b8bd02..369957b220 100644 --- a/rosetta-source/src/main/java/cdm/product/template/processor/FraPriceQuantitySplitterMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/template/processor/FraPriceQuantitySplitterMappingProcessor.java @@ -1,6 +1,9 @@ package cdm.product.template.processor; -import cdm.product.common.settlement.processor.PriceQuantityHelper; +import cdm.base.staticdata.asset.common.AssetClassEnum; +import cdm.base.staticdata.asset.common.AssetIdTypeEnum; +import cdm.observable.asset.InterestRateIndex; +import cdm.observable.asset.processor.PriceQuantityHelper; import com.regnosys.rosetta.common.translation.Mapping; import com.regnosys.rosetta.common.translation.MappingContext; import com.regnosys.rosetta.common.translation.MappingProcessor; @@ -12,7 +15,7 @@ import java.util.List; import java.util.Optional; -import static cdm.product.common.settlement.PriceQuantity.PriceQuantityBuilder; +import static cdm.observable.asset.PriceQuantity.PriceQuantityBuilder; import static cdm.product.template.processor.FraHelper.getDummyFloatingLegPath; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.filterMappings; import static com.rosetta.model.lib.meta.Reference.ReferenceBuilder; @@ -23,6 +26,7 @@ * * FpML synonyms map the input FpML onto a single PriceQuantity, then this mapper splits it into a fixed and floating PriceQuantity instances. */ +@SuppressWarnings("unused") public class FraPriceQuantitySplitterMappingProcessor extends MappingProcessor { public FraPriceQuantitySplitterMappingProcessor(RosettaPath path, List synonymPaths, MappingContext context) { @@ -48,6 +52,18 @@ private PriceQuantityBuilder updateFixedLeg(PriceQuantityBuilder fixedLegPriceQu private void updateFloatingLeg(Path synonymPath, PriceQuantityBuilder floatingLegPriceQuantity) { floatingLegPriceQuantity.getPrice().clear(); + + InterestRateIndex.InterestRateIndexBuilder interestRateIndexBuilder = floatingLegPriceQuantity + .getOrCreateObservable() + .getOrCreateValue() + .getOrCreateIndex() + .getOrCreateFloatingRateIndex() + .getOrCreateValue() + .getOrCreateInterestRateIndex(); + emptyIfNull(interestRateIndexBuilder.getIdentifier()) + .forEach(b -> b.setIdentifierType(AssetIdTypeEnum.OTHER)); + interestRateIndexBuilder + .setAssetClass(AssetClassEnum.INTEREST_RATE); getNonReferenceMapping(synonymPath.addElement("notional").addElement("amount")) .ifPresent(this::updateFloatingLegQuantity); @@ -57,10 +73,11 @@ private void updateFloatingLeg(Path synonymPath, PriceQuantityBuilder floatingLe } private Optional getNonReferenceMapping(Path synonymPath) { - return filterMappings(getContext().getMappings(), synonymPath).stream() + return filterMappings(getMappings(), synonymPath).stream() .filter(m -> !(m.getRosettaValue() instanceof ReferenceBuilder)) .filter(m -> Arrays.stream(m.getRosettaPath().getPathNames()).anyMatch("tradeLot"::equals)) .filter(m -> m.getXmlValue() != null) + .filter(m -> m.getRosettaValue() != null) .findFirst(); } diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/InterestRateForwardDebtPriceMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/InterestRateForwardDebtPriceMappingProcessor.java index b950e19c33..b2d6a18be3 100644 --- a/rosetta-source/src/main/java/cdm/product/template/processor/InterestRateForwardDebtPriceMappingProcessor.java +++ b/rosetta-source/src/main/java/cdm/product/template/processor/InterestRateForwardDebtPriceMappingProcessor.java @@ -18,9 +18,9 @@ import java.util.Objects; import static cdm.base.math.UnitType.builder; -import static cdm.product.common.settlement.PriceQuantity.PriceQuantityBuilder; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.incrementPathElementIndex; -import static cdm.product.common.settlement.processor.PriceQuantityHelper.toReferencablePriceBuilder; +import static cdm.observable.asset.PriceQuantity.PriceQuantityBuilder; +import static cdm.observable.asset.processor.PriceQuantityHelper.incrementPathElementIndex; +import static cdm.observable.asset.processor.PriceQuantityHelper.toReferencablePriceBuilder; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMappedValue; import static com.regnosys.rosetta.common.translation.MappingProcessorUtils.getNonNullMapping; import static com.regnosys.rosetta.common.util.PathUtils.toPath; diff --git a/rosetta-source/src/main/java/cdm/product/template/processor/UnderlierMetaMappingProcessor.java b/rosetta-source/src/main/java/cdm/product/template/processor/UnderlierMetaMappingProcessor.java new file mode 100644 index 0000000000..a16e137957 --- /dev/null +++ b/rosetta-source/src/main/java/cdm/product/template/processor/UnderlierMetaMappingProcessor.java @@ -0,0 +1,30 @@ +package cdm.product.template.processor; + +import com.regnosys.rosetta.common.translation.MappingContext; +import com.regnosys.rosetta.common.translation.MappingProcessor; +import com.regnosys.rosetta.common.translation.Path; +import com.rosetta.model.lib.RosettaModelObjectBuilder; +import com.rosetta.model.lib.meta.Reference; +import com.rosetta.model.lib.path.RosettaPath; + +import java.util.List; + +@SuppressWarnings("unused") // used in generated code +public class UnderlierMetaMappingProcessor extends MappingProcessor { + + public UnderlierMetaMappingProcessor(RosettaPath modelPath, List synonymPaths, MappingContext context) { + super(modelPath, synonymPaths, context); + } + + @Override + public void map(Path synonymPath, RosettaModelObjectBuilder builder, RosettaModelObjectBuilder parent) { + // clean up duplicate mappings caused by references + getMappings().stream() + .filter(m -> m.getRosettaValue() instanceof Reference.ReferenceBuilder) + .filter(m -> m.getError() != null) + .forEach(m -> { + m.setDuplicate(false); + m.setError(null); + }); + } +} diff --git a/rosetta-source/src/main/java/cdm/security/lending/functions/SettlementFunctionHelper.java b/rosetta-source/src/main/java/cdm/security/lending/functions/SettlementFunctionHelper.java index 9267e9a294..25087bd050 100644 --- a/rosetta-source/src/main/java/cdm/security/lending/functions/SettlementFunctionHelper.java +++ b/rosetta-source/src/main/java/cdm/security/lending/functions/SettlementFunctionHelper.java @@ -11,9 +11,7 @@ import cdm.event.common.functions.CalculateTransfer; import cdm.event.common.functions.Create_BusinessEvent; import cdm.event.common.functions.Create_Return; -import cdm.event.common.metafields.ReferenceWithMetaCollateralPortfolio; import cdm.event.workflow.EventInstruction; -import cdm.product.collateral.Collateral; import cdm.product.template.*; import com.google.common.collect.Iterables; import com.rosetta.model.lib.RosettaModelObject; @@ -23,7 +21,9 @@ import javax.inject.Inject; import java.time.LocalDate; -import java.util.*; +import java.util.Arrays; +import java.util.List; +import java.util.Optional; import java.util.function.Function; import java.util.stream.Collectors; @@ -49,7 +49,7 @@ public BusinessEvent createExecution(ExecutionInstruction executionInstruction, .setExecution(executionInstructionWithRefs)) .build()); - BusinessEvent businessEvent = create_businessEvent.evaluate(instructions,null,eventDate,null); + BusinessEvent businessEvent = create_businessEvent.evaluate(instructions, null, eventDate, null); return postProcess(BusinessEvent.class, businessEvent); } @@ -75,7 +75,7 @@ public LocalDate farSettlementDate(BusinessEvent businessEvent) { } private LocalDate settlementDate(BusinessEvent businessEvent, Function, AssetLeg> assetLegSelector) { - return getSecurityPayout(businessEvent) + return getAssetPayout(businessEvent) .map(Payout::getAssetPayout) .filter(x -> !x.isEmpty()).map(Iterables::getLast) .map(AssetPayout::getAssetLeg) @@ -89,7 +89,7 @@ private LocalDate settlementDate(BusinessEvent businessEvent, Function quantities, - LocalDate transferDate) { - Payout payout = getSecurityPayout(executionBusinessEvent).orElse(null); + List quantities, + LocalDate transferDate) { + Payout payout = getAssetPayout(executionBusinessEvent).orElse(null); Quantity shareQuantity = getShareQuantity(quantities); TradeState before = getAfterState(executionBusinessEvent).orElse(null); CalculateTransferInstruction calculateTransferInstruction = @@ -167,24 +167,12 @@ private PayerReceiver invert(PayerReceiver payerReceiver) { private Optional getPayout(BusinessEvent executionBusinessEvent) { return getAfterState(executionBusinessEvent) .map(TradeState::getTrade) - .map(Trade::getTradableProduct) .map(TradableProduct::getProduct) - .map(Product::getContractualProduct) - .map(ContractualProduct::getEconomicTerms) - .map(EconomicTerms::getCollateral) - .map(Collateral::getCollateralPortfolio) - .orElse(Collections.emptyList()).stream() - .map(ReferenceWithMetaCollateralPortfolio::getValue) - .map(CollateralPortfolio::getCollateralPosition) - .flatMap(Collection::stream) - .map(CollateralPosition::getProduct) - .map(Product::getContractualProduct) - .map(ContractualProduct::getEconomicTerms) - .map(EconomicTerms::getPayout) - .findFirst(); - } - - private Optional getSecurityPayout(BusinessEvent executionBusinessEvent) { + .map(NonTransferableProduct::getEconomicTerms) + .map(EconomicTerms::getPayout); + } + + private Optional getAssetPayout(BusinessEvent executionBusinessEvent) { return getPayout(executionBusinessEvent) .map(Payout::getAssetPayout) .map(securityFinancePayouts -> Payout.builder().setAssetPayout(securityFinancePayouts) diff --git a/rosetta-source/src/main/java/org/isda/cdm/qualify/CdmQualificationHandlerProvider.java b/rosetta-source/src/main/java/org/isda/cdm/qualify/CdmQualificationHandlerProvider.java index 0b8a796867..1e5bc37c8a 100644 --- a/rosetta-source/src/main/java/org/isda/cdm/qualify/CdmQualificationHandlerProvider.java +++ b/rosetta-source/src/main/java/org/isda/cdm/qualify/CdmQualificationHandlerProvider.java @@ -1,7 +1,7 @@ package org.isda.cdm.qualify; import cdm.event.common.BusinessEvent; -import cdm.product.template.ContractualProduct; +import cdm.product.template.NonTransferableProduct; import com.google.common.collect.ImmutableMap; import com.regnosys.rosetta.common.postprocess.qualify.QualificationHandler; import com.regnosys.rosetta.common.postprocess.qualify.QualificationHandlerProvider; @@ -12,7 +12,7 @@ public class CdmQualificationHandlerProvider implements QualificationHandlerProv private final Map, QualificationHandler> handlerMap = ImmutableMap., QualificationHandler>builder() - .put(ContractualProduct.class, new EconomicTermsQualificationHandler()) + .put(NonTransferableProduct.class, new EconomicTermsQualificationHandler()) .put(BusinessEvent.class, new BusinessEventQualificationHandler()) .build(); diff --git a/rosetta-source/src/main/java/org/isda/cdm/qualify/EconomicTermsQualificationHandler.java b/rosetta-source/src/main/java/org/isda/cdm/qualify/EconomicTermsQualificationHandler.java index ae1519a1ea..76f3d568d3 100644 --- a/rosetta-source/src/main/java/org/isda/cdm/qualify/EconomicTermsQualificationHandler.java +++ b/rosetta-source/src/main/java/org/isda/cdm/qualify/EconomicTermsQualificationHandler.java @@ -2,8 +2,8 @@ import cdm.base.staticdata.asset.common.ProductTaxonomy; import cdm.base.staticdata.asset.common.TaxonomySourceEnum; -import cdm.product.template.ContractualProduct; import cdm.product.template.EconomicTerms; +import cdm.product.template.NonTransferableProduct; import com.regnosys.rosetta.common.postprocess.qualify.QualificationHandler; import java.util.Collections; @@ -15,7 +15,7 @@ /** * Qualification handler for EconomicTerms */ -public class EconomicTermsQualificationHandler implements QualificationHandler { +public class EconomicTermsQualificationHandler implements QualificationHandler { @Override public Class getQualifiableClass() { @@ -23,16 +23,16 @@ public Class getQualifiableClass() { } @Override - public EconomicTerms getQualifiableObject(ContractualProduct contractualProduct) { - return Optional.ofNullable(contractualProduct) - .map(ContractualProduct::getEconomicTerms) + public EconomicTerms getQualifiableObject(NonTransferableProduct product) { + return Optional.ofNullable(product) + .map(NonTransferableProduct::getEconomicTerms) .orElse(null); } @Override - public String getQualifier(ContractualProduct contractualProduct) { - return Optional.ofNullable(contractualProduct) - .map(ContractualProduct::getProductTaxonomy) + public String getQualifier(NonTransferableProduct productBase) { + return Optional.ofNullable(productBase) + .map(NonTransferableProduct::getTaxonomy) .orElse(Collections.emptyList()) .stream() .map(ProductTaxonomy::getProductQualifier) @@ -42,10 +42,10 @@ public String getQualifier(ContractualProduct contractualProduct) { } @Override - public void setQualifier(ContractualProduct.ContractualProductBuilder contractualProductBuilder, String qualifier) { + public void setQualifier(NonTransferableProduct.NonTransferableProductBuilder productBuilder, String qualifier) { // Find any existing ProductTaxonomy ProductTaxonomy.ProductTaxonomyBuilder productTaxonomyBuilder = - emptyIfNull(contractualProductBuilder.getProductTaxonomy()) + emptyIfNull(productBuilder.getTaxonomy()) .stream() .filter(t -> t.getProductQualifier() != null) .findFirst() @@ -57,7 +57,7 @@ public void setQualifier(ContractualProduct.ContractualProductBuilder contractua .setSource(TaxonomySourceEnum.ISDA); } else { // Or add new ProductTaxonomy - contractualProductBuilder.addProductTaxonomy(ProductTaxonomy.builder() + productBuilder.addTaxonomy(ProductTaxonomy.builder() .setProductQualifier(qualifier) .setSource(TaxonomySourceEnum.ISDA)); } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/cme-cleared-confirm-1-17/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/cme-cleared-confirm-1-17/expectations.json index c8448b67ec..305ed552f4 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/cme-cleared-confirm-1-17/expectations.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/cme-cleared-confirm-1-17/expectations.json @@ -2,13 +2,13 @@ {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR.xml","excludedPaths":0,"externalPaths":313,"outstandingMappings":6,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_Basis","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/FRA-ex01.xml","excludedPaths":0,"externalPaths":77,"outstandingMappings":4,"validationFailures":7,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_Fra","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/FRA-ex02.xml","excludedPaths":0,"externalPaths":131,"outstandingMappings":4,"validationFailures":6,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_Fra","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, -{"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float.xml","excludedPaths":0,"externalPaths":190,"outstandingMappings":8,"validationFailures":5,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, +{"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float.xml","excludedPaths":0,"externalPaths":190,"outstandingMappings":8,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float.xml","excludedPaths":0,"externalPaths":347,"outstandingMappings":6,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule.xml","excludedPaths":0,"externalPaths":344,"outstandingMappings":6,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding.xml","excludedPaths":0,"externalPaths":426,"outstandingMappings":7,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub.xml","excludedPaths":0,"externalPaths":316,"outstandingMappings":7,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, -{"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable.xml","excludedPaths":0,"externalPaths":160,"outstandingMappings":8,"validationFailures":13,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat_OIS","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, -{"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI.xml","excludedPaths":0,"externalPaths":186,"outstandingMappings":8,"validationFailures":6,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat_ZeroCoupon","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, +{"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable.xml","excludedPaths":0,"externalPaths":160,"outstandingMappings":8,"validationFailures":11,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat_OIS","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, +{"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI.xml","excludedPaths":0,"externalPaths":186,"outstandingMappings":8,"validationFailures":4,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat_ZeroCoupon","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero.xml","excludedPaths":0,"externalPaths":204,"outstandingMappings":6,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat_ZeroCoupon","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex09-OIS.xml","excludedPaths":0,"externalPaths":200,"outstandingMappings":6,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat_OIS","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/cme-cleared-confirm-1-17/IRS-ex10-OIS.xml","excludedPaths":0,"externalPaths":200,"outstandingMappings":6,"validationFailures":3,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, diff --git a/rosetta-source/src/main/resources/cdm-sample-files/dtcc-11-0/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/dtcc-11-0/expectations.json index b20688d427..d997594375 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/dtcc-11-0/expectations.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/dtcc-11-0/expectations.json @@ -1,7 +1,7 @@ [ -{"fileName":"cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml","excludedPaths":0,"externalPaths":97,"outstandingMappings":5,"validationFailures":7,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"CreditDefaultSwap_SingleName","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, +{"fileName":"cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml","excludedPaths":0,"externalPaths":97,"outstandingMappings":5,"validationFailures":8,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"CreditDefaultSwap_SingleName","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, 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{"fileName":"cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml","excludedPaths":0,"externalPaths":88,"outstandingMappings":5,"validationFailures":7,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"CreditDefaultSwap_SingleName","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/dtcc-11-0/DDL_NewTrade5.xml","excludedPaths":0,"externalPaths":74,"outstandingMappings":5,"validationFailures":8,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"CreditDefaultSwap_SingleName","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, 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{"fileName":"cdm-sample-files/fpml-5-12/products/rates/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.xml","excludedPaths":0,"externalPaths":113,"outstandingMappings":7,"validationFailures":2,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, {"fileName":"cdm-sample-files/fpml-5-12/products/rates/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.xml","excludedPaths":0,"externalPaths":112,"outstandingMappings":7,"validationFailures":2,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-12/products/repo/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-12/products/repo/expectations.json index 5aeccb7850..2aa1259dcc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-12/products/repo/expectations.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-12/products/repo/expectations.json @@ -1,3 +1,3 @@ [ -{"fileName":"cdm-sample-files/fpml-5-12/products/repo/sbl-ex01-term-egrn-cash.xml","excludedPaths":0,"externalPaths":82,"outstandingMappings":58,"validationFailures":4,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}, -{"fileName":"cdm-sample-files/fpml-5-12/products/repo/sbl-ex02-term-fx-rate-non-cash.xml","excludedPaths":0,"externalPaths":78,"outstandingMappings":56,"validationFailures":5,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}] \ No newline at end of file +{"fileName":"cdm-sample-files/fpml-5-12/products/repo/sbl-ex01-term-egrn-cash.xml","excludedPaths":0,"externalPaths":82,"outstandingMappings":58,"validationFailures":6,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}, +{"fileName":"cdm-sample-files/fpml-5-12/products/repo/sbl-ex02-term-fx-rate-non-cash.xml","excludedPaths":0,"externalPaths":78,"outstandingMappings":56,"validationFailures":7,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/expectations.json index 9acc404213..4095cf41fc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/expectations.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/expectations.json @@ -1,8 +1,8 @@ [ -{"fileName":"cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/msg-ex100-execution-advice-trs-partial-termination.xml","excludedPaths":0,"externalPaths":74,"outstandingMappings":41,"validationFailures":6,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}, -{"fileName":"cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/msg-ex61-execution-advice-trade-change-F03-00.xml","excludedPaths":0,"externalPaths":80,"outstandingMappings":57,"validationFailures":5,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}, 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+{"fileName":"cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/msg-ex66-execution-advice-trade-full-termination.xml","excludedPaths":0,"externalPaths":67,"outstandingMappings":33,"validationFailures":8,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}, +{"fileName":"cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/msg-ex67-execution-advice-trade-full-termination-correction.xml","excludedPaths":0,"externalPaths":67,"outstandingMappings":33,"validationFailures":8,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}, +{"fileName":"cdm-sample-files/fpml-5-13/incomplete-processes/execution-advice/msg-ex68-execution-advice-warrant.xml","excludedPaths":0,"externalPaths":73,"outstandingMappings":42,"validationFailures":21,"qualificationExpectation":{"success":true,"qualifyResults":[],"qualifiableObjectCount":0}}] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml index 22b8b94dc1..3aee009e2c 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml @@ -57,7 +57,7 @@ - MMBTU + USMMBTU PerCalendarDay 15000.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml index 47ee5695db..d4b9d07df5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml @@ -73,12 +73,12 @@ - MMBTU + USMMBTU PerCalendarDay 100.0 - MMBTU + USMMBTU 36500.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml index a30a143420..9dfc2da1a6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml @@ -50,7 +50,7 @@ MMBTU - MMBTU + USMMBTU PerCalendarDay 2500.0 @@ -83,7 +83,7 @@ FirstNearby - MMBTU + USMMBTU PerCalendarDay 2500.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/expectations.json index 55a1d386c9..dd371b72e4 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/expectations.json +++ 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b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml @@ -45,10 +45,10 @@ 6.295 USD - MMBTU + USMMBTU - MMBTU + USMMBTU PerCalendarDay 2500.0 @@ -81,7 +81,7 @@ FirstNearby - MMBTU + USMMBTU PerCalendarDay 2500.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml index 0616c5a73c..86ef07d5ff 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml @@ -48,7 +48,7 @@ MMBTU - MMBTU + USMMBTU PerCalculationPeriod 5000.0 @@ -80,7 +80,7 @@ MeanOfHighAndLow - MMBTU + USMMBTU PerCalculationPeriod 5000.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml index 8704c891c4..7058bc3536 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml @@ -48,7 +48,7 @@ MMBTU - MMBTU + USMMBTU PerCalendarDay 5000.0 @@ -85,7 +85,7 @@ - MMBTU + USMMBTU PerCalendarDay 5000.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml index 1263c661d6..17b967ef98 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml @@ -67,7 +67,7 @@ All - MMBTU + USMMBTU PerCalendarDay 10000 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml index 5e523bdb13..339a181f1e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml @@ -62,7 +62,7 @@ First - MMBTU + USMMBTU PerCalendarDay 1000000 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.xml index 291654e3c5..33516613bd 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.xml @@ -52,7 +52,7 @@ GAS-DAILY-PRICE-GUIDE - MMBTU + USMMBTU PerCalendarDay 10000 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml index a5e3459519..28f71fc7bc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml @@ -53,7 +53,7 @@ FirstNearby - MMBTU + USMMBTU PerCalendarDay 15000.0 @@ -90,7 +90,7 @@ MeanOfHighAndLow - MMBTU + USMMBTU PerCalendarDay 15000.0 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml index 21282285f2..d3c6ec3f02 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml @@ -51,7 +51,7 @@ NYMEX-NATURAL-GAS - MMBTU + USMMBTU Term 1700000 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.xml index 2e36a5f64e..12334ce653 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.xml @@ -49,7 +49,7 @@ NYMEX-NATURAL-GAS - MMBTU + USMMBTU Term diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml index 7718c1d43f..07a22340b9 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml @@ -64,7 +64,7 @@ NYMEX-NATURAL-GAS - MMBTU + USMMBTU PerCalculationPeriod 1000000 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml index f1d496999b..a3e9377ef5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml @@ -66,7 +66,7 @@ NYMEX-NATURAL-GAS - MMBTU + USMMBTU PerCalculationPeriod 1000000 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/commodity-derivatives/expectations.json index f100ca3d66..e2ddfecc9c 100644 --- 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b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml index 8964f30f8f..228979c087 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml @@ -104,7 +104,7 @@ - JPY-TIBOR-DTIBOR + JPY-TIBOR-DTIBOR01 3 M @@ -121,12 +121,12 @@ - JPY-TIBOR-DTIBOR + JPY-TIBOR-DTIBOR01 - JPY-TIBOR-DTIBOR + JPY-TIBOR-DTIBOR01 diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/variance-swaps/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/variance-swaps/expectations.json index ffcfa80309..48191cf749 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/variance-swaps/expectations.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/variance-swaps/expectations.json @@ -1,6 +1,6 @@ [ -{"fileName":"cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml","excludedPaths":-1,"externalPaths":58,"outstandingMappings":16,"validationFailures":6,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"EquitySwap_ParameterReturnVariance_SingleName","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, -{"fileName":"cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml","excludedPaths":-1,"externalPaths":120,"outstandingMappings":46,"validationFailures":15,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"EquitySwap_ParameterReturnDispersion","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, 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+{"fileName":"cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml","excludedPaths":-1,"externalPaths":80,"outstandingMappings":16,"validationFailures":8,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"EquityOption_ParameterReturnVariance_Index","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"EquitySwap_ParameterReturnVariance_Index","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":2}}] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/volatility-swaps/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/volatility-swaps/expectations.json new file mode 100644 index 0000000000..10b5cba684 --- /dev/null +++ b/rosetta-source/src/main/resources/cdm-sample-files/fpml-5-13/products/volatility-swaps/expectations.json @@ -0,0 +1,3 @@ +[ +{"fileName":"cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml","excludedPaths":-1,"externalPaths":54,"outstandingMappings":14,"validationFailures":5,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"EquitySwap_ParameterReturnVolatility_Index","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}, +{"fileName":"cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml","excludedPaths":-1,"externalPaths":50,"outstandingMappings":13,"validationFailures":4,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"EquitySwap_ParameterReturnVolatility_Index","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json index 70c4a6c0da..eb20d03c4b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-input.json @@ -161,157 +161,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001PREAA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "e5010f07" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e308c58b", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -319,7 +231,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -327,126 +239,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "cacb6a4c" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e308c58b", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "cacb6a4c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e316ee5d", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -454,7 +366,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -462,182 +374,282 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e316ee5d", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } - }, - "meta" : { - "globalKey" : "19472b0a" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "622268e2" } }, "meta" : { - "globalKey" : "81484da4" + "globalKey" : "985d6cb3" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "3984c9d8" + "globalKey" : "e316ee5d", + "externalKey" : "CalcPeriodDates1" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "9ba81cec" - } - }, - "meta" : { - "globalKey" : "9ba81cec" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3fe48b1b" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e316ee5d", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "81484da4" } } ], "meta" : { - "globalKey" : "99647601" + "globalKey" : "3984c9d8" } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "9ba81cec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "99647601" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f2214932" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "7f34ef05" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001PREAA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "e5010f07" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -736,11 +748,11 @@ } } ], "meta" : { - "globalKey" : "ada54944" + "globalKey" : "31b3fe11" } }, "meta" : { - "globalKey" : "ada54944" + "globalKey" : "31b3fe11" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-output.json index 328cedcb22..c68c6c6401 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/allocation/allocation-func-output.json @@ -163,157 +163,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001PREAA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "e5010f07" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9262782", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -321,7 +233,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -329,126 +241,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "6c9701f9" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "6616a564" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "43b7c3f3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9262782", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "6c9701f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9345054", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -456,7 +368,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -464,243 +376,340 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f9345054", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "7990c2f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "7990c2f4", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "cf90dde4" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "a81d24cb" + "globalKey" : "f9345054", + "externalKey" : "CalcPeriodDates1" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "99647601" - } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "3fe48b1b" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f9345054", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "7990c2f4", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" } + }, + "meta" : { + "globalKey" : "c4a1824b" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "7990c2f4", + "externalKey" : "resetDates0" } }, "meta" : { - "globalKey" : "2bba2221" + "globalKey" : "cf90dde4" } - }, - "meta" : { - "globalKey" : "f2214932" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "LEI1RPT0001", + } ], "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "globalKey" : "a81d24cb" } }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "d491d93a" - } - } ], - "name" : { - "value" : "Bank X" + "nonStandardisedTerms" : false }, - "businessUnit" : [ { - "name" : "NY Swaps Desk", - "meta" : { - "globalKey" : "5c10b72e", - "externalKey" : "desk1" - } - } ], - "person" : [ { - "personId" : [ { + "meta" : { + "globalKey" : "1ba7b41b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { "value" : { - "identifier" : { - "value" : "jjones" + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "globalKey" : "baeb8c0d" + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } } ], - "firstName" : "jjone", "meta" : { - "globalKey" : "a88d8eb9", - "externalKey" : "trader" + "globalKey" : "99647601" } - } ], - "meta" : { - "globalKey" : "1e7247b5", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "LEI2CP0002", + }, { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "b0475f" - } - } ], + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "7f34ef05" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001PREAA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "e5010f07" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "d491d93a" + } + } ], + "name" : { + "value" : "Bank X" + }, + "businessUnit" : [ { + "name" : "NY Swaps Desk", + "meta" : { + "globalKey" : "5c10b72e", + "externalKey" : "desk1" + } + } ], + "person" : [ { + "personId" : [ { + "value" : { + "identifier" : { + "value" : "jjones" + }, + "meta" : { + "globalKey" : "baeb8c0d" + } + } + } ], + "firstName" : "jjone", + "meta" : { + "globalKey" : "a88d8eb9", + "externalKey" : "trader" + } + } ], + "meta" : { + "globalKey" : "1e7247b5", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "LEI2CP0002", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "b0475f" + } + } ], "name" : { "value" : "Bank Y" }, @@ -741,11 +750,11 @@ } } ], "meta" : { - "globalKey" : "5112d28c" + "globalKey" : "226dfedd" } }, "meta" : { - "globalKey" : "5112d28c" + "globalKey" : "226dfedd" } } } @@ -753,292 +762,204 @@ "eventQualifier" : "Allocation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001POST1", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "651634bf" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "6616a564" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9262782", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "a610fb90" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "6616a564" } }, "meta" : { - "globalKey" : "6c9701f9" + "globalKey" : "43b7c3f3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9262782", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "6c9701f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9345054", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1046,7 +967,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -1054,185 +975,282 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f9345054", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "7990c2f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "7990c2f4", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "cf90dde4" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "a81d24cb" + "globalKey" : "f9345054", + "externalKey" : "CalcPeriodDates1" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 7000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "f7370e9" - } - }, { - "quantity" : [ { - "value" : { - "value" : 7000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "3fe48b1b" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f9345054", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "dateRelativeTo" : { + "globalReference" : "7990c2f4", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, "meta" : { - "globalKey" : "107" + "globalKey" : "e70063bc" } + }, + "meta" : { + "globalKey" : "c4a1824b" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "7990c2f4", + "externalKey" : "resetDates0" } }, "meta" : { - "globalKey" : "2bba2221" + "globalKey" : "cf90dde4" + } + } ], + "meta" : { + "globalKey" : "a81d24cb" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "1ba7b41b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 7000, + "unit" : { + "currency" : { + "value" : "EUR" + } } }, "meta" : { - "globalKey" : "86da134a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "f7370e9" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "14c27c88", - "externalReference" : "party3" + "quantity" : [ { + "value" : { + "value" : 7000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "93a1ffed" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "14c27c88", + "externalReference" : "party3" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001POST1", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "651634bf" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1331,300 +1349,212 @@ } } ], "meta" : { - "globalKey" : "205e2cb" + "globalKey" : "473dfbe6" } }, "meta" : { - "globalKey" : "205e2cb" + "globalKey" : "473dfbe6" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001POST2", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "651634de" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "6616a564" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9262782", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "a610fb90" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { 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"rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9262782", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "6c9701f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9345054", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1632,7 +1562,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -1640,185 +1570,282 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f9345054", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "7990c2f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "7990c2f4", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "cf90dde4" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "a81d24cb" + "globalKey" : "f9345054", + "externalKey" : "CalcPeriodDates1" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "6feebd6d" - } - }, { - "quantity" : [ { - "value" : { - "value" : 3000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "3fe48b1b" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f9345054", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } + }, + "dateRelativeTo" : { + "globalReference" : "7990c2f4", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" + } + }, + "meta" : { + "globalKey" : "c4a1824b" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "7990c2f4", + "externalKey" : "resetDates0" } }, "meta" : { - "globalKey" : "2bba2221" + "globalKey" : "cf90dde4" } + } ], + "meta" : { + "globalKey" : "a81d24cb" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "1ba7b41b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "44329b46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + } ], + "quantity" : [ { + "value" : { + "value" : 3000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "6feebd6d" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c6207", - "externalReference" : "party4" + "quantity" : [ { + "value" : { + "value" : 3000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8c3cb371" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c6207", + "externalReference" : "party4" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001POST2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "651634de" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1917,300 +1944,77 @@ } } ], "meta" : { - "globalKey" : "327bf5c8" + "globalKey" : "e52752e7" } }, "meta" : { - "globalKey" : "327bf5c8" + "globalKey" : "e52752e7" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001PREAA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "e5010f07" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } - }, - "meta" : { - "globalKey" : "43b7c3f3" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, - "meta" : { - "globalKey" : "f9262782", - "externalKey" : "CalcPeriodDates0" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" + "value" : "price-1" } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b34971cc" } }, "meta" : { - "globalKey" : "6c9701f9" + "globalKey" : "0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9345054", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -2218,7 +2022,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -2226,185 +2030,417 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f9345054", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "6616a564" + } + }, + "meta" : { + "globalKey" : "43b7c3f3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9262782", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "6c9701f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" + "externalKey" : "accrualBusinessCenters1" } }, - "dateRelativeTo" : { - "globalReference" : "7990c2f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", "meta" : { - "globalKey" : "107" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "7990c2f4", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "cf90dde4" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "a81d24cb" + "globalKey" : "f9345054", + "externalKey" : "CalcPeriodDates1" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "meta" : { - "globalKey" : "1ba7b41b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3fe48b1b" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f9345054", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "7990c2f4", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" + } + }, + "meta" : { + "globalKey" : "c4a1824b" + } + }, + "meta" : { + "globalKey" : "7990c2f4", + "externalKey" : "resetDates0" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "cf90dde4" } } ], "meta" : { - "globalKey" : "80ff1300" + "globalKey" : "a81d24cb" } - }, { - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "1ba7b41b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "globalKey" : "2bba2221" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } } }, "meta" : { - "globalKey" : "ddddb13" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "80ff1300" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2497ea44" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001PREAA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "e5010f07" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -2503,7 +2539,7 @@ } } ], "meta" : { - "globalKey" : "e6b985ac" + "globalKey" : "878a71fd" } }, "state" : { @@ -2513,10 +2549,10 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "c287ef55" + "globalKey" : "7d784b26" } } ], "meta" : { - "globalKey" : "1ea74911" + "globalKey" : "399b024d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json index c0966c9f6c..ecff5d7210 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-input.json @@ -128,323 +128,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001ALPHA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "4b51b4b2" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d60" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "faf69cd", - "externalReference" : "resetDates6" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "faf69cd", - "externalKey" : "resetDates6" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c996fd9a" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d60" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "faf69cd", + "externalReference" : "resetDates6" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "faf69cd", + "externalKey" : "resetDates6" + } + }, + "meta" : { + "globalKey" : "c996fd9a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -459,177 +408,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "115c941d" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "ffebcc2b" - } - }, - "meta" : { - "globalKey" : "ffebcc2b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "115c941d" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "ffebcc2b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9778774f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8faefb02", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9778774f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8faefb02", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001ALPHA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "4b51b4b2" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -748,11 +760,11 @@ } } ], "meta" : { - "globalKey" : "3c441ed9" + "globalKey" : "2b9456f" } }, "meta" : { - "globalKey" : "3c441ed9" + "globalKey" : "2b9456f" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-output.json index 882fa3e3b2..cd6bdb06c3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/clearing/clearing-func-output.json @@ -130,361 +130,273 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001ALPHA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "4b51b4b2" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d60" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "9ac39f44", - "externalReference" : "resetDates6" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "9ac39f44", - "externalKey" : "resetDates6" + "globalKey" : "f148ad32" } }, "meta" : { - "globalKey" : "22509ccf" + "globalKey" : "f148ad32" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d60" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "9ac39f44", + "externalReference" : "resetDates6" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9ac39f44", + "externalKey" : "resetDates6" + } + }, + "meta" : { + "globalKey" : "22509ccf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", @@ -499,152 +411,249 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "1a87acf9" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "967d9e4f" - } - }, - "meta" : { - "globalKey" : "967d9e4f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "fd32a49c" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2ea0f628" } } ], "meta" : { - "globalKey" : "3bc0d942" + "globalKey" : "1a87acf9" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9778774f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8faefb02", - "externalReference" : "party2" - } - } ] + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "967d9e4f" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "LEI1RPT001", + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "identifierType" : "LEI", + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bc0d942" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9778774f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8faefb02", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001ALPHA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "4b51b4b2" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", "meta" : { "globalKey" : "b447e154" } @@ -753,11 +762,11 @@ } } ], "meta" : { - "globalKey" : "46d16da5" + "globalKey" : "3ed3b0f5" } }, "meta" : { - "globalKey" : "46d16da5" + "globalKey" : "3ed3b0f5" } } } @@ -765,323 +774,272 @@ "eventQualifier" : "ClearedTrade", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1DCO", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1DCO01BETA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "dcbc5547" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "efe7bcb3" } }, - "resetDates" : { 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"meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9ac39f44", - "externalKey" : "resetDates6" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "22509ccf" + "globalKey" : "cd88db42" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d60" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "9ac39f44", + "externalReference" : "resetDates6" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "efe7bcb3" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9ac39f44", + "externalKey" : "resetDates6" + } + }, + "meta" : { + "globalKey" : "22509ccf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "45d323ca" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1096,180 +1054,240 @@ "globalKey" : "cd88db42" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "45d323ca" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "45d323ca" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "cd88db42" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "1a87acf9" + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "967d9e4f" - } - }, - "meta" : { - "globalKey" : "967d9e4f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "2ea0f628" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "1a87acf9" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "967d9e4f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9778774f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1a1260a", - "externalReference" : "clearing-svc" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9778774f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1a1260a", + "externalReference" : "clearing-svc" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1DCO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1DCO01BETA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "dcbc5547" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1368,230 +1386,280 @@ } } ], "meta" : { - "globalKey" : "73f3bcdc" + "globalKey" : "5181deec" } }, "meta" : { - "globalKey" : "73f3bcdc" + "globalKey" : "5181deec" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1DCO", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1DCO01GAMMA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "303ad8b0" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ece3837b" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3662e8ba" } + }, + "meta" : { + "globalKey" : "f148ad32" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d60" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "21479e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" + "dateRelativeTo" : { + "globalReference" : "9ac39f44", + "externalReference" : "resetDates6" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d60" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "9ac39f44", - "externalReference" : "resetDates6" + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9ac39f44", + "externalKey" : "resetDates6" + } + }, + "meta" : { + "globalKey" : "22509ccf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1607,280 +1675,239 @@ } }, "meta" : { - "globalKey" : "9ac39f44", - "externalKey" : "resetDates6" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "22509ccf" + "globalKey" : "45d323ca" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" 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"CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -2332,142 +2271,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "1a87acf9" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "967d9e4f" - } - }, - "meta" : { - "globalKey" : "967d9e4f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "5ce86ff5" } }, "meta" : { - "globalKey" : "828026c7" + "globalKey" : "2ea0f628" + } + } ], + "meta" : { + "globalKey" : "1a87acf9" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "967d9e4f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "18ef367d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d07cd329" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "235b7641" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9778774f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8faefb02", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "235b7641" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9778774f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8faefb02", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001ALPHA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "4b51b4b2" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -2586,7 +2622,7 @@ } } ], "meta" : { - "globalKey" : "26646e45" + "globalKey" : "600e9137" } }, "state" : { @@ -2596,10 +2632,10 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "eaeae36e" + "globalKey" : "2c063d60" } } ], "meta" : { - "globalKey" : "1226e55d" + "globalKey" : "5bdf5e41" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json index dc5c5a4d8a..ebc3aa119b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-input.json @@ -23,323 +23,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001EEE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8f32df" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b0" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "4d97f11d", - "externalReference" : "resetDates71" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "4d97f11d", - "externalKey" : "resetDates71" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "77f84ea" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b0" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "4d97f11d", + "externalReference" : "resetDates71" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "4d97f11d", + "externalKey" : "resetDates71" + } + }, + "meta" : { + "globalKey" : "77f84ea" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -354,177 +303,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "931ef76d" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "4dc114ec" - } - }, - "meta" : { - "globalKey" : "4dc114ec" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "931ef76d" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "4dc114ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001EEE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8f32df" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -643,11 +655,11 @@ } } ], "meta" : { - "globalKey" : "3de579f9" + "globalKey" : "921b1487" } }, "meta" : { - "globalKey" : "3de579f9" + "globalKey" : "921b1487" } } } @@ -675,323 +687,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001FFF", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8fab1e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - 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: "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - 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+ }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : 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- } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1006,177 +967,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - 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"party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "49eea74b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001FFF", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8fab1e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1295,11 +1319,11 @@ } } ], "meta" : { - "globalKey" : "4c4e699" + "globalKey" : "3197b359" } }, "meta" : { - "globalKey" : "4c4e699" + "globalKey" : "3197b359" } } } @@ -1327,222 +1351,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001GGG", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" 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: "aa" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1558,277 +1632,239 @@ } }, "meta" : { - "globalKey" : "7620cf1f", - "externalKey" : "resetDates73" + "globalKey" : "dc33ccc5" } }, "meta" : { - "globalKey" : "300862ec" + "globalKey" : "dc33ccc5" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - 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"globalKey" : "aa" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "f097b2b2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "e20d7a6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e20d7a6c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001GGG", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe90235d" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1947,11 +1983,11 @@ } } ], "meta" : { - "globalKey" : "bdd72239" + "globalKey" : "65d8945b" } }, "meta" : { - "globalKey" : "bdd72239" + "globalKey" : "65d8945b" } } } @@ -1959,363 +1995,358 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, - "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "ece3837b" } }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "ece3837b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" + } + }, "meta" : { - "globalKey" : "21479e" + "globalKey" : "3662e8ba" } }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" + "meta" : { + "globalKey" : "f148ad32" } }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "eb13047c" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "4c343d90" + "globalKey" : "f33361dd" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" + "globalKey" : "aa" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "4c343d90" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ece3837b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ece3837b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "dc33ccc5" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "2ad6e87a" } - } ], + }, "meta" : { - "globalKey" : "66db8093" + "globalKey" : "f753703" } - }, - "nonStandardisedTerms" : false + } ], + "meta" : { + "globalKey" : "66db8093" + } }, - "meta" : { - "globalKey" : "5a4a6e75" - } + "nonStandardisedTerms" : false }, "meta" : { "globalKey" : "5a4a6e75" @@ -2337,34 +2368,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, "meta" : { - "globalKey" : "aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "e12dd8a2" + "globalKey" : "3631caa4" } }, { "price" : [ { @@ -2410,7 +2460,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-output.json index de41bcb717..6221c3eb2b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/compression/compression-func-output.json @@ -28,361 +28,273 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001EEE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8f32df" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : 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"globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "f15e15f4", - "externalKey" : "resetDates71" + "globalKey" : "f148ad32" } }, "meta" : { - "globalKey" : "78eb137f" + "globalKey" : "f148ad32" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" 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"dateRelativeTo" : { + "globalReference" : "f15e15f4", + "externalReference" : "resetDates71" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "f15e15f4", + "externalKey" : "resetDates71" + } + }, + "meta" : { + "globalKey" : "78eb137f" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", @@ -397,158 +309,255 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "3dbf9849" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "da431cff" - } - }, - "meta" : { - "globalKey" : "da431cff" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "fd32a49c" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2ea0f628" } } ], "meta" : { - "globalKey" : "3bc0d942" + "globalKey" : "3dbf9849" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" - } - } ] + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "da431cff" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "LEI1RPT0001", + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "d491d93a" - } - } ], - "name" : { - "value" : "Bank X" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bc0d942" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001EEE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8f32df" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "d491d93a" + } + } ], + "name" : { + "value" : "Bank X" }, "businessUnit" : [ { "name" : "NY Swaps Desk", @@ -651,11 +660,11 @@ } } ], "meta" : { - "globalKey" : "52a3e02" + "globalKey" : "31e5f6fc" } }, "meta" : { - "globalKey" : "52a3e02" + "globalKey" : "31e5f6fc" } } } @@ -686,360 +695,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001FFF", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8fab1e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - 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"adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1055,142 +976,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "314f1c8a" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "58a420de" - } - }, - "meta" : { - "globalKey" : "58a420de" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 6000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "414190b3" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5ce86ff5" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "2ea0f628" } } ], - "quantity" : [ { - "value" : { - "value" : 6000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "meta" : { + "globalKey" : "314f1c8a" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "58a420de" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 6000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "49eea74b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3dad95b3" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 6000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "49eea74b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001FFF", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8fab1e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1309,11 +1327,11 @@ } } ], "meta" : { - "globalKey" : "afd41a84" + "globalKey" : "665478aa" } }, "meta" : { - "globalKey" : "afd41a84" + "globalKey" : "665478aa" } } } @@ -1344,323 +1362,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001GGG", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe90235d" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ece3837b" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "efe7bcb3" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "c160b2", - "externalReference" : "resetDates73" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "c160b2", - "externalKey" : "resetDates73" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "884e5e3d" + "globalKey" : "cd88db42" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b2" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "c160b2", + "externalReference" : "resetDates73" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "efe7bcb3" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "c160b2", + "externalKey" : "resetDates73" + } + }, + "meta" : { + "globalKey" : "884e5e3d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "45d323ca" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1675,180 +1642,240 @@ "globalKey" : "cd88db42" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "45d323ca" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "45d323ca" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "cd88db42" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "24dea0cb" + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "d70524bd" - } - }, - "meta" : { - "globalKey" : "d70524bd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5000, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "2ea0f628" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "24dea0cb" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "d70524bd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "f097b2b2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3bd44294" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "e20d7a6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e20d7a6c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001GGG", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe90235d" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1967,11 +1994,11 @@ } } ], "meta" : { - "globalKey" : "e63fc806" + "globalKey" : "b2fd3a28" } }, "meta" : { - "globalKey" : "e63fc806" + "globalKey" : "b2fd3a28" } } } @@ -1979,363 +2006,358 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ece3837b" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "f148ad32" + "globalKey" : "3662e8ba" } }, "meta" : { "globalKey" : "f148ad32" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "efe7bcb3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cd88db42" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "cd88db42" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5419d38e", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } + "dateRelativeTo" : { + "globalReference" : "5419d38e", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "5419d38e", - "externalKey" : "resetDates" + "globalKey" : "cd88db42" } }, "meta" : { - "globalKey" : "dba6d119" + "globalKey" : "5419d38e", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "dba6d119" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ece3837b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ece3837b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "45d323ca" + "globalKey" : "cd88db42" } }, "meta" : { "globalKey" : "45d323ca" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } + "meta" : { + "globalKey" : "45d323ca" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "efe7bcb3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "107" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "cd88db42" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "5ce86ff5" } - } ], + }, "meta" : { - "globalKey" : "dd69986f" + "globalKey" : "2ea0f628" } - }, - "nonStandardisedTerms" : false + } ], + "meta" : { + "globalKey" : "dd69986f" + } }, - "meta" : { - "globalKey" : "2fd92199" - } + "nonStandardisedTerms" : false }, "meta" : { "globalKey" : "2fd92199" @@ -2357,37 +2379,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, "meta" : { - "globalKey" : "aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "828026c7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "e12dd8a2" + "globalKey" : "3631caa4" } }, { "price" : [ { @@ -2433,7 +2471,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -2602,360 +2640,272 @@ "eventQualifier" : "Compression", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001EEE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8f32df" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "efe7bcb3" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b0" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "f15e15f4", - "externalReference" : "resetDates71" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b0" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "f15e15f4", - "externalKey" : "resetDates71" + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "f15e15f4", + "externalReference" : "resetDates71" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "78eb137f" + "globalKey" : "aa" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "efe7bcb3" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "f15e15f4", + "externalKey" : "resetDates71" + } + }, + "meta" : { + "globalKey" : "78eb137f" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -2971,142 +2921,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "3dbf9849" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "da431cff" - } - }, - "meta" : { - "globalKey" : "da431cff" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "18ef367d" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5ce86ff5" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "2ea0f628" } } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "3dbf9849" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "da431cff" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "235b7641" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d07cd329" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "235b7641" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001EEE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8f32df" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -3225,7 +3272,7 @@ } } ], "meta" : { - "globalKey" : "e4bd3ea2" + "globalKey" : "5320d73e" } }, "state" : { @@ -3235,226 +3282,276 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "357a3d4b" + "globalKey" : "20e827e7" } }, { "trade" : { - "tradeIdentifier" : 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"quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ece3837b" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3662e8ba" } + }, + "meta" : { + "globalKey" : "f148ad32" } }, - 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"M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b1" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "21479e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" + "dateRelativeTo" : { + "globalReference" : "f90fbb53", + "externalReference" : "resetDates72" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "f90fbb53", - "externalReference" : "resetDates72" + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "f90fbb53", + "externalKey" : "resetDates72" + } + }, + "meta" : { + "globalKey" : "809cb8de" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -3470,280 +3567,239 @@ } }, "meta" : { - "globalKey" : "f90fbb53", - "externalKey" : "resetDates72" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "809cb8de" + "globalKey" : "45d323ca" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - 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"price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "ab07e67c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "ab07e67c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0003EFG", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "feab65e0" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-03", + "meta" : { + "globalKey" : "3f1103" + } }, "party" : [ { "partyId" : [ { @@ -5136,17 +5210,17 @@ } } ], "meta" : { - "globalKey" : "f6664d47" + "globalKey" : "99cde62f" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "9e73ff16" + "globalKey" : "658fdfe" } } ], "meta" : { - "globalKey" : "f5dd38f9" + "globalKey" : "35ccecaf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json index 1df66dc3df..61d3e773b5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-input.json @@ -3,140 +3,79 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } } ], - "meta" : { - "globalKey" : "ac313329" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -150,31 +89,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -189,157 +115,170 @@ } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "1eccae0a", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "1eccae0a", - "externalKey" : "resetDates1" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "1cf637fb" + "globalKey" : "365a772a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "1f7359" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dateRelativeTo" : { + "globalReference" : "1eccae0a", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "1eccae0a", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "1cf637fb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -353,32 +292,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -393,215 +318,321 @@ } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "16ef084a", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" + }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "16ef084a", - "externalKey" : "resetDates2" + "globalKey" : "1f7359" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6db725d4" + "globalKey" : "365a772a" } - } ], + }, "meta" : { - "globalKey" : "e988dd8f" + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "dateRelativeTo" : { + "globalReference" : "16ef084a", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "16ef084a", + "externalKey" : "resetDates2" } }, - "source" : "Other", + "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "aba3dd40" + "globalKey" : "6db725d4" } } ], "meta" : { - "globalKey" : "8a873d91" + "globalKey" : "e988dd8f" } - }, - "meta" : { - "globalKey" : "8a873d91" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "meta" : { + "globalKey" : "ce551b91" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "30cdb530" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00121, - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CAD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "2ee97500" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00121, + "unit" : { + "currency" : { + "value" : "CAD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "perUnitOf" : { + "currency" : { + "value" : "CAD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2bf89df0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f7fac640" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "ac313329" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -687,11 +718,11 @@ } }, "meta" : { - "globalKey" : "a7895779" + "globalKey" : "b5d7baa9" } }, "meta" : { - "globalKey" : "a7895779" + "globalKey" : "b5d7baa9" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-output.json index 0d61731dc8..f756a6b693 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-basis-swap-func-output.json @@ -5,140 +5,79 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } } ], - "meta" : { - "globalKey" : "28d97e67" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -152,31 +91,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -191,196 +117,170 @@ } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "f31a9f2e", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "f31a9f2e", - "externalKey" : "resetDates1" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "2f42c59f" + "globalKey" : "365a772a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "1f7359" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, + "dateRelativeTo" : { + "globalReference" : "f31a9f2e", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "1f7359" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "f31a9f2e", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "2f42c59f" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -395,44 +295,17 @@ } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "56fd0cdc" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "529beab3", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -447,163 +320,321 @@ } }, "meta" : { - "globalKey" : "529beab3", - "externalKey" : "resetDates2" + "globalKey" : "ad0f37f7" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6156370b" + "globalKey" : "ad0f37f7" } - } ], - "meta" : { - "globalKey" : "92a85cea" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" + }, + "rollConvention" : "IMMCAD" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "aba3dd40" - } - } ], - "meta" : { - "globalKey" : "7fea7e03" - } - }, - "meta" : { - "globalKey" : "7fea7e03" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" } + }, + "meta" : { + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "1f7359" } + }, + "dateRelativeTo" : { + "globalReference" : "529beab3", + "externalReference" : "resetDates2" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] - } - } - }, - "meta" : { - "globalKey" : "30cdb530" - } - }, { - "price" : [ { - "value" : { - "value" : 0.00121, - "unit" : { - "currency" : { - "value" : "CAD" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" } }, - "perUnitOf" : { - "currency" : { - "value" : "CAD" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "529beab3", + "externalKey" : "resetDates2" + } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "6156370b" } } ], - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "meta" : { + "globalKey" : "92a85cea" + } + } + }, + "meta" : { + "globalKey" : "6b06d783" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2bf89df0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2ee97500" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.00121, + "unit" : { + "currency" : { + "value" : "CAD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "CAD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "f7fac640" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "28d97e67" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -689,11 +720,11 @@ } }, "meta" : { - "globalKey" : "b2131653" + "globalKey" : "ae6598a1" } }, "meta" : { - "globalKey" : "b2131653" + "globalKey" : "ae6598a1" } } } @@ -701,140 +732,79 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } } ], - "meta" : { - "globalKey" : "28d97e67" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -848,31 +818,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -887,196 +844,170 @@ } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "f31a9f2e", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "f31a9f2e", - "externalKey" : "resetDates1" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "2f42c59f" + "globalKey" : "365a772a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "1f7359" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, + "dateRelativeTo" : { + "globalReference" : "f31a9f2e", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "f31a9f2e", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "2f42c59f" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1091,44 +1022,17 @@ } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "56fd0cdc" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "529beab3", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1143,163 +1047,321 @@ } }, "meta" : { - "globalKey" : "529beab3", - "externalKey" : "resetDates2" + "globalKey" : "ad0f37f7" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6156370b" + "globalKey" : "ad0f37f7" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" + }, + "rollConvention" : "IMMCAD" + }, "meta" : { - "globalKey" : "92a85cea" + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" } }, - "source" : "Other", + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "dateRelativeTo" : { + "globalReference" : "529beab3", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "529beab3", + "externalKey" : "resetDates2" + } + }, + "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "aba3dd40" + "globalKey" : "6156370b" } } ], "meta" : { - "globalKey" : "7fea7e03" + "globalKey" : "92a85cea" } - }, - "meta" : { - "globalKey" : "7fea7e03" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "meta" : { + "globalKey" : "6b06d783" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "30cdb530" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00121, - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CAD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "2ee97500" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00121, + "unit" : { + "currency" : { + "value" : "CAD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "perUnitOf" : { + "currency" : { + "value" : "CAD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2bf89df0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f7fac640" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "28d97e67" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -1385,17 +1447,17 @@ } }, "meta" : { - "globalKey" : "b2131653" + "globalKey" : "ae6598a1" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "f599b9f6" + "globalKey" : "2754e0c4" } } ], "meta" : { - "globalKey" : "f8362477" + "globalKey" : "9e0fcc13" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json index e49cd70b78..05af7ec0e6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-input.json @@ -3,84 +3,32 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "RTD3ERTF37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "14710dcb" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -99,341 +47,386 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "b883af02" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "b883af02" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 1000000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "57e64854" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8f38683" + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true - }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "dfd917a0" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "bb058eae" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "dfd917a0" } }, "meta" : { - "globalKey" : "65d77dee" + "globalKey" : "bb058eae" } }, - "meta" : { - "globalKey" : "65d77dee" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "65d77dee" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "rsf765" + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "RTD3ERTF37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "14710dcb" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -536,11 +529,11 @@ } }, "meta" : { - "globalKey" : "7ceaa7dc" + "globalKey" : "39cef582" } }, "meta" : { - "globalKey" : "7ceaa7dc" + "globalKey" : "39cef582" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-output.json index 564c592a53..a2c5bf8f5c 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-credit-default-swap-func-output.json @@ -5,84 +5,32 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "RTD3ERTF37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "38585b61" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -101,341 +49,386 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, - "meta" : { - "globalKey" : "944a7af8" - } + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" - } + "identifierType" : "ISIN" } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "b883af02" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "57e64854" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "8f38683" + "globalKey" : "b883af02" + } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "7a1816a5" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "e301d857" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "7a1816a5" } }, "meta" : { - "globalKey" : "bf469ab7" + "globalKey" : "e301d857" } }, - "meta" : { - "globalKey" : "bf469ab7" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "bf469ab7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "rsf765" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "RTD3ERTF37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "38585b61" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -538,11 +531,11 @@ } }, "meta" : { - "globalKey" : "bbe87e4b" + "globalKey" : "960cf5cb" } }, "meta" : { - "globalKey" : "bbe87e4b" + "globalKey" : "960cf5cb" } } } @@ -550,437 +543,430 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "RTD3ERTF37209", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb0a8cfd" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "38585b61" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "eb0a8cfd" + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "eb0a8cfd" + "globalKey" : "58681de7" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "58681de7" } }, "meta" : { - "globalKey" : "28faf882" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" + }, + "rollConvention" : "5" }, "meta" : { - "globalKey" : "28faf882" + "globalKey" : "204c" } }, - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "81e56a96" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2003-03-05", "meta" : { - "globalKey" : "58681de7" + "globalKey" : "3ead5b" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" + } + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "b883af02" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" - } - } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "b883af02" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "57e64854" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8f38683" + "defaultRequirement" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true - }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "7a1816a5" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "e301d857" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "7a1816a5" } }, "meta" : { - "globalKey" : "bf469ab7" + "globalKey" : "e301d857" } }, - "meta" : { - "globalKey" : "bf469ab7" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "bf469ab7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "rsf765" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "RTD3ERTF37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "38585b61" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -1083,17 +1069,17 @@ } }, "meta" : { - "globalKey" : "bbe87e4b" + "globalKey" : "960cf5cb" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "dfb503ee" + "globalKey" : "c2999b6e" } } ], "meta" : { - "globalKey" : "4a19dfe3" + "globalKey" : "e93a0123" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json index dc2235aa2a..5950b384da 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-input.json @@ -3,400 +3,412 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f2891f38" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "814acd2" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "107" + "globalKey" : "3e4051" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "2a1bc04d" + "globalKey" : "211caa4f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" - } - }, + "meta" : { + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ce01227d" + "globalKey" : "21479e" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "44b30fd3" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } - } ], + }, "meta" : { - "globalKey" : "3f9d4d26" + "globalKey" : "ce01227d" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "44b30fd3" } - }, + } ], "meta" : { "globalKey" : "3f9d4d26" } - }, - "meta" : { - "globalKey" : "3f9d4d26" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CHF" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3f9d4d26" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "CHF" - } + "perUnitOf" : { + "currency" : { + "value" : "CHF" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" + } } - } ], + }, "meta" : { - "globalKey" : "d8cd86d5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "CHF" - } + } ], + "meta" : { + "globalKey" : "d8cd86d5" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9965fc03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e068a768" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f2891f38" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "814acd2" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } }, "party" : [ { "partyId" : [ { @@ -434,11 +446,11 @@ } } ], "meta" : { - "globalKey" : "43f850b3" + "globalKey" : "1870e9da" } }, "meta" : { - "globalKey" : "43f850b3" + "globalKey" : "1870e9da" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-output.json index 84df32862a..433a1adeb4 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fra-func-output.json @@ -5,495 +5,8 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "99fd7db3" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "2748dc9c" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "meta" : { - "globalKey" : "107" - } - }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, - "meta" : { - "globalKey" : "407eeb1e" - } - }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "2a1bc04d" - } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, - "meta" : { - "globalKey" : "407eeb1e" - } - }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" - } - }, - "meta" : { - "globalKey" : "ce01227d" - } - }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "44b30fd3" - } - } ], - "meta" : { - "globalKey" : "3f9d4d26" - } - } - }, - "meta" : { - "globalKey" : "b1fc215f" - } - }, - "meta" : { - "globalKey" : "b1fc215f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CHF" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "CHF" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d8cd86d5" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "CHF" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "d900e1e5" - } - }, - "meta" : { - "globalKey" : "9965fc03" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "TR24TWEY5RVRQV65HD49", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "be44d3fb" - } - } ], - "meta" : { - "globalKey" : "be44d3fb", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "BFXS5XCH7N0Y05NIXW11", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "a887a4ca" - } - } ], - "meta" : { - "globalKey" : "a887a4ca", - "externalKey" : "party2" - } - } ], - "meta" : { - "globalKey" : "fc82f0d0" - } - }, - "meta" : { - "globalKey" : "fc82f0d0" - } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "99fd7db3" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "2748dc9c" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "product" : { + "taxonomy" : [ { "source" : "ISDA", "productQualifier" : "InterestRate_Fra" } ], @@ -508,7 +21,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } }, "meta" : { @@ -516,7 +29,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -618,7 +131,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } }, "meta" : { @@ -626,11 +139,11 @@ } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -655,199 +168,704 @@ } }, "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", + "meta" : { + "globalKey" : "3e4051" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "1f8e60" + } + }, + "meta" : { + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" + } + }, + "meta" : { + "globalKey" : "ce01227d" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "44b30fd3" + } + } ], + "meta" : { + "globalKey" : "3f9d4d26" + } + } + }, + "meta" : { + "globalKey" : "b1fc215f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "CHF" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "CHF" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d8cd86d5" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "CHF" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "e068a768" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "99fd7db3" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "2748dc9c" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "TR24TWEY5RVRQV65HD49", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "be44d3fb" + } + } ], + "meta" : { + "globalKey" : "be44d3fb", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BFXS5XCH7N0Y05NIXW11", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "a887a4ca" + } + } ], + "meta" : { + "globalKey" : "a887a4ca", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "b20eb4c7" + } + }, + "meta" : { + "globalKey" : "b20eb4c7" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "1f8e60" + } + }, + "meta" : { + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "211caa4f" + "globalKey" : "3e39d1" } }, "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "0" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" + "globalKey" : "3e4051" } }, "meta" : { - "globalKey" : "ce01227d" + "globalKey" : "0" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "44b30fd3" + "globalKey" : "0" } - } ], + }, "meta" : { - "globalKey" : "3f9d4d26" + "globalKey" : "0" } - } - }, - "meta" : { - "globalKey" : "b1fc215f" - } - }, - "meta" : { - "globalKey" : "b1fc215f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "CHF" + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "1f8e60" + } + }, + "meta" : { + "globalKey" : "211caa4f" } }, - "perUnitOf" : { - "currency" : { - "value" : "CHF" + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ce01227d" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "44b30fd3" } } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "CHF" - } + "meta" : { + "globalKey" : "3f9d4d26" + } + } + }, + "meta" : { + "globalKey" : "b1fc215f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "CHF" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "CHF" + } } - } ], + }, "meta" : { - "globalKey" : "d8cd86d5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "CHF" - } + } ], + "meta" : { + "globalKey" : "d8cd86d5" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "CHF" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "d900e1e5" } }, "meta" : { - "globalKey" : "9965fc03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e068a768" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "99fd7db3" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "2748dc9c" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } }, "party" : [ { "partyId" : [ { @@ -885,17 +903,17 @@ } } ], "meta" : { - "globalKey" : "fc82f0d0" + "globalKey" : "b20eb4c7" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "637ce933" + "globalKey" : "e5278b6a" } } ], "meta" : { - "globalKey" : "123c680d" + "globalKey" : "64d4215b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json index b5e6a055b1..5ab5c22d1a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-input.json @@ -3,6 +3,160 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -42,187 +196,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -259,11 +232,11 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-output.json index 88b782712c..741a0093e5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-fx-forward-func-output.json @@ -5,6 +5,160 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "a5422301" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.913, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -44,187 +198,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "9cce50e0" - } - }, - "meta" : { - "globalKey" : "9cce50e0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.913, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -261,11 +234,11 @@ } } ], "meta" : { - "globalKey" : "68b7bc3d" + "globalKey" : "e70a34b1" } }, "meta" : { - "globalKey" : "68b7bc3d" + "globalKey" : "e70a34b1" } } } @@ -273,6 +246,160 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "a5422301" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.913, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -312,187 +439,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "9cce50e0" - } - }, - "meta" : { - "globalKey" : "9cce50e0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.913, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -529,17 +475,17 @@ } } ], "meta" : { - "globalKey" : "68b7bc3d" + "globalKey" : "e70a34b1" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "95ac8d60" + "globalKey" : "c942b8d4" } } ], "meta" : { - "globalKey" : "783ebe4c" + "globalKey" : "ee667cf4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json index 013f93a3f2..6760176de3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-input.json @@ -3,307 +3,258 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d7d5532b" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -318,176 +269,237 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "b4b47bc7" } - }, + } ], "meta" : { "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "16ed00fa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d7d5532b" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -528,11 +540,11 @@ } } ], "meta" : { - "globalKey" : "33093bd5" + "globalKey" : "781bce9" } }, "meta" : { - "globalKey" : "33093bd5" + "globalKey" : "781bce9" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-output.json index a84d55c4aa..f22812e625 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-func-output.json @@ -5,574 +5,8 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, - "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "5bf26451" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" - } - }, - "meta" : { - "globalKey" : "25298ab3" - } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, - "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "e6ec3400" - } - }, - "meta" : { - "globalKey" : "9fcd1c8" - } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "2505dd46" - } - }, - "meta" : { - "globalKey" : "c0d07bed" - } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "371fdb8a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - } - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "f9b6c5c3" - } - } ], - "name" : { - "value" : "Party A" - }, - "meta" : { - "globalKey" : "9b11f66a", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "BARCGB2L", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - } - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "1ecfa57" - } - } ], - "meta" : { - "globalKey" : "1ecfa57", - "externalKey" : "party2" - } - } ], - "meta" : { - "globalKey" : "981546eb" - } - }, - "meta" : { - "globalKey" : "981546eb" - } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "product" : { + "taxonomy" : [ { "source" : "ISDA", "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], @@ -587,7 +21,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } }, "meta" : { @@ -595,11 +29,11 @@ } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -776,7 +210,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } }, "meta" : { @@ -784,7 +218,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -842,47 +276,536 @@ } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "e6ec3400" + } + }, + "meta" : { + "globalKey" : "9fcd1c8" + } + } ], + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "371fdb8a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "f9b6c5c3" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9b11f66a", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "1ecfa57" + } + } ], + "meta" : { + "globalKey" : "1ecfa57", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "d10a6887" + } + }, + "meta" : { + "globalKey" : "d10a6887" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eef1b10f" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -898,141 +821,236 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "107" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "e6ec3400" } }, "meta" : { - "globalKey" : "2505dd46" + "globalKey" : "9fcd1c8" + } + } ], + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -1073,17 +1091,17 @@ } } ], "meta" : { - "globalKey" : "981546eb" + "globalKey" : "d10a6887" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "63d2248e" + "globalKey" : "34054f2a" } } ], "meta" : { - "globalKey" : "2d9f2de1" + "globalKey" : "8073322b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json index 7d69c5df4f..7b2ad057d3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-input.json @@ -62,307 +62,258 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d7d5532b" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -377,176 +328,237 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "b4b47bc7" } - }, + } ], "meta" : { "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "16ed00fa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d7d5532b" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -587,11 +599,11 @@ } } ], "meta" : { - "globalKey" : "33093bd5" + "globalKey" : "781bce9" } }, "meta" : { - "globalKey" : "33093bd5" + "globalKey" : "781bce9" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-output.json index 301a266231..5d85f3043a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ir-swap-with-legal-agreement-func-output.json @@ -67,574 +67,8 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, - "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "5bf26451" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" - } - }, - "meta" : { - "globalKey" : "25298ab3" - } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, - "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "e6ec3400" - } - }, - "meta" : { - "globalKey" : "9fcd1c8" - } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "2505dd46" - } - }, - "meta" : { - "globalKey" : "c0d07bed" - } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "371fdb8a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - } - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "f9b6c5c3" - } - } ], - "name" : { - "value" : "Party A" - }, - "meta" : { - "globalKey" : "9b11f66a", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "BARCGB2L", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" - } - }, - "identifierType" : "BIC", - "meta" : { - "globalKey" : "1ecfa57" - } - } ], - "meta" : { - "globalKey" : "1ecfa57", - "externalKey" : "party2" - } - } ], - "meta" : { - "globalKey" : "981546eb" - } - }, - "meta" : { - "globalKey" : "981546eb" - } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "product" : { + "taxonomy" : [ { "source" : "ISDA", "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], @@ -649,7 +83,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } }, "meta" : { @@ -657,11 +91,11 @@ } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -838,7 +272,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } }, "meta" : { @@ -846,7 +280,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -904,47 +338,536 @@ } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "e6ec3400" + } + }, + "meta" : { + "globalKey" : "9fcd1c8" + } + } ], + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "371fdb8a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "f9b6c5c3" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "9b11f66a", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "BARCGB2L", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + } + }, + "identifierType" : "BIC", + "meta" : { + "globalKey" : "1ecfa57" + } + } ], + "meta" : { + "globalKey" : "1ecfa57", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "d10a6887" + } + }, + "meta" : { + "globalKey" : "d10a6887" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eef1b10f" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } + }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -960,141 +883,236 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "107" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "e6ec3400" } }, "meta" : { - "globalKey" : "2505dd46" + "globalKey" : "9fcd1c8" + } + } ], + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -1198,17 +1216,17 @@ } }, "meta" : { - "globalKey" : "977f8781" + "globalKey" : "48d0951d" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "31ae97a4" + "globalKey" : "d2f2ae40" } } ], "meta" : { - "globalKey" : "2ad22cd1" + "globalKey" : "4515ed9b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json index 13e6c8e848..cfd887e72e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-input.json @@ -3,316 +3,265 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "37c36a6c", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a6474bf1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "ba5fc4c9" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "37c36a6c", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a7a9427d", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a7a9427d", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c1f8b927" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "ba5fc4c9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "a7a9427d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "a7a9427d", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c1f8b927" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "9139a950" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9139a950" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -327,167 +276,230 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "d26aa7ed", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9139a950" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "9139a950" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "95bca6e6" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "bc67e9b4" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "be61421b" + "globalKey" : "95bca6e6" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "bc67e9b4" } - }, + } ], "meta" : { - "globalKey" : "f7651045" + "globalKey" : "be61421b" } }, - "meta" : { - "globalKey" : "f7651045" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f7651045" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -531,11 +543,11 @@ } } ], "meta" : { - "globalKey" : "4362f15e" + "globalKey" : "22b3c84" } }, "meta" : { - "globalKey" : "4362f15e" + "globalKey" : "22b3c84" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-output.json index c81795f077..cb58aca71b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-ois-swap-func-output.json @@ -5,316 +5,265 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "ef0740ff" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "564c97f9", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a6474bf1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a3a58192" + "globalKey" : "ef0740ff" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "564c97f9", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "bfd01e97", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "564c97f9", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "meta" : { + "globalKey" : "a3a58192" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "564c97f9", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "bfd01e97", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "bfd01e97", - "externalKey" : "resetDates" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "5432b2f1" + "globalKey" : "cca85f8e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "meta" : { + "globalKey" : "bfd01e97", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "5432b2f1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } - }, - "meta" : { - "globalKey" : "1a0e7bab" - } - }, - "meta" : { - "globalKey" : "1a0e7bab" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -329,170 +278,230 @@ "globalKey" : "cca85f8e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "b38e54e9", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "1a0e7bab" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "1a0e7bab" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "b38e54e9", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "21928e55" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "74bfd20b" + "globalKey" : "cca85f8e" } - } ], + }, "meta" : { - "globalKey" : "8b8d337a" + "globalKey" : "21928e55" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "74bfd20b" } - }, + } ], "meta" : { - "globalKey" : "5c29774d" + "globalKey" : "8b8d337a" } }, - "meta" : { - "globalKey" : "5c29774d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "5c29774d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "5449e08f" } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -536,11 +545,11 @@ } } ], "meta" : { - "globalKey" : "b36b574" + "globalKey" : "1ef3ef52" } }, "meta" : { - "globalKey" : "b36b574" + "globalKey" : "1ef3ef52" } } } @@ -548,316 +557,265 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "ef0740ff" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "564c97f9", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a6474bf1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a3a58192" + "globalKey" : "ef0740ff" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "564c97f9", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "bfd01e97", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "564c97f9", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "meta" : { + "globalKey" : "a3a58192" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "564c97f9", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "bfd01e97", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "bfd01e97", - "externalKey" : "resetDates" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "5432b2f1" + "globalKey" : "cca85f8e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "meta" : { + "globalKey" : "bfd01e97", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "5432b2f1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } - }, - "meta" : { - "globalKey" : "1a0e7bab" - } - }, - "meta" : { - "globalKey" : "1a0e7bab" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -872,170 +830,230 @@ "globalKey" : "cca85f8e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "b38e54e9", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "1a0e7bab" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "1a0e7bab" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "b38e54e9", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "21928e55" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "74bfd20b" + "globalKey" : "cca85f8e" } - } ], + }, "meta" : { - "globalKey" : "8b8d337a" + "globalKey" : "21928e55" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "74bfd20b" } - }, + } ], "meta" : { - "globalKey" : "5c29774d" + "globalKey" : "8b8d337a" } }, - "meta" : { - "globalKey" : "5c29774d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "5c29774d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "5449e08f" } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -1079,17 +1097,17 @@ } } ], "meta" : { - "globalKey" : "b36b574" + "globalKey" : "1ef3ef52" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "945214d7" + "globalKey" : "ada84f35" } } ], "meta" : { - "globalKey" : "b8166180" + "globalKey" : "3c8cf618" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json index f95bfdeb2b..119769f322 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-input.json @@ -3,580 +3,591 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "19ec4c9a" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "622268e1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "985d6cb2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "622268e2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "985d6cb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d6b3d162", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "e30c2739" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "19472b0a" } }, "meta" : { - "globalKey" : "c5cfdca9" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "6b0bb378" + "globalKey" : "c5cfdca9" } + } ], + "meta" : { + "globalKey" : "6b0bb378" } - }, - "meta" : { - "globalKey" : "6b0bb378" } }, "meta" : { "globalKey" : "6b0bb378" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" } }, "meta" : { - "globalKey" : "25560f78" + "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "25560f78" + "globalKey" : "6db090ee" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "c42e75b4" } - }, + } ], "meta" : { - "globalKey" : "745bfa62" + "globalKey" : "c42e75b4" } }, - "meta" : { - "globalKey" : "745bfa62" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "beb3c19e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "19ec4c9a" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -614,7 +625,7 @@ } } ], "meta" : { - "globalKey" : "eda95ed8" + "globalKey" : "aed062c9" } }, "transferHistory" : [ { @@ -673,7 +684,7 @@ } } ], "meta" : { - "globalKey" : "c001a472" + "globalKey" : "a658b1e1" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-output.json index bfdd1e6097..8d2a30f73a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/contract-formation/contract-formation-swaption-func-output.json @@ -5,580 +5,591 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "2ba9f185" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "6616a564" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "773caa5d", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "43b7c3f3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "773caa5d", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "4997ef14" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "4997ef14" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "6616a565" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "774ad32f", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "43b7c3f4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "774ad32f", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "774ad32f", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "e29d39b9", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "774ad32f", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } + "dateRelativeTo" : { + "globalReference" : "e29d39b9", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "c4a1824b" + "globalKey" : "e70063bc" } }, "meta" : { - "globalKey" : "e29d39b9", - "externalKey" : "resetDates0" + "globalKey" : "c4a1824b" } }, "meta" : { - "globalKey" : "985f8fae" + "globalKey" : "e29d39b9", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "c7a55e1a" + "globalKey" : "985f8fae" } + } ], + "meta" : { + "globalKey" : "c7a55e1a" } - }, - "meta" : { - "globalKey" : "182a8949" } }, "meta" : { "globalKey" : "182a8949" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" } }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "6db090ee" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "26bb26c3" } - }, + } ], "meta" : { - "globalKey" : "15f0091c" + "globalKey" : "26bb26c3" } }, - "meta" : { - "globalKey" : "15f0091c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f1bf5fe2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "2ba9f185" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -616,7 +627,7 @@ } } ], "meta" : { - "globalKey" : "75dc4bfe" + "globalKey" : "f93ee7d9" } }, "transferHistory" : [ { @@ -675,7 +686,7 @@ } } ], "meta" : { - "globalKey" : "dfe62cc1" + "globalKey" : "78446dc6" } } } @@ -683,580 +694,591 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "2ba9f185" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" 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"accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "6616a564" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "773caa5d", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "43b7c3f3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "773caa5d", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "4997ef14" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - 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"globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : 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"774ad32f", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "43b7c3f4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "774ad32f", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "774ad32f", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "e29d39b9", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "774ad32f", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } + "dateRelativeTo" : { + "globalReference" : "e29d39b9", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "c4a1824b" + "globalKey" : "e70063bc" } }, "meta" : { - "globalKey" : "e29d39b9", - "externalKey" : "resetDates0" + "globalKey" : "c4a1824b" } }, "meta" : { - "globalKey" : "985f8fae" + "globalKey" : "e29d39b9", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "c7a55e1a" + "globalKey" : "985f8fae" } + } ], + "meta" : { + "globalKey" : "c7a55e1a" } - }, - "meta" : { - "globalKey" : "182a8949" } }, "meta" : { "globalKey" : "182a8949" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" } }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "6db090ee" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "26bb26c3" } - }, + } ], "meta" : { - "globalKey" : "15f0091c" + "globalKey" : "26bb26c3" } }, - "meta" : { - "globalKey" : "15f0091c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f1bf5fe2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "2ba9f185" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -1294,7 +1316,7 @@ } } ], "meta" : { - "globalKey" : "75dc4bfe" + "globalKey" : "f93ee7d9" } }, "state" : { @@ -1356,10 +1378,10 @@ } } ], "meta" : { - "globalKey" : "36f5a9be" + "globalKey" : "30c7bd83" } } ], "meta" : { - "globalKey" : "26505f79" + "globalKey" : "2eaf1243" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json index e2e4f13db0..3b04daac90 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-input.json @@ -6,18 +6,7 @@ "corporateAction" : { "corporateActionType" : "StockSplit", "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-01" } } } @@ -25,285 +14,134 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "c27138c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "c2787eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b65ddd" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "4fbde895" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5c33c394" - } - } ] - }, - "meta" : { - "globalKey" : "5c33c394", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "71e7e7d7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3048096c", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -312,390 +150,492 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "4fbde895" } }, "meta" : { - "globalKey" : "d7b4424e" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6e7d8489", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "48e9d409", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1cc8abb8", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "5ac6f8c7" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "48e9d409", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "57b386d" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5c33c394" } + } ] + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "d7b4424e" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1cc8abb8", - "externalReference" : "interimValuationDate" + "globalReference" : "6e7d8489", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "48e9d409", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1cc8abb8", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".GDAXI", - "meta" : { - "scheme" : "http://www.fpml.org/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/exchange-id" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "5ac6f8c7" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "1ff50d" } }, - "name" : "GERMAN SE XETRA DAX INDEX", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" } }, "meta" : { - "globalKey" : "417519da" + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "57b386d" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1cc8abb8", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "2120a769", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "99bceab7" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "b4c82460" - } - }, - "meta" : { - "globalKey" : "b4c82460" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0001234, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "e6f42383", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "43d06bd1" + } + } + }, + "meta" : { + "globalKey" : "ddee1afa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0001234, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -718,30 +658,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c27138c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "c2787eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -809,11 +796,11 @@ } }, "meta" : { - "globalKey" : "26dae148" + "globalKey" : "6278f94b" } }, "meta" : { - "globalKey" : "26dae148" + "globalKey" : "6278f94b" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-output.json index 78dea18896..bfec826b31 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-func-output.json @@ -8,18 +8,7 @@ "corporateAction" : { "corporateActionType" : "StockSplit", "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-01" } } } @@ -27,285 +16,134 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "de894c8c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "86fc2eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b6f2ee" + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b6f2ee" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - 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{ - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -720,30 +660,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "de894c8c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "86fc2eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -811,11 +798,11 @@ } }, "meta" : { - "globalKey" : "ab1723d3" + "globalKey" : "c507f978" } }, "meta" : { - "globalKey" : "ab1723d3" + "globalKey" : "c507f978" } } } @@ -823,285 +810,134 @@ "eventQualifier" : "CorporateActionDetermined", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "de894c8c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "86fc2eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b6f2ee" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b6f2ee" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "4fbde895" - } - }, - "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "5c33c394" + "globalKey" : "20a71d" } - } ] + }, + "meta" : { + "globalKey" : "211dc30c" + } }, "meta" : { - "globalKey" : "5c33c394", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "71e7e7d7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3048096c", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -1110,390 +946,492 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "ab5e2aee" + "globalKey" : "4fbde895" } }, "meta" : { - "globalKey" : "9e23e7b3" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6e7d8489", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "48e9d409", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1cc8abb8", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "5ac6f8c7" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "48e9d409", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "57b386d" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5c33c394" } + } ] + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "ab5e2aee" + } + }, + "meta" : { + "globalKey" : "9e23e7b3" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1cc8abb8", - "externalReference" : "interimValuationDate" + "globalReference" : "6e7d8489", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "48e9d409", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1cc8abb8", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".GDAXI", - "meta" : { - "scheme" : "http://www.fpml.org/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/exchange-id" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "5ac6f8c7" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "1ff50d" } }, - "name" : "GERMAN SE XETRA DAX INDEX", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" } }, "meta" : { - "globalKey" : "417519da" + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "57b386d" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1cc8abb8", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "2120a769", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "85cad99c" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "b3718553" - } - }, - "meta" : { - "globalKey" : "b3718553" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0001234, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "e6f42383", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "6749ca36" + } + } + }, + "meta" : { + "globalKey" : "9083106d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0001234, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -1516,30 +1454,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "de894c8c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "86fc2eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -1607,32 +1592,21 @@ } }, "meta" : { - "globalKey" : "ab1723d3" + "globalKey" : "c507f978" } }, "observationHistory" : [ { "corporateAction" : { "corporateActionType" : "StockSplit", "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-01" } } ], "meta" : { - "globalKey" : "ee1a35ee" + "globalKey" : "6f51ddd9" } } ], "meta" : { - "globalKey" : "c77f33a6" + "globalKey" : "22cbd612" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json index af2d276ac3..3668d47fed 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-input.json @@ -6,18 +6,7 @@ "corporateAction" : { "corporateActionType" : "CashDividend", "exDate" : "2009-02-13", - "payDate" : "2009-02-13", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-13" } } } @@ -25,285 +14,134 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "c27138c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "c2787eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b65ddd" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "4fbde895" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5c33c394" - } - } ] - }, - "meta" : { - "globalKey" : "5c33c394", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "71e7e7d7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3048096c", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -312,390 +150,492 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "4fbde895" } }, "meta" : { - "globalKey" : "d7b4424e" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6e7d8489", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "48e9d409", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1cc8abb8", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "5ac6f8c7" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "48e9d409", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "57b386d" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5c33c394" } + } ] + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "d7b4424e" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1cc8abb8", - "externalReference" : "interimValuationDate" + "globalReference" : "6e7d8489", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "48e9d409", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1cc8abb8", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".GDAXI", - "meta" : { - "scheme" : "http://www.fpml.org/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/exchange-id" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "5ac6f8c7" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "1ff50d" } }, - "name" : "GERMAN SE XETRA DAX INDEX", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" } }, "meta" : { - "globalKey" : "417519da" + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "57b386d" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1cc8abb8", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "2120a769", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "99bceab7" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "b4c82460" - } - }, - "meta" : { - "globalKey" : "b4c82460" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0001234, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "e6f42383", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "43d06bd1" + } + } + }, + "meta" : { + "globalKey" : "ddee1afa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0001234, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -718,30 +658,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c27138c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "c2787eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -809,29 +796,18 @@ } }, "meta" : { - "globalKey" : "26dae148" + "globalKey" : "6278f94b" } }, "observationHistory" : [ { "corporateAction" : { "corporateActionType" : "StockSplit", "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-01" } } ], "meta" : { - "globalKey" : "b69b6523" + "globalKey" : "43b6c9e6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-output.json index 5b58f1b73b..83f5b80d98 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/corporate-actions/corporate-actions-obs-func-output.json @@ -8,18 +8,7 @@ "corporateAction" : { "corporateActionType" : "CashDividend", "exDate" : "2009-02-13", - "payDate" : "2009-02-13", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-13" } } } @@ -27,285 +16,134 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "de894c8c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "86fc2eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b6f2ee" + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b6f2ee" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "4fbde895" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5c33c394" - } - } ] - }, - "meta" : { - "globalKey" : "5c33c394", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "71e7e7d7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3048096c", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -314,390 +152,492 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "ab5e2aee" + "globalKey" : "4fbde895" } }, "meta" : { - "globalKey" : "9e23e7b3" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6e7d8489", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "48e9d409", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - } - }, - "meta" : { - "globalKey" : "1cc8abb8", - "externalKey" : "interimValuationDate" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" + } + }, + "meta" : { + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "5ac6f8c7" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "48e9d409", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "57b386d" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5c33c394" + } + } ] + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "ab5e2aee" + } + }, + "meta" : { + "globalKey" : "9e23e7b3" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1cc8abb8", - "externalReference" : "interimValuationDate" + "globalReference" : "6e7d8489", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "48e9d409", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1cc8abb8", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".GDAXI", - "meta" : { - "scheme" : "http://www.fpml.org/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/exchange-id" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "5ac6f8c7" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "1ff50d" } }, - "name" : "GERMAN SE XETRA DAX INDEX", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" } }, "meta" : { - "globalKey" : "417519da" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } - } - } ] + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" } }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", "meta" : { - "globalKey" : "2120a769", - "externalKey" : "returnLeg" + "globalKey" : "57b386d" } - } ], - "meta" : { - "globalKey" : "85cad99c" } - } - }, - "meta" : { - "globalKey" : "b3718553" - } - }, - "meta" : { - "globalKey" : "b3718553" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0001234, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1cc8abb8", + "externalReference" : "interimValuationDate" + } + }, "meta" : { - "globalKey" : "6c" + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } } }, "meta" : { - "location" : [ { + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } } ] } + }, + "meta" : { + "globalKey" : "e6f42383", + "externalKey" : "returnLeg" } + } ], + "meta" : { + "globalKey" : "6749ca36" + } + } + }, + "meta" : { + "globalKey" : "9083106d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0001234, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -720,30 +660,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "de894c8c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "86fc2eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -811,29 +798,18 @@ } }, "meta" : { - "globalKey" : "ab1723d3" + "globalKey" : "c507f978" } }, "observationHistory" : [ { "corporateAction" : { "corporateActionType" : "StockSplit", "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-01" } } ], "meta" : { - "globalKey" : "ee1a35ee" + "globalKey" : "6f51ddd9" } } } @@ -841,285 +817,108 @@ "eventQualifier" : "CorporateActionDetermined", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "de894c8c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "86fc2eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b6f2ee" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "4fbde895" - } - }, - "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : 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{ + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b6f2ee" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -1128,390 +927,518 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "ab5e2aee" + "globalKey" : "71e7e7d7" } }, "meta" : { - "globalKey" : "9e23e7b3" + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, "meta" : { - "globalKey" : "76108015" + "globalKey" : "4fbde895" } }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6e7d8489", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "48e9d409", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" + "meta" : { + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" + } + }, + "meta" : { + "globalKey" : "3048096c", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "71e7e7d7", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1cc8abb8", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - 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], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c33c394", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "ab5e2aee" + } + }, + "meta" : { + "globalKey" : "9e23e7b3" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + 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: "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "e6f42383", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "6749ca36" + } + } + }, + "meta" : { + "globalKey" : "9083106d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0001234, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -1534,30 +1461,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "de894c8c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "86fc2eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -1625,49 +1599,27 @@ } }, "meta" : { - "globalKey" : "ab1723d3" + "globalKey" : "c507f978" } }, "observationHistory" : [ { "corporateAction" : { "corporateActionType" : "StockSplit", "exDate" : "2009-02-01", - "payDate" : "2009-02-01", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-01" } }, { "corporateAction" : { "corporateActionType" : "CashDividend", "exDate" : "2009-02-13", - "payDate" : "2009-02-13", - "underlier" : { - "index" : { - "EquityIndex" : { - "name" : "VOLKSWAGEN AG VZO O.N.", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "8f901f8c" - } - } + "payDate" : "2009-02-13" } } ], "meta" : { - "globalKey" : "b6d1bee9" + "globalKey" : "994aa5a4" } } ], "meta" : { - "globalKey" : "fed6ce46" + "globalKey" : "f6e4f6b8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json index 9fe91b7158..de8c205967 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-input.json @@ -28,208 +28,208 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "ed169df" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "ed169df" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda6373" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -299,7 +299,7 @@ } }, "meta" : { - "globalKey" : "b34606e1" + "globalKey" : "44d7231f" } }, "transferHistory" : [ { @@ -341,7 +341,7 @@ } } ], "meta" : { - "globalKey" : "da5109f6" + "globalKey" : "c1479b34" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-output.json index b05f0e9226..4924436293 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-func-output.json @@ -30,208 +30,208 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "ed169df" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "ed169df" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda6373" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -301,7 +301,7 @@ } }, "meta" : { - "globalKey" : "a1ea3c23" + "globalKey" : "ce3990f1" } }, "transferHistory" : [ { @@ -343,7 +343,7 @@ } } ], "meta" : { - "globalKey" : "26124a" + "globalKey" : "3a0ab398" } } } @@ -351,208 +351,208 @@ "eventQualifier" : "CreditEventDetermined", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "ed169df" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "ed169df" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda6373" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -622,7 +622,7 @@ } }, "meta" : { - "globalKey" : "a1ea3c23" + "globalKey" : "ce3990f1" } }, "transferHistory" : [ { @@ -685,10 +685,10 @@ } } ], "meta" : { - "globalKey" : "41e4c401" + "globalKey" : "d8cbe04f" } } ], "meta" : { - "globalKey" : "71c294e0" + "globalKey" : "18720410" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json index 64563ff014..bd16dc9385 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json @@ -28,208 +28,208 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "ed169df" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "ed169df" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda6373" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -299,7 +299,7 @@ } }, "meta" : { - "globalKey" : "b34606e1" + "globalKey" : "44d7231f" } }, "transferHistory" : [ { @@ -362,7 +362,7 @@ } } ], "meta" : { - "globalKey" : "d85d99ad" + "globalKey" : "f8be3deb" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-output.json index afbb03c290..58e2da6c55 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-output.json @@ -30,208 +30,208 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "ed169df" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "ed169df" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda6373" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -301,7 +301,7 @@ } }, "meta" : { - "globalKey" : "a1ea3c23" + "globalKey" : "ce3990f1" } }, "transferHistory" : [ { @@ -364,7 +364,7 @@ } } ], "meta" : { - "globalKey" : "41e4c401" + "globalKey" : "d8cbe04f" } } } @@ -372,208 +372,208 @@ "eventQualifier" : "CreditEventDetermined", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "ed169df" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "ed169df" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda6373" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -643,7 +643,7 @@ } }, "meta" : { - "globalKey" : "a1ea3c23" + "globalKey" : "ce3990f1" } }, "transferHistory" : [ { @@ -726,10 +726,10 @@ } } ], "meta" : { - "globalKey" : "a2b1ca2a" + "globalKey" : "17bae178" } } ], "meta" : { - "globalKey" : "58a4beb2" + "globalKey" : "2a9bf7f0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json index a678784898..c38907f7aa 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-input.json @@ -3,454 +3,449 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", + "identifier" : [ { + "identifier" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } + } ], + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "0" } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "56fd0cdc" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "ad0f37f7" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "365a772a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "365a772a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "1eccae0a", - "externalReference" : "resetDates1" - } + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "1f7359" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "dateRelativeTo" : { + "globalReference" : "1eccae0a", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "1eccae0a", - "externalKey" : "resetDates1" + "globalKey" : "365a772a" } }, "meta" : { - "globalKey" : "1cf637fb" + "globalKey" : "1eccae0a", + "externalKey" : "resetDates1" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "1cf637fb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-2" } }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "price-1" } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "56fd0cdc" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "ad0f37f7" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "365a772a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "365a772a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "16ef084a", - "externalReference" : "resetDates2" - } + "meta" : { + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "6c" + "globalKey" : "1f7359" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "dateRelativeTo" : { + "globalReference" : "16ef084a", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "16ef084a", - "externalKey" : "resetDates2" + "globalKey" : "365a772a" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6db725d4" + "globalKey" : "16ef084a", + "externalKey" : "resetDates2" } - } ], - "meta" : { - "globalKey" : "e988dd8f" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "compoundingMethod" : "Flat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "6db725d4" } - }, - "source" : "Other", + } ], "meta" : { - "globalKey" : "aba3dd40" + "globalKey" : "e988dd8f" } - } ], - "meta" : { - "globalKey" : "8a873d91" } }, "meta" : { - "globalKey" : "8a873d91" + "globalKey" : "ce551b91" } }, "priceQuantity" : [ { @@ -466,34 +461,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, "meta" : { - "globalKey" : "aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "30cdb530" + "globalKey" : "2ee97500" } }, { "price" : [ { @@ -531,34 +545,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } }, "meta" : { - "globalKey" : "2bf89df0" + "globalKey" : "f7fac640" } } ], "counterparty" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-output.json index 8293eae519..8376c6946a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-basis-swap-func-output.json @@ -4,454 +4,449 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", + "identifier" : [ { + "identifier" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } + } ], + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "0" } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "56fd0cdc" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "ad0f37f7" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "365a772a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "365a772a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "f31a9f2e", - "externalReference" : "resetDates1" - } + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "1f7359" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "dateRelativeTo" : { + "globalReference" : "f31a9f2e", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "f31a9f2e", - "externalKey" : "resetDates1" + "globalKey" : "365a772a" } }, "meta" : { - "globalKey" : "2f42c59f" + "globalKey" : "f31a9f2e", + "externalKey" : "resetDates1" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2f42c59f" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-2" } }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "56fd0cdc" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "56fd0cdc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "ad0f37f7" + "globalKey" : "365a772a" } }, "meta" : { "globalKey" : "ad0f37f7" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "365a772a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "365a772a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "529beab3", - "externalReference" : "resetDates2" - } + "meta" : { + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "6c" + "globalKey" : "1f7359" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, + "dateRelativeTo" : { + "globalReference" : "529beab3", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "365a772a" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "529beab3", - "externalKey" : "resetDates2" + "globalKey" : "365a772a" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6156370b" + "globalKey" : "529beab3", + "externalKey" : "resetDates2" } - } ], - "meta" : { - "globalKey" : "92a85cea" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "compoundingMethod" : "Flat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "6156370b" } - }, - "source" : "Other", + } ], "meta" : { - "globalKey" : "aba3dd40" + "globalKey" : "92a85cea" } - } ], - "meta" : { - "globalKey" : "7fea7e03" } }, "meta" : { - "globalKey" : "7fea7e03" + "globalKey" : "6b06d783" } }, "priceQuantity" : [ { @@ -467,34 +462,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, "meta" : { - "globalKey" : "aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "30cdb530" + "globalKey" : "2ee97500" } }, { "price" : [ { @@ -532,34 +546,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } }, "meta" : { - "globalKey" : "2bf89df0" + "globalKey" : "f7fac640" } } ], "counterparty" : [ { @@ -638,140 +671,79 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } } ], - "meta" : { - "globalKey" : "28d97e67" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -785,31 +757,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -824,157 +783,170 @@ } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "f31a9f2e", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "f31a9f2e", - "externalKey" : "resetDates1" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "2f42c59f" + "globalKey" : "365a772a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "1f7359" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dateRelativeTo" : { + "globalReference" : "f31a9f2e", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "f31a9f2e", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "2f42c59f" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -988,32 +960,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1028,215 +986,321 @@ } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "529beab3", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "529beab3", - "externalKey" : "resetDates2" + "globalKey" : "1f7359" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6156370b" + "globalKey" : "365a772a" } - } ], + }, + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" + }, + "rollConvention" : "IMMCAD" + }, "meta" : { - "globalKey" : "92a85cea" + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" } }, - "source" : "Other", + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "dateRelativeTo" : { + "globalReference" : "529beab3", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "529beab3", + "externalKey" : "resetDates2" + } + }, + "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "aba3dd40" + "globalKey" : "6156370b" } } ], "meta" : { - "globalKey" : "7fea7e03" + "globalKey" : "92a85cea" } - }, - "meta" : { - "globalKey" : "7fea7e03" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "meta" : { + "globalKey" : "6b06d783" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "30cdb530" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00121, - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CAD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "2ee97500" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00121, + "unit" : { + "currency" : { + "value" : "CAD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "perUnitOf" : { + "currency" : { + "value" : "CAD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2bf89df0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f7fac640" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "28d97e67" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -1272,17 +1336,17 @@ } } ], "meta" : { - "globalKey" : "80b279c6" + "globalKey" : "d5ef86b8" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "c66707d5" + "globalKey" : "c094a047" } } ], "meta" : { - "globalKey" : "eb132341" + "globalKey" : "c48080f7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json index 78b91c2b5e..74c79d0ccc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-input.json @@ -3,320 +3,315 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb0a8cfd" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb0a8cfd" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "58681de7" + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "28faf882" + "globalKey" : "58681de7" } }, "meta" : { "globalKey" : "28faf882" } }, - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "58681de7" + "globalKey" : "81e56a96" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2003-03-05", + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "3ead5b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2003-03-05", "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "3ead5b" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "escrow" : true, - "meta" : { - "globalKey" : "944a7af8" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" + "globalKey" : "3fb" } }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "944a7af8" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "name" : { + "value" : "ACOM CO., LTD." + }, + "meta" : { + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "meta" : { - "globalKey" : "b883af02" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "defaultRequirement" : { - "value" : 1000000000.0, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000.0, "unit" : { "currency" : { "value" : "JPY" } }, "meta" : { - "globalKey" : "57e64854" + "globalKey" : "b883af02" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "8f38683" + "globalKey" : "57e64854" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "8f38683" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "dfd917a0" + "globalKey" : "15515017" } - }, + } ], "meta" : { - "globalKey" : "bb058eae" + "globalKey" : "dfd917a0" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" - } + "meta" : { + "globalKey" : "bb058eae" } }, - "meta" : { - "globalKey" : "65d77dee" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, "meta" : { @@ -358,7 +353,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -378,7 +373,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-output.json index c0fbcf2aab..d05c1ae0c1 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-credit-default-swap-func-output.json @@ -4,320 +4,315 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb0a8cfd" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb0a8cfd" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "58681de7" + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "28faf882" + "globalKey" : "58681de7" } }, "meta" : { "globalKey" : "28faf882" } }, - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "58681de7" + "globalKey" : "81e56a96" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2003-03-05", + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "3ead5b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2003-03-05", "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "3ead5b" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "escrow" : true, - "meta" : { - "globalKey" : "944a7af8" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" + "globalKey" : "3fb" } }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "944a7af8" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "name" : { + "value" : "ACOM CO., LTD." + }, + "meta" : { + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "meta" : { - "globalKey" : "b883af02" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" + } + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "defaultRequirement" : { - "value" : 1000000000, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000, "unit" : { "currency" : { "value" : "JPY" } }, "meta" : { - "globalKey" : "57e64854" + "globalKey" : "b883af02" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "8f38683" + "globalKey" : "57e64854" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "8f38683" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "7a1816a5" + "globalKey" : "15515017" } - }, + } ], "meta" : { - "globalKey" : "e301d857" + "globalKey" : "7a1816a5" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" - } + "meta" : { + "globalKey" : "e301d857" } }, - "meta" : { - "globalKey" : "bf469ab7" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, "meta" : { @@ -359,7 +354,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -379,7 +374,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -478,84 +473,32 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "RTD3ERTF37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "38585b61" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -574,341 +517,386 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" + } + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "b883af02" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" - } - } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "b883af02" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "57e64854" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8f38683" + "defaultRequirement" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true - }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "7a1816a5" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "e301d857" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "7a1816a5" } }, "meta" : { - "globalKey" : "bf469ab7" + "globalKey" : "e301d857" } }, - "meta" : { - "globalKey" : "bf469ab7" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "bf469ab7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "rsf765" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "RTD3ERTF37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "38585b61" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -952,17 +940,17 @@ } } ], "meta" : { - "globalKey" : "6c1ea936" + "globalKey" : "619ce1b6" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "87851b45" + "globalKey" : "165733c5" } } ], "meta" : { - "globalKey" : "a49f4645" + "globalKey" : "e9b0ce4d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json index 8b435cf0ba..fba7a855d3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-input.json @@ -3,75 +3,70 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { @@ -82,104 +77,104 @@ "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { "globalKey" : "107" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "211caa4f" + "globalKey" : "1f8e60" } }, "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "211caa4f" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "2a1bc04d" + "globalKey" : "407eeb1e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { @@ -190,66 +185,66 @@ "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "211caa4f" + "globalKey" : "1f8e60" } }, "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "211caa4f" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "ce01227d" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "44b30fd3" + "globalKey" : "ce01227d" } - } ], + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, "meta" : { - "globalKey" : "3f9d4d26" + "globalKey" : "44b30fd3" } + } ], + "meta" : { + "globalKey" : "3f9d4d26" } - }, - "meta" : { - "globalKey" : "3f9d4d26" } }, "meta" : { @@ -291,7 +286,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -311,34 +306,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "9965fc03" + "globalKey" : "e068a768" } } ], "counterparty" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-output.json index 00c9082b97..80d1933ca5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fra-func-output.json @@ -4,75 +4,70 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { @@ -83,104 +78,104 @@ "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { "globalKey" : "107" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "211caa4f" + "globalKey" : "1f8e60" } }, "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "211caa4f" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "2a1bc04d" + "globalKey" : "407eeb1e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { @@ -191,66 +186,66 @@ "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "211caa4f" + "globalKey" : "1f8e60" } }, "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "211caa4f" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "ce01227d" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "44b30fd3" + "globalKey" : "ce01227d" } - } ], + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, "meta" : { - "globalKey" : "3f9d4d26" + "globalKey" : "44b30fd3" } + } ], + "meta" : { + "globalKey" : "3f9d4d26" } - }, - "meta" : { - "globalKey" : "b1fc215f" } }, "meta" : { @@ -292,7 +287,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -312,37 +307,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "d900e1e5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "9965fc03" + "globalKey" : "e068a768" } } ], "counterparty" : [ { @@ -438,403 +449,412 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "99fd7db3" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "2748dc9c" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "107" + "globalKey" : "3e4051" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "2a1bc04d" + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" - } - }, + "meta" : { + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ce01227d" + "globalKey" : "21479e" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "44b30fd3" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } - } ], + }, "meta" : { - "globalKey" : "3f9d4d26" + "globalKey" : "ce01227d" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "44b30fd3" } - }, + } ], "meta" : { - "globalKey" : "b1fc215f" + "globalKey" : "3f9d4d26" } - }, - "meta" : { - "globalKey" : "b1fc215f" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CHF" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b1fc215f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "CHF" - } + "perUnitOf" : { + "currency" : { + "value" : "CHF" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "CHF" + } } - } ], + }, "meta" : { - "globalKey" : "d8cd86d5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "CHF" - } + } ], + "meta" : { + "globalKey" : "d8cd86d5" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "CHF" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "d900e1e5" } }, "meta" : { - "globalKey" : "9965fc03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e068a768" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "99fd7db3" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "2748dc9c" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } }, "party" : [ { "partyId" : [ { @@ -872,17 +892,17 @@ } } ], "meta" : { - "globalKey" : "fc82f0d0" + "globalKey" : "b20eb4c7" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "8ff5e45f" + "globalKey" : "11a08696" } } ], "meta" : { - "globalKey" : "839846e5" + "globalKey" : "3987698d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json index a9e20587e7..d32a4928a9 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-input.json @@ -3,87 +3,58 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", "meta" : { - "globalKey" : "c086df02" + "globalKey" : "3e8b15" } }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "3e8b15" } - } ], + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "c600712a" } + } ], + "meta" : { + "globalKey" : "c600712a" } - }, - "meta" : { - "globalKey" : "90c7297" } }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "c600712a" } }, "priceQuantity" : [ { @@ -127,7 +98,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } }, { @@ -142,41 +113,45 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "a68dcec" + "globalKey" : "95ac2ce1" } } ], "counterparty" : [ { "role" : "Party1", "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" + "globalReference" : "a887a4ca", + "externalReference" : "party1" } }, { "role" : "Party2", "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" + "globalReference" : "a41bc6e9", + "externalReference" : "party2" } } ], "parties" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-output.json index 335448af33..d2b74a5e7f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-fx-forward-func-output.json @@ -4,87 +4,58 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", "meta" : { - "globalKey" : "c086df02" + "globalKey" : "3e8b15" } }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } - } ], + }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "c600712a" } + } ], + "meta" : { + "globalKey" : "c600712a" } - }, - "meta" : { - "globalKey" : "9cce50e0" } }, "meta" : { - "globalKey" : "9cce50e0" + "globalKey" : "a5422301" } }, "priceQuantity" : [ { @@ -128,7 +99,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } }, { @@ -143,41 +114,45 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "a68dcec" + "globalKey" : "95ac2ce1" } } ], "counterparty" : [ { "role" : "Party1", "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" + "globalReference" : "a887a4ca", + "externalReference" : "party1" } }, { "role" : "Party2", "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" + "globalReference" : "a41bc6e9", + "externalReference" : "party2" } } ], "parties" : [ { @@ -260,6 +235,160 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "a5422301" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.913, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -299,187 +428,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "9cce50e0" - } - }, - "meta" : { - "globalKey" : "9cce50e0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.913, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -516,17 +464,17 @@ } } ], "meta" : { - "globalKey" : "68b7bc3d" + "globalKey" : "e70a34b1" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "c225888c" + "globalKey" : "f5bbb400" } } ], "meta" : { - "globalKey" : "e9af57d6" + "globalKey" : "2e8c7166" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json index 20a8360b20..05b3f8f0ec 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-input.json @@ -3,347 +3,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "214e084d" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "93c845ff" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "9e3bcf2b" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "b4b47bc7" } + } ], + "meta" : { + "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, "meta" : { @@ -366,34 +361,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -439,7 +453,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-output.json index c75ba052a3..3c4b35b912 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-func-output.json @@ -4,347 +4,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -367,37 +362,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "2505dd46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -443,7 +454,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -532,307 +543,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365af8de" } + }, + "meta" : { + "globalKey" : "a8d53690" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eef1b10f" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "21479e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "cc92cf9e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -847,179 +809,237 @@ "globalKey" : "cc92cf9e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "abe45cac" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "cc92cf9e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "9fcd1c8" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "2505dd46" } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -1060,17 +1080,17 @@ } } ], "meta" : { - "globalKey" : "981546eb" + "globalKey" : "d10a6887" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "904b1fba" + "globalKey" : "607e4a56" } } ], "meta" : { - "globalKey" : "69ff8425" + "globalKey" : "194a3307" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json index 2fa4e3f8d1..dfbdf02949 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-input.json @@ -3,390 +3,385 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "d2fe2899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "d2fe2899" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "20881899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "20881899" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "cf94775b" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "cf94775b" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "f13835fd", - "externalKey" : "N10434" + "globalKey" : "cf94775b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "f13835fd", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "365c4b6f" } }, "meta" : { - "globalKey" : "87836bbd" + "globalKey" : "aacaea08" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "87836bbd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "d2fe2899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "d2fe2899" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "20881899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "20881899" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ece1e2cc" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ece1e2cc" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f75" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "a633c897", - "externalKey" : "N10277" + "globalKey" : "ece1e2cc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f75" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "a633c897", + "externalKey" : "N10277" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "365c4b6f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a633c897", - "externalReference" : "N10277" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "c7301fa0", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "aacaea08" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a633c897", + "externalReference" : "N10277" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "dateRelativeTo" : { + "globalReference" : "c7301fa0", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "c7301fa0", - "externalKey" : "resetDates" + "globalKey" : "365c4b6f" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "1fe54219" + "globalKey" : "c7301fa0", + "externalKey" : "resetDates" } - } ], + }, + "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "d61a1f56" + "globalKey" : "1fe54219" } + } ], + "meta" : { + "globalKey" : "d61a1f56" } - }, - "meta" : { - "globalKey" : "d61a1f56" } }, "meta" : { @@ -428,7 +423,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -448,34 +443,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-ISDA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-ISDA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-ISDA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, "meta" : { - "globalKey" : "aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "28ba9a94" + "globalKey" : "ed2daa23" } } ], "counterparty" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-output.json index dc16bcf428..a3bd62ea36 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-fee-func-output.json @@ -4,390 +4,385 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "d2fe2899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "d2fe2899" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "20881899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "20881899" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "cf94775b" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "cf94775b" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "f13835fd", - "externalKey" : "N10434" + "globalKey" : "cf94775b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "f13835fd", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "365c4b6f" } }, "meta" : { - "globalKey" : "87836bbd" + "globalKey" : "aacaea08" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "87836bbd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "d2fe2899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "d2fe2899" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "20881899" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "20881899" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ece1e2cc" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ece1e2cc" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f75" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "a633c897", - "externalKey" : "N10277" + "globalKey" : "ece1e2cc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f75" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "a633c897", + "externalKey" : "N10277" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "365c4b6f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a633c897", - "externalReference" : "N10277" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "260cc9a9", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "aacaea08" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a633c897", + "externalReference" : "N10277" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "dateRelativeTo" : { + "globalReference" : "260cc9a9", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "260cc9a9", - "externalKey" : "resetDates" + "globalKey" : "365c4b6f" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "fbe9f930" + "globalKey" : "260cc9a9", + "externalKey" : "resetDates" } - } ], + }, + "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "ec6ac8ed" + "globalKey" : "fbe9f930" } + } ], + "meta" : { + "globalKey" : "ec6ac8ed" } - }, - "meta" : { - "globalKey" : "ff297bbd" } }, "meta" : { @@ -429,7 +424,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -449,34 +444,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-ISDA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-ISDA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-ISDA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, "meta" : { - "globalKey" : "aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "28ba9a94" + "globalKey" : "ed2daa23" } } ], "counterparty" : [ { @@ -612,125 +626,77 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59557", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS858TH30", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "c5b44e33" - } - } ], - "tradeDate" : { - "value" : "2018-02-20", - "meta" : { - "globalKey" : "3f1094" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "d2fe2899" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "d2fe2899" + "globalKey" : "365c4b6f" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -744,54 +710,32 @@ "globalKey" : "365c4b6f" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "cf94775b" - } - }, - "meta" : { - "globalKey" : "cf94775b" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "f13835fd", - "externalKey" : "N10434" + "globalKey" : "20881899" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -806,141 +750,93 @@ } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "cf94775b" } }, "meta" : { - "globalKey" : "87836bbd" + "globalKey" : "cf94775b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "f13835fd", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "d2fe2899" - } - }, - "meta" : { - "globalKey" : "d2fe2899" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece1e2cc" - } - }, - "meta" : { - "globalKey" : "ece1e2cc" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f75" - }, - "rollConvention" : "22" - }, - "meta" : { - "globalKey" : "a633c897", - "externalKey" : "N10277" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "aacaea08" + } + }, + "meta" : { + "globalKey" : "87836bbd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -955,22 +851,18 @@ } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "d2fe2899" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a633c897", - "externalReference" : "N10277" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -979,155 +871,289 @@ "globalKey" : "21479e" } }, - "dateRelativeTo" : { - "globalReference" : "260cc9a9", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365c4b6f" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "20881899" + } + }, + "meta" : { + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "260cc9a9", - "externalKey" : "resetDates" + "globalKey" : "ece1e2cc" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "fbe9f930" + "globalKey" : "ece1e2cc" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f75" + }, + "rollConvention" : "22" + }, "meta" : { - "globalKey" : "ec6ac8ed" + "globalKey" : "a633c897", + "externalKey" : "N10277" } - } - }, - "meta" : { - "globalKey" : "ff297bbd" - } - }, - "meta" : { - "globalKey" : "ff297bbd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.03, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "aacaea08" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a633c897", + "externalReference" : "N10277" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "260cc9a9", + "externalReference" : "resetDates" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "260cc9a9", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "fbe9f930" } } ], "meta" : { - "globalKey" : "311d883e" + "globalKey" : "ec6ac8ed" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "ff297bbd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.03, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-ISDA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "311d883e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-ISDA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-ISDA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "28ba9a94" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59557", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59558", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "ed2daa23" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59558", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS858TH30", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "c5b44e33" + } + } ], + "tradeDate" : { + "value" : "2018-02-20", + "meta" : { + "globalKey" : "3f1094" + } }, "party" : [ { "partyId" : [ { @@ -1163,7 +1189,7 @@ } } ], "meta" : { - "globalKey" : "d060eb6a" + "globalKey" : "9e530c71" } }, "state" : { @@ -1225,10 +1251,10 @@ } } ], "meta" : { - "globalKey" : "64624baf" + "globalKey" : "15231308" } } ], "meta" : { - "globalKey" : "f313fc8d" + "globalKey" : "acb6a7e3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json index 0b672a254a..2b85e84e19 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-input.json @@ -3,347 +3,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "214e084d" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "93c845ff" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "9e3bcf2b" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "b4b47bc7" } + } ], + "meta" : { + "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, "meta" : { @@ -366,34 +361,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -439,7 +453,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-output.json index b32b4309a7..f1ee4db678 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ir-swap-with-other-party-payment-func-output.json @@ -4,347 +4,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -367,34 +362,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -440,7 +454,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -601,307 +615,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365af8de" } + }, + "meta" : { + "globalKey" : "a8d53690" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -916,176 +881,237 @@ "globalKey" : "cc92cf9e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "abe45cac" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "cc92cf9e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "9fcd1c8" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -1150,7 +1176,7 @@ "role" : "ArrangingBroker" } ], "meta" : { - "globalKey" : "94005d4b" + "globalKey" : "869c7de7" } }, "state" : { @@ -1203,10 +1229,10 @@ } } ], "meta" : { - "globalKey" : "d525fc9d" + "globalKey" : "ba9c3681" } } ], "meta" : { - "globalKey" : "75de035b" + "globalKey" : "d5c92307" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json index 85ae9b8df2..1171022f94 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-input.json @@ -3,357 +3,352 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae28c55" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae28c55" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a6474bf1" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a6474bf1" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "37c36a6c", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "ba5fc4c9" + "globalKey" : "214e084d" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "37c36a6c", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a7a9427d", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "ba5fc4c9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "73" + "globalKey" : "20a71d" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "dateRelativeTo" : { + "globalReference" : "a7a9427d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a7a9427d", - "externalKey" : "resetDates" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "c1f8b927" + "globalKey" : "a7a9427d", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "c1f8b927" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae28c55" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae28c55" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "9139a950" + "globalKey" : "214e084d" } }, "meta" : { "globalKey" : "9139a950" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "meta" : { + "globalKey" : "9139a950" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "d26aa7ed", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "214e084d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "95bca6e6" + "globalKey" : "214e084d" } }, "meta" : { - "globalKey" : "bc67e9b4" + "globalKey" : "95bca6e6" } - } ], + }, "meta" : { - "globalKey" : "be61421b" + "globalKey" : "bc67e9b4" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "be61421b" } }, - "meta" : { - "globalKey" : "f7651045" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { @@ -373,27 +368,46 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "9894669e" + "globalKey" : "d90f77c2" } }, { "price" : [ { @@ -430,7 +444,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-output.json index 2250b6e192..7df1ff5ce8 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-ois-swap-func-output.json @@ -4,357 +4,352 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae28c55" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae28c55" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a6474bf1" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "a6474bf1" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "ef0740ff" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "564c97f9", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cca85f8e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "564c97f9", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "a3a58192" + "globalKey" : "cca85f8e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "564c97f9", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "bfd01e97", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "a3a58192" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "564c97f9", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "73" + "globalKey" : "20a71d" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } + "dateRelativeTo" : { + "globalReference" : "bfd01e97", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "bfd01e97", - "externalKey" : "resetDates" + "globalKey" : "cca85f8e" } }, "meta" : { - "globalKey" : "5432b2f1" + "globalKey" : "bfd01e97", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "5432b2f1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae28c55" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae28c55" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "1a0e7bab" + "globalKey" : "cca85f8e" } }, "meta" : { "globalKey" : "1a0e7bab" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } + "meta" : { + "globalKey" : "1a0e7bab" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "ef0740ff" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "b38e54e9", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cca85f8e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "b38e54e9", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cca85f8e" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "21928e55" + "globalKey" : "cca85f8e" } }, "meta" : { - "globalKey" : "74bfd20b" + "globalKey" : "21928e55" } - } ], + }, "meta" : { - "globalKey" : "8b8d337a" + "globalKey" : "74bfd20b" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "8b8d337a" } }, - "meta" : { - "globalKey" : "5c29774d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { @@ -374,30 +369,46 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "5449e08f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "9894669e" + "globalKey" : "d90f77c2" } }, { "price" : [ { @@ -434,7 +445,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -535,316 +546,265 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae28c55" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "a6474bf1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "564c97f9", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ef0740ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "564c97f9", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a3a58192" + "globalKey" : "ef0740ff" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "564c97f9", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "bfd01e97", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } - }, + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "meta" : { + "globalKey" : "a3a58192" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "564c97f9", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "bfd01e97", - "externalKey" : "resetDates" + "globalKey" : "20a71d" } }, + "dateRelativeTo" : { + "globalReference" : "bfd01e97", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "5432b2f1" + "globalKey" : "73" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "ef0740ff" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "meta" : { + "globalKey" : "bfd01e97", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "5432b2f1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } - }, - "meta" : { - "globalKey" : "1a0e7bab" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "1a0e7bab" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -859,170 +819,230 @@ "globalKey" : "cca85f8e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "b38e54e9", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "1a0e7bab" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "1a0e7bab" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "cca85f8e" - } + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "cca85f8e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "b38e54e9", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "21928e55" + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "74bfd20b" + "globalKey" : "cca85f8e" } - } ], + }, "meta" : { - "globalKey" : "8b8d337a" + "globalKey" : "21928e55" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "74bfd20b" } - }, + } ], "meta" : { - "globalKey" : "5c29774d" + "globalKey" : "8b8d337a" } }, - "meta" : { - "globalKey" : "5c29774d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "5c29774d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "5449e08f" } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -1066,17 +1086,17 @@ } } ], "meta" : { - "globalKey" : "b36b574" + "globalKey" : "1ef3ef52" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "c0cb1003" + "globalKey" : "da214a61" } } ], "meta" : { - "globalKey" : "ea74b01c" + "globalKey" : "c07f0a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json index bd8f76ecbc..0000de9b1d 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-input.json @@ -3,25 +3,25 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { "source" : "ISDA", "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], @@ -36,7 +36,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } }, "meta" : { @@ -44,7 +44,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -173,7 +173,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } }, "meta" : { @@ -181,11 +181,11 @@ } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -363,85 +363,79 @@ "meta" : { "globalKey" : "6b0bb378" } - }, - "meta" : { - "globalKey" : "6b0bb378" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "da3b6050" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "770e7eb4" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "25560f78" + "globalKey" : "6db090ee" } - } ], + }, "meta" : { - "globalKey" : "25560f78" + "globalKey" : "c42e75b4" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "c42e75b4" } }, - "meta" : { - "globalKey" : "745bfa62" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "745bfa62" + "globalKey" : "beb3c19e" } }, "priceQuantity" : [ { @@ -479,7 +473,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -499,34 +493,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "4820adb2" + "globalKey" : "4cfe9a85" } } ], "counterparty" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-output.json index bfb295e914..e33e85664e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/execution/execution-swaption-func-output.json @@ -4,25 +4,25 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { "source" : "ISDA", "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], @@ -37,7 +37,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } }, "meta" : { @@ -45,7 +45,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -174,7 +174,7 @@ "quantitySchedule" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } }, "meta" : { @@ -182,11 +182,11 @@ } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -364,85 +364,79 @@ "meta" : { "globalKey" : "182a8949" } - }, - "meta" : { - "globalKey" : "182a8949" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "da3b6050" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "da3b6050" } }, "meta" : { "globalKey" : "770e7eb4" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "6db090ee" } - } ], + }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "26bb26c3" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "26bb26c3" } }, - "meta" : { - "globalKey" : "15f0091c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, "meta" : { - "globalKey" : "15f0091c" + "globalKey" : "f1bf5fe2" } }, "priceQuantity" : [ { @@ -480,7 +474,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], @@ -500,34 +494,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "4820adb2" + "globalKey" : "4cfe9a85" } } ], "counterparty" : [ { @@ -672,580 +685,591 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "2ba9f185" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "6616a564" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "773caa5d", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "43b7c3f3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "773caa5d", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "4997ef14" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "4997ef14" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae921d6" } + }, + "meta" : { + "globalKey" : "eae921d6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "6616a565" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "774ad32f", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "43b7c3f4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "774ad32f", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "774ad32f", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "e29d39b9", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "774ad32f", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } + "dateRelativeTo" : { + "globalReference" : "e29d39b9", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "c4a1824b" + "globalKey" : "e70063bc" } }, "meta" : { - "globalKey" : "e29d39b9", - "externalKey" : "resetDates0" + "globalKey" : "c4a1824b" } }, "meta" : { - "globalKey" : "985f8fae" + "globalKey" : "e29d39b9", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "c7a55e1a" + "globalKey" : "985f8fae" } + } ], + "meta" : { + "globalKey" : "c7a55e1a" } - }, - "meta" : { - "globalKey" : "182a8949" } }, "meta" : { "globalKey" : "182a8949" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" } }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "eb254d87" + "globalKey" : "6db090ee" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "26bb26c3" } - }, + } ], "meta" : { - "globalKey" : "15f0091c" + "globalKey" : "26bb26c3" } }, - "meta" : { - "globalKey" : "15f0091c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f1bf5fe2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "2ba9f185" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -1283,7 +1307,7 @@ } } ], "meta" : { - "globalKey" : "75dc4bfe" + "globalKey" : "f93ee7d9" } }, "state" : { @@ -1345,10 +1369,10 @@ } } ], "meta" : { - "globalKey" : "af407a12" + "globalKey" : "a9128dd7" } } ], "meta" : { - "globalKey" : "f4b18d9f" + "globalKey" : "baf54d55" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json index 2a8abcfd0f..4915d85690 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-input.json @@ -71,157 +71,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001JJJJ", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7ac64538" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e308c58b", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -229,7 +141,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -237,126 +149,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "cacb6a4c" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e308c58b", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "cacb6a4c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e316ee5d", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -364,7 +276,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -372,264 +284,364 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e316ee5d", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e316ee5d", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e316ee5d", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "81484da4" + } + } ], + "meta" : { + "globalKey" : "3984c9d8" + } + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2026-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "1bc03e7f" } }, "meta" : { - "globalKey" : "81484da4" + "globalKey" : "1bc03e7f" } } ], - "meta" : { - "globalKey" : "3984c9d8" - } - }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "Party2", - "seller" : "Party1", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - } - }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2026-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "1bc03e7f" - } - }, - "meta" : { - "globalKey" : "1bc03e7f" - } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2026-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2026-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "90d313ae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "90d313ae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "249f41d" + "globalKey" : "90d313ae" } + }, + "meta" : { + "globalKey" : "90d313ae" } - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "cf3e8e5f" - } - }, - "meta" : { - "globalKey" : "cf3e8e5f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "meta" : { + "globalKey" : "249f41d" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "cf3e8e5f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "8ab833b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001JJJJ", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7ac64538" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -748,11 +760,11 @@ } } ], "meta" : { - "globalKey" : "672bdf34" + "globalKey" : "ba528389" } }, "meta" : { - "globalKey" : "672bdf34" + "globalKey" : "ba528389" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-output.json index be91df63b6..c5b9480b99 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cancellable-option-func-output.json @@ -68,157 +68,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001JJJJ", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7ac64538" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9262782", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -226,7 +138,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -234,126 +146,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "6c9701f9" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "6616a564" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "43b7c3f3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9262782", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "6c9701f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9345054", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -361,7 +273,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -369,267 +281,364 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f9345054", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "7990c2f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "7990c2f4", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "cf90dde4" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "a81d24cb" + "globalKey" : "f9345054", + "externalKey" : "CalcPeriodDates1" } }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "Party2", - "seller" : "Party1", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2026-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f9345054", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "7990c2f4", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" + } + }, + "meta" : { + "globalKey" : "c4a1824b" + } + }, + "meta" : { + "globalKey" : "7990c2f4", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "cf90dde4" + } + } ], + "meta" : { + "globalKey" : "a81d24cb" + } + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2026-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1bc03e7f" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "1bc03e7f" + "globalKey" : "da4e2f6e" } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2026-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + }, + "meta" : { + "globalKey" : "1bc03e7f" + } + }, + "meta" : { + "globalKey" : "1bc03e7f" + } + } ], + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2026-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "90d313ae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "90d313ae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "249f41d" + "globalKey" : "90d313ae" } + }, + "meta" : { + "globalKey" : "90d313ae" } - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "154e7a0e" - } - }, - "meta" : { - "globalKey" : "154e7a0e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "meta" : { + "globalKey" : "249f41d" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "154e7a0e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "8ab833b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "2bba2221" } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001JJJJ", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7ac64538" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -748,169 +757,81 @@ } } ], "meta" : { - "globalKey" : "9b1cfedf" + "globalKey" : "b74daaae" } }, "meta" : { - "globalKey" : "9b1cfedf" + "globalKey" : "b74daaae" } } } } ], "eventQualifier" : "Exercise", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001JJJJ", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } - } ], - "meta" : { - "globalKey" : "7ac64538" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } - }, - "meta" : { - "globalKey" : "43b7c3f3" + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, - "meta" : { - "globalKey" : "f9262782", - "externalKey" : "CalcPeriodDates0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -918,7 +839,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -926,126 +847,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "6c9701f9" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "6616a564" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "43b7c3f3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9262782", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "6c9701f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "f9345054", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1053,7 +974,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -1061,267 +982,364 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f9345054", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "6616a565" + } + }, + "meta" : { + "globalKey" : "43b7c3f4" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "f9345054", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f9345054", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "7990c2f4", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" + } + }, + "meta" : { + "globalKey" : "c4a1824b" + } + }, + "meta" : { + "globalKey" : "7990c2f4", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "cf90dde4" + } + } ], + "meta" : { + "globalKey" : "a81d24cb" + } + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2026-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "7990c2f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "c4a1824b" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "7990c2f4", - "externalKey" : "resetDates0" + "globalKey" : "1bc03e7f" } }, "meta" : { - "globalKey" : "cf90dde4" + "globalKey" : "1bc03e7f" } } ], - "meta" : { - "globalKey" : "a81d24cb" - } - }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "Party2", - "seller" : "Party1", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - } - }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2026-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "1bc03e7f" - } - }, - "meta" : { - "globalKey" : "1bc03e7f" - } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2026-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2026-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "90d313ae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "90d313ae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "249f41d" + "globalKey" : "90d313ae" } + }, + "meta" : { + "globalKey" : "90d313ae" } - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "154e7a0e" - } - }, - "meta" : { - "globalKey" : "154e7a0e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "meta" : { + "globalKey" : "249f41d" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 12000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "154e7a0e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "6926cfbf" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 12000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "6926cfbf" + } + }, { + "quantity" : [ { + "value" : { + "value" : 12000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "2bba2221" } }, "meta" : { - "globalKey" : "93750534" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "82e79543" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001JJJJ", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7ac64538" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1440,7 +1458,7 @@ } } ], "meta" : { - "globalKey" : "3b226b5f" + "globalKey" : "abea172e" } }, "transferHistory" : [ { @@ -1485,10 +1503,10 @@ } } ], "meta" : { - "globalKey" : "f9ba2975" + "globalKey" : "ca318204" } } ], "meta" : { - "globalKey" : "888cc442" + "globalKey" : "f5bc0ffe" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json index 300fd9e9c5..af7fde4fe4 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-input.json @@ -71,688 +71,699 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001HHH", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "fe909b9c" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "954e996c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "954e996c" - } - }, - "meta" : { - "globalKey" : "d46c5b55" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", - "valuationMethod" : { - "valuationSource" : { - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "ISDA" - } - } - } - }, - "quotationMethod" : "Mid" }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "7ae6233d" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" + } + } + }, + "meta" : { + "globalKey" : "954e996c" + } + }, + "meta" : { + "globalKey" : "d46c5b55" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", + "valuationMethod" : { + "valuationSource" : { + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "ISDA" + } + } + } + }, + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "774ec8b6", - "externalKey" : "cashSettlement0" + "globalKey" : "7ae6233d" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" } - } ] + } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notional0" + "meta" : { + "globalKey" : "774ec8b6", + "externalKey" : "cashSettlement0" + } + } ] + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "notional0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ed018b7b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-04-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-04-03", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "759b93cb" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "759b93cb" } }, - 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"Buyer", - "businessCenter" : { - "value" : "BEBR" - } - } - }, - "followUpConfirmation" : true - }, - "exerciseFee" : { - "payer" : "Party1", - "receiver" : "Party2", - "notionalReference" : { - "globalReference" : "0", - "externalReference" : "notional0" - }, - "feeAmount" : 100000, - "feePaymentDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "4825adb2" - }, - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "72deeed0" + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" } - }, - "meta" : { - "globalKey" : "b48286e3" } - } ], + }, "meta" : { - "globalKey" : "b48286e3" + "globalKey" : "72deeed0" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - }, - "nonStandardisedTerms" : false - }, + "meta" : { + "globalKey" : "394cb29d" + } + } ], "meta" : { - "globalKey" : "5d2c05d3" + "globalKey" : "394cb29d" } }, - "meta" : { - "globalKey" : "5d2c05d3" - } + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "10a71063" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 13000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 13000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d107fc9e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 13000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d107fc9e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 13000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e41ee335" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "84c0e862" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001HHH", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "fe909b9c" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -851,7 +862,7 @@ } } ], "meta" : { - "globalKey" : "f9e700b2" + "globalKey" : "adb8cea9" } }, "transferHistory" : [ { @@ -910,7 +921,7 @@ } } ], "meta" : { - "globalKey" : "80d62615" + "globalKey" : "aefa55be" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-output.json index c829657a1d..f7520bcb4e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-cash-settled-func-output.json @@ -68,703 +68,714 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001HHH", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "fe909b9c" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "954e996c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "954e996c" - } - }, - "meta" : { - "globalKey" : "d46c5b55" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", - "valuationMethod" : { - "valuationSource" : { - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "ISDA" - } - } - } - }, - "quotationMethod" : "Mid" - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "7ae6233d" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } - } }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" + } + } + }, + "meta" : { + "globalKey" : "954e996c" + } + }, + "meta" : { + "globalKey" : "d46c5b55" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", + "valuationMethod" : { + "valuationSource" : { + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "ISDA" + } + } + } + }, + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "774ec8b6", - "externalKey" : "cashSettlement0" + "globalKey" : "7ae6233d" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" } - } ] + } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notional0" + "meta" : { + "globalKey" : "774ec8b6", + "externalKey" : "cashSettlement0" + } + } ] + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "notional0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : 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], + }, "meta" : { - "globalKey" : "aab9337a" + "globalKey" : "96db05ee" } + } ], + "meta" : { + "globalKey" : "aab9337a" } - }, - "meta" : { - "globalKey" : "fb3e5ea9" } }, "meta" : { "globalKey" : "fb3e5ea9" } - }, - "optionType" : "Straddle", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2019-04-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "optionType" : "Straddle", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2019-04-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" 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"periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e41ee335" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "84c0e862" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] } ] - }, - "party" : [ { - "partyId" : [ { + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { "identifier" : { - "value" : "LEI1RPT0001", + "value" : "LEI1RPT0001HHH", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "d491d93a" } } ], - "name" : { + "meta" : { + "globalKey" : "fe909b9c" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "d491d93a" + } + } ], + "name" : { "value" : "Bank X" }, "businessUnit" : [ { @@ -848,7 +859,7 @@ } } ], "meta" : { - "globalKey" : "6ff41f0b" + "globalKey" : "15660286" } }, "transferHistory" : [ { @@ -907,7 +918,7 @@ } } ], "meta" : { - "globalKey" : "2f1fd5f1" + "globalKey" : "89f23d6" } } } @@ -915,688 +926,699 @@ "eventQualifier" : "Exercise", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001HHH", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "fe909b9c" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "954e996c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - 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"FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ed018b7b" } + }, + "meta" : { + "globalKey" : "ed018b7b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-04-03", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "24a738" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "759b93cb" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-04-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "759b93cb" - } + "meta" : { + "globalKey" : "759b93cb" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "759b93cb" + "globalKey" : "6616a565" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, - "meta" : { - "globalKey" : "43b7c3f4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1a97700f", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "43b7c3f4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1a97700f", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1a97700f", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "be3e20d9", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1a97700f", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } + "dateRelativeTo" : { + "globalReference" : "be3e20d9", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "c4a1824b" + "globalKey" : "e70063bc" } }, "meta" : { - "globalKey" : "be3e20d9", - "externalKey" : "resetDates0" + "globalKey" : "c4a1824b" } }, "meta" : { - "globalKey" : "96db05ee" + "globalKey" : "be3e20d9", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "aab9337a" + "globalKey" : "96db05ee" } + } ], + "meta" : { + "globalKey" : "aab9337a" } - }, - "meta" : { - "globalKey" : "fb3e5ea9" } }, "meta" : { "globalKey" : "fb3e5ea9" } - }, - "optionType" : "Straddle", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2019-04-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "optionType" : "Straddle", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2019-04-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "4a5f542f" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "4a5f542f", - "externalKey" : "europeanExercise0" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da3b6050" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", + "meta" : { + "globalKey" : "4a5f542f" + } + }, + "meta" : { + "globalKey" : "4a5f542f", + "externalKey" : "europeanExercise0" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", "businessCenter" : { - "value" : "GBLO" + "value" : "BEBR" } + } + }, + "followUpConfirmation" : true + }, + "exerciseFee" : { + "payer" : "Party1", + "receiver" : "Party2", + "notionalReference" : { + "globalReference" : "0", + "externalReference" : "notional0" + }, + "feeAmount" : 100000, + "feePaymentDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "4825adb2" }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Buyer", - "businessCenter" : { - "value" : "BEBR" - } - } - }, - "followUpConfirmation" : true - }, - "exerciseFee" : { - "payer" : "Party1", - "receiver" : "Party2", - "notionalReference" : { - "globalReference" : "0", - "externalReference" : "notional0" - }, - "feeAmount" : 100000, - "feePaymentDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "4825adb2" - }, - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "72deeed0" + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" } - }, - "meta" : { - "globalKey" : "f46fc75d" } - } ], + }, "meta" : { - "globalKey" : "f46fc75d" + "globalKey" : "72deeed0" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - }, - "nonStandardisedTerms" : false - }, + "meta" : { + "globalKey" : "7fccb163" + } + } ], "meta" : { - "globalKey" : "d0e7c663" + "globalKey" : "7fccb163" } }, - "meta" : { - "globalKey" : "d0e7c663" - } + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2f5031d3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "80ff1300" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "80ff1300" + } + }, { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "ddddb13" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2497ea44" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001HHH", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "fe909b9c" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1695,7 +1717,7 @@ } } ], "meta" : { - "globalKey" : "2e40994b" + "globalKey" : "d9f5fcc6" } }, "state" : { @@ -1800,10 +1822,10 @@ } } ], "meta" : { - "globalKey" : "fac43f46" + "globalKey" : "4ee7deeb" } } ], "meta" : { - "globalKey" : "dbb50a42" + "globalKey" : "6a7eb362" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json index 85cfda0497..f3621fb531 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-input.json @@ -52,594 +52,605 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001IIII", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "7ab7b578" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-05-01", - "meta" : { - "globalKey" : "3f1141" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ed018b7b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "1910c290" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "1910c290" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } + "meta" : { + "globalKey" : "1910c290" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "622268e1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "848bd68b", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "985d6cb2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "848bd68b", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "d46d3b4c" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "d46d3b4c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ed018b7b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "1910c290" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "1910c290" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } + "meta" : { + "globalKey" : "1910c290" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "622268e2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "8499ff5d", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "985d6cb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "8499ff5d", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8499ff5d", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8499ff5d", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "e30c2739" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "19472b0a" } }, "meta" : { - "globalKey" : "aa475ea4" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "dcebe9d8" + "globalKey" : "aa475ea4" } + } ], + "meta" : { + "globalKey" : "dcebe9d8" } - }, - "meta" : { - "globalKey" : "76e02909" } }, "meta" : { "globalKey" : "76e02909" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "e4091772" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "e4091772" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "3375a470" + "globalKey" : "e4091772" } }, "meta" : { - "globalKey" : "6b7335b6" + "globalKey" : "e4091772" } } ], - "meta" : { - "globalKey" : "6b7335b6" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "a4d8a8aa" - } - }, - "meta" : { - "globalKey" : "a4d8a8aa" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, + "meta" : { + "globalKey" : "3375a470" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "838a03b8" } } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "838a03b8" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "b589101e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "8ab833b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001IIII", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "7ab7b578" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-05-01", + "meta" : { + "globalKey" : "3f1141" + } }, "party" : [ { "partyId" : [ { @@ -738,7 +749,7 @@ } } ], "meta" : { - "globalKey" : "1afc34fd" + "globalKey" : "8c4d92e8" } }, "transferHistory" : [ { @@ -797,7 +808,7 @@ } } ], "meta" : { - "globalKey" : "256b2c68" + "globalKey" : "6909739d" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-output.json index 19b6cfa51a..b6ff7def2f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-partial-exercise-func-output.json @@ -49,594 +49,605 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001IIII", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "7ab7b578" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-05-01", - "meta" : { - "globalKey" : "3f1141" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { 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"globalKey" : "efe2c2fa" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "e4091772" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "e4091772" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - 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"businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, + "meta" : { + "globalKey" : "3375a470" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "fe0fe1a5" } } ], "meta" : { - "globalKey" : "8ab833b" + "globalKey" : "fe0fe1a5" } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "911e2bdb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001IIII", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "7ab7b578" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-05-01", + "meta" : { + "globalKey" : "3f1141" + } }, "party" : [ { "partyId" : [ { @@ -735,7 +746,7 @@ } } ], "meta" : { - "globalKey" : "45375953" + "globalKey" : "d0d103c2" } }, "transferHistory" : [ { @@ -794,7 +805,7 @@ } } ], "meta" : { - "globalKey" : "a3a42627" + "globalKey" : "320ac398" } } } @@ -802,594 +813,605 @@ "eventQualifier" : "Exercise", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001IIII", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "7ab7b578" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-05-01", - "meta" : { - "globalKey" : "3f1141" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ed018b7b" } + }, + "meta" : { + "globalKey" : "ed018b7b" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "24a738" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "1910c290" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : 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"meta" : { + "globalKey" : "9f5d97cb" } - }, - "meta" : { - "globalKey" : "efe2c2fa" } }, "meta" : { "globalKey" : "efe2c2fa" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "e4091772" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "e4091772" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : 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"09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 11000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, + "meta" : { + "globalKey" : "3375a470" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "fe0fe1a5" } } ], "meta" : { - "globalKey" : "145a2e0" + "globalKey" : "fe0fe1a5" } - }, { - "quantity" : [ { - "value" : { - "value" : 11000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "911e2bdb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 11000, + "unit" : { + "currency" : { + "value" : "EUR" } } }, "meta" : { - "globalKey" : "42cb2733" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "145a2e0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 11000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "810e4224" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001IIII", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7ab7b578" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-05-01", + "meta" : { + "globalKey" : "3f1141" + } }, "party" : [ { "partyId" : [ { @@ -1488,7 +1510,7 @@ } } ], "meta" : { - "globalKey" : "575150f3" + "globalKey" : "e047bb62" } }, "transferHistory" : [ { @@ -1547,161 +1569,73 @@ } } ], "meta" : { - "globalKey" : "c3fae287" + "globalKey" : "e51cbff8" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001IIIIEx", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "9069ec85" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-05-01", - "meta" : { - "globalKey" : "3f1141" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed018b7b" - } - }, - "meta" : { - "globalKey" : "ed018b7b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "1910c290" - } - }, - "meta" : { - "globalKey" : "1910c290" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "4c7d7682", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ed018b7b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1709,7 +1643,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -1717,126 +1651,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "1910c290" } }, "meta" : { - "globalKey" : "525790f9" + "globalKey" : "1910c290" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "6616a564" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "43b7c3f3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "4c7d7682", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "525790f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed018b7b" - } - }, - "meta" : { - "globalKey" : "ed018b7b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "1910c290" - } - }, - "meta" : { - "globalKey" : "1910c290" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "4c8b9f54", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ed018b7b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1844,7 +1778,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -1852,188 +1786,288 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "1910c290" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "4c8b9f54", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "cf7093f4", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "1910c290" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "cf7093f4", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "e5ebbfe4" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "9f5d97cb" + "globalKey" : "4c8b9f54", + "externalKey" : "CalcPeriodDates1" } - } - }, - "meta" : { - "globalKey" : "efe2c2fa" - } - }, - "meta" : { - "globalKey" : "efe2c2fa" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3fe48b1b" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "4c8b9f54", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "cf7093f4", + "externalReference" : "resetDates0" } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" + } + }, + "meta" : { + "globalKey" : "c4a1824b" + } + }, + "meta" : { + "globalKey" : "cf7093f4", + "externalKey" : "resetDates0" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "e5ebbfe4" } } ], "meta" : { - "globalKey" : "8ab833b" + "globalKey" : "9f5d97cb" } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "efe2c2fa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001IIIIEx", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "9069ec85" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-05-01", + "meta" : { + "globalKey" : "3f1141" + } }, "party" : [ { "partyId" : [ { @@ -2132,17 +2166,17 @@ } } ], "meta" : { - "globalKey" : "ba5db3eb" + "globalKey" : "abf19f56" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "422c4cba" + "globalKey" : "1e730965" } } ], "meta" : { - "globalKey" : "c7542d18" + "globalKey" : "805d4e27" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json index 6e32f57c81..47325bc230 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-input.json @@ -32,591 +32,602 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "19ec4c9a" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "622268e1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "985d6cb2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "622268e2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "985d6cb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d6b3d162", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "e30c2739" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "19472b0a" } }, "meta" : { - "globalKey" : "c5cfdca9" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "6b0bb378" + "globalKey" : "c5cfdca9" } + } ], + "meta" : { + "globalKey" : "6b0bb378" } - }, - "meta" : { - "globalKey" : "4fff2a9" } }, "meta" : { "globalKey" : "4fff2a9" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" } }, "meta" : { - "globalKey" : "dd9d5494" + "globalKey" : "770e7eb4" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "dd9d5494" + "globalKey" : "6db090ee" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "f5b42296" } - }, + } ], "meta" : { - "globalKey" : "7466ece9" + "globalKey" : "f5b42296" } }, - "meta" : { - "globalKey" : "7466ece9" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f911c6f5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "19ec4c9a" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -654,7 +665,7 @@ } } ], "meta" : { - "globalKey" : "4ee52465" + "globalKey" : "c775a912" } }, "transferHistory" : [ { @@ -713,7 +724,7 @@ } } ], "meta" : { - "globalKey" : "efb3cec5" + "globalKey" : "2232c5f8" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-output.json index 5bd2a538ba..93e6291e9f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/exercise/exercise-swaption-full-physical-func-output.json @@ -29,591 +29,602 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "2ba9f185" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "6616a564" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "773caa5d", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "43b7c3f3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "773caa5d", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "4997ef14" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "4997ef14" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "9ead9b90" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "9ead9b90" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "6616a565" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "774ad32f", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "43b7c3f4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "774ad32f", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "774ad32f", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "e29d39b9", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "774ad32f", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } + "dateRelativeTo" : { + "globalReference" : "e29d39b9", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "c4a1824b" + "globalKey" : "e70063bc" } }, "meta" : { - "globalKey" : "e29d39b9", - "externalKey" : "resetDates0" + "globalKey" : "c4a1824b" } }, "meta" : { - "globalKey" : "985f8fae" + "globalKey" : "e29d39b9", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "c7a55e1a" + "globalKey" : "985f8fae" } + } ], + "meta" : { + "globalKey" : "c7a55e1a" } - }, - "meta" : { - "globalKey" : "182a8949" } }, "meta" : { "globalKey" : "182a8949" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-08-28", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-08-28", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "770e7eb4" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "770e7eb4" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "da3b6050" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "6db090ee" + "globalKey" : "770e7eb4" } }, "meta" : { - "globalKey" : "8fd3abb6" + "globalKey" : "770e7eb4" } } ], - "meta" : { - "globalKey" : "8fd3abb6" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "d8e10ad5" - } - }, - "meta" : { - "globalKey" : "d8e10ad5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, + "meta" : { + "globalKey" : "6db090ee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "17d88e74" } } ], "meta" : { - "globalKey" : "d62a0181" + "globalKey" : "17d88e74" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "8cee9549" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "2ba9f185" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -651,7 +662,7 @@ } } ], "meta" : { - "globalKey" : "dc91bde1" + "globalKey" : "e2c87d92" } }, "transferHistory" : [ { @@ -710,7 +721,7 @@ } } ], "meta" : { - "globalKey" : "b9b43cbe" + "globalKey" : "6a3727ad" } } } @@ -718,598 +729,609 @@ "eventQualifier" : "Exercise", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "2ba9f185" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae921d6" } + }, + "meta" : { + "globalKey" : "eae921d6" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "24a738" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "9ead9b90" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : 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"location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" } } }, "meta" : { - "globalKey" : "ddddb13" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "80ff1300" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "party A", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2497ea44" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "2ba9f185" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "party A", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" } }, "identifierType" : "BIC", @@ -1340,7 +1362,7 @@ } } ], "meta" : { - "globalKey" : "f6216901" + "globalKey" : "ccf90672" } }, "state" : { @@ -1405,141 +1427,73 @@ } } ], "meta" : { - "globalKey" : "c215c415" + "globalKey" : "9e5f39c4" } }, { "trade" : { - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "6616a564" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "773caa5d", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1547,7 +1501,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -1555,126 +1509,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "4997ef14" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "6616a564" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "43b7c3f3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "773caa5d", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "4997ef14" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "6616a565" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "43b7c3f4" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "774ad32f", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1682,7 +1636,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -1690,188 +1644,268 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "9ead9b90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "774ad32f", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "e29d39b9", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e70063bc" - } - }, - "meta" : { - "globalKey" : "c4a1824b" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "e29d39b9", - "externalKey" : "resetDates0" + "globalKey" : "6616a565" } }, "meta" : { - "globalKey" : "985f8fae" + "globalKey" : "43b7c3f4" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "c7a55e1a" + "globalKey" : "774ad32f", + "externalKey" : "CalcPeriodDates1" } - } - }, - "meta" : { - "globalKey" : "182a8949" - } - }, - "meta" : { - "globalKey" : "182a8949" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3fe48b1b" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "774ad32f", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "e29d39b9", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e70063bc" + } + }, + "meta" : { + "globalKey" : "c4a1824b" + } + }, + "meta" : { + "globalKey" : "e29d39b9", + "externalKey" : "resetDates0" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "985f8fae" } } ], "meta" : { - "globalKey" : "d62a0181" + "globalKey" : "c7a55e1a" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "182a8949" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -1909,17 +1943,17 @@ } } ], "meta" : { - "globalKey" : "e455690" + "globalKey" : "6c5c04d" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "3ab5da1f" + "globalKey" : "14c2c89c" } } ], "meta" : { - "globalKey" : "db1ce44" + "globalKey" : "a84877b5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json index 406665193e..2950688742 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-input.json @@ -21,14 +21,20 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M" + } + } + } } } } @@ -40,358 +46,307 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2000-04-03", - "meta" : { - "globalKey" : "3e8103" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac6fafd" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "211dc30c" } }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "453c77c5", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "bb867de7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } + "meta" : { + "globalKey" : "bb867de7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "34d904af" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "24cac063", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, "meta" : { - "globalKey" : "c10206b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "24cac063", - "externalKey" : "resetDates" + "globalKey" : "eac60abd" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "initialStub" : { - "stubRate" : 0.05125 + "meta" : { + "globalKey" : "eac60abd" + } + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "453c77c5", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "4cc8d850" + "globalKey" : "c10206b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "34d904af" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "24cac063", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "c10206b" + } + }, + "meta" : { + "globalKey" : "24cac063", + "externalKey" : "resetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Telerate", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" + "globalKey" : "aa" } } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" + } ] + } + }, + "meta" : { + "globalKey" : "4cc8d850" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "meta" : { - "globalKey" : "a678db46" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "a678db46" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -406,207 +361,270 @@ "globalKey" : "c10206b" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3e" - }, - "rollConvention" : "5" + "meta" : { + "globalKey" : "a678db46" + } + }, + "meta" : { + "globalKey" : "a678db46" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "b0de25d3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eb13047c" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "2e10f41e" + "globalKey" : "eac60abd" } }, "meta" : { - "globalKey" : "2b00d442" + "globalKey" : "eac60abd" } - } ], + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3e" + }, + "rollConvention" : "5" + }, "meta" : { - "globalKey" : "325cf892" + "globalKey" : "b0de25d3", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "325cf892" - } - }, - "meta" : { - "globalKey" : "325cf892" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.001, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "c10206b" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "2e10f41e" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "2b00d442" } } ], - "quantity" : [ { - "value" : { - "value" : 75000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "325cf892" + } + } + }, + "meta" : { + "globalKey" : "325cf892" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.001, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "dc266606" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0525, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "600100b1" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0525, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 75000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "4a7c3e4b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "4a7c3e4b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } }, "party" : [ { "partyId" : [ { @@ -650,11 +668,11 @@ } } ], "meta" : { - "globalKey" : "d72c766f" + "globalKey" : "70bb4ade" } }, "meta" : { - "globalKey" : "d72c766f" + "globalKey" : "70bb4ade" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-output.json index 14b66f9bf5..311f75a503 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-vanilla-swap-func-output.json @@ -23,26 +23,29 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } } } } - }, - "meta" : { - "globalKey" : "affa37d1" } }, "meta" : { - "globalKey" : "942d0852" + "globalKey" : "65500bb0" } } ], "effectiveDate" : "2000-10-03" @@ -51,358 +54,307 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2000-04-03", - "meta" : { - "globalKey" : "3e8103" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac6fafd" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "dd9ceab0" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "211dc30c" } }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "de55fe18", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "bb867de7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "dd9ceab0" - } + "meta" : { + "globalKey" : "bb867de7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "7986fec" + "globalKey" : "ef0740ff" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "de55fe18", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "994c4ea0", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, "meta" : { - "globalKey" : "dd9ceab0" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "994c4ea0", - "externalKey" : "resetDates" - } - }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "de55fe18", - "externalReference" : "floatingCalcPeriodDates" - }, - "initialStub" : { - "stubRate" : 0.05125 - }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] + "globalKey" : "eac60abd" } }, "meta" : { - "globalKey" : "1d288547" + "globalKey" : "eac60abd" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "de55fe18", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "ef0740ff" } }, - "dayCountFraction" : { - "value" : "30/360" + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "meta" : { + "globalKey" : "7986fec" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "de55fe18", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "994c4ea0", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "meta" : { + "globalKey" : "994c4ea0", + "externalKey" : "resetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "de55fe18", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Telerate", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "eac6fafd" + "globalKey" : "aa" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "dd9ceab0" - } - }, - "meta" : { - "globalKey" : "9f257df5" - } - }, + } + } ] + } + }, + "meta" : { + "globalKey" : "1d288547" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9f257df5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -417,210 +369,270 @@ "globalKey" : "dd9ceab0" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3e" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "8bd2f953", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9f257df5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "9f257df5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dd9ceab0" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "dbd8961d" + "globalKey" : "eac60abd" } }, "meta" : { - "globalKey" : "867b4c39" + "globalKey" : "eac60abd" } - } ], + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3e" + }, + "rollConvention" : "5" + }, "meta" : { - "globalKey" : "b4090e92" + "globalKey" : "8bd2f953", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "9b97bfc3" - } - }, - "meta" : { - "globalKey" : "9b97bfc3" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.001, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "dd9ceab0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "dbd8961d" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "867b4c39" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "meta" : { + "globalKey" : "b4090e92" + } + } + }, + "meta" : { + "globalKey" : "9b97bfc3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.001, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "globalKey" : "2bba2221" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "dc266606" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0525, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "4a7c3e4b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "600100b1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.0525, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "4a7c3e4b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } }, "party" : [ { "partyId" : [ { @@ -664,11 +676,11 @@ } } ], "meta" : { - "globalKey" : "a9d8d514" + "globalKey" : "9cb8fb57" } }, "meta" : { - "globalKey" : "a9d8d514" + "globalKey" : "9cb8fb57" } } } @@ -676,358 +688,307 @@ "eventQualifier" : "IndexTransition", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2000-04-03", - "meta" : { - "globalKey" : "3e8103" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac6fafd" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "dd9ceab0" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "211dc30c" } }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "de55fe18", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "bb867de7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "dd9ceab0" - } + "meta" : { + "globalKey" : "bb867de7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "7986fec" + "globalKey" : "ef0740ff" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "de55fe18", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "994c4ea0", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, "meta" : { - "globalKey" : "dd9ceab0" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "994c4ea0", - "externalKey" : "resetDates" + "globalKey" : "eac60abd" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "de55fe18", - "externalReference" : "floatingCalcPeriodDates" - }, - "initialStub" : { - "stubRate" : 0.05125 + "meta" : { + "globalKey" : "eac60abd" + } + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "de55fe18", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] + "meta" : { + "globalKey" : "ef0740ff" } }, "meta" : { - "globalKey" : "1d288547" + "globalKey" : "dd9ceab0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "7986fec" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "de55fe18", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "994c4ea0", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "ef0740ff" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "meta" : { + "globalKey" : "994c4ea0", + "externalKey" : "resetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "de55fe18", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Telerate", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "eac6fafd" + "globalKey" : "aa" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, - "meta" : { - "globalKey" : "dd9ceab0" - } - }, - "meta" : { - "globalKey" : "9f257df5" - } - }, + } + } ] + } + }, + "meta" : { + "globalKey" : "1d288547" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9f257df5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1042,210 +1003,263 @@ "globalKey" : "dd9ceab0" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3e" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "8bd2f953", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9f257df5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "9f257df5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "ef0740ff" - } - }, + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "dd9ceab0" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dd9ceab0" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "dbd8961d" + "globalKey" : "eac60abd" } }, "meta" : { - "globalKey" : "867b4c39" + "globalKey" : "eac60abd" } - } ], + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3e" + }, + "rollConvention" : "5" + }, "meta" : { - "globalKey" : "b4090e92" + "globalKey" : "8bd2f953", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "9b97bfc3" - } - }, - "meta" : { - "globalKey" : "9b97bfc3" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "ef0740ff" + } + }, + "meta" : { + "globalKey" : "dd9ceab0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "dbd8961d" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "867b4c39" } } ], - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "b4090e92" + } + } + }, + "meta" : { + "globalKey" : "9b97bfc3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "4f4cc24f" } }, "meta" : { - "globalKey" : "544ff91" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0525, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f37f53d3" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0525, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "4a7c3e4b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "4a7c3e4b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } }, "party" : [ { "partyId" : [ { @@ -1289,14 +1303,14 @@ } } ], "meta" : { - "globalKey" : "e834f85f" + "globalKey" : "5c95311b" } }, "meta" : { - "globalKey" : "e834f85f" + "globalKey" : "5c95311b" } } ], "meta" : { - "globalKey" : "85e0f89b" + "globalKey" : "c0087218" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json index 35d50fcce9..980efcc12d 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-input.json @@ -21,17 +21,23 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-ISDA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-ISDA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M" + } + } } - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M" } } } @@ -55,17 +61,23 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M" + } + } } - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M" } } } @@ -77,318 +89,180 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "DRTY123456", + "value" : "InterestRate:CrossCurrency:Basis", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "82d2440b" } } ], - "meta" : { - "globalKey" : "717b78f7" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "SRAXCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" + } } } - } ], - "meta" : { - "globalKey" : "af42d69a" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-19", - "meta" : { - "globalKey" : "3f10d3", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "SRAXCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "SW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "SW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "fixed_notional_schedule" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "97a0d7df" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Telerate" - }, - "sourcePage" : { - "value" : "WM Company LDN 11am Mid" - }, - "sourcePageHeading" : "USD/EUR" - } - }, - "fixingTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "97a0d7df" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - } - } - }, - "meta" : { - "globalKey" : "f791ff95" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12be2f" - } - }, - "settlementTerms" : { - "settlementCurrency" : { + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "fixed_notional_schedule" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { "value" : "USD" }, - "meta" : { - "globalKey" : "14966" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, + "globalKey" : "97a0d7df" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "733f98e" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "733f98e" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Telerate" }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } + "sourcePage" : { + "value" : "WM Company LDN 11am Mid" }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "meta" : { - "globalKey" : "80e0d18e" + "sourcePageHeading" : "USD/EUR" + } + }, + "fixingTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" } }, - "calculationPeriodDatesAdjustments" : { + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "97a0d7df" + }, + "dayType" : "Business", "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" } ], "meta" : { - "globalKey" : "81e33772" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "5865eac3" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, - "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e5304" + } + } + }, + "meta" : { + "globalKey" : "f791ff95" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12be2f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -407,256 +281,297 @@ } }, "meta" : { - "globalKey" : "b076f494" + "globalKey" : "733f98e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e5304" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "56e7d2f6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "81e33772" } }, - "dateRelativeTo" : { - "globalReference" : "cf94c7d3", - "externalReference" : "d0e5651" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "5865eac3" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "cf94c7d3", - "externalKey" : "d0e5651" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "cd24bd60" + "globalKey" : "5865eac3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "a071381b", + "externalKey" : "d0e5304" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "fixed_notional_schedule" + "globalKey" : "81e33772" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2018-03-21", - "meta" : { - "globalKey" : "3f10d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 1400.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "39f638fe" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 1400.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "6d279ba0" - } - } - }, + "meta" : { + "globalKey" : "5865eac3" + } + }, + "meta" : { + "globalKey" : "b076f494" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e5304" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "56e7d2f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5aab838f" + "globalKey" : "21479e" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "EUR" - }, + "dateRelativeTo" : { + "globalReference" : "cf94c7d3", + "externalReference" : "d0e5651" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "10da2" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "cf94c7d3", + "externalKey" : "d0e5651" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "cd24bd60" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "fixed_notional_schedule" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2018-03-21", + "meta" : { + "globalKey" : "3f10d5" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 1400.00, + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "7b889f5f" } + }, + "meta" : { + "globalKey" : "39f638fe" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "733f98e" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "733f98e" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "80e0d18e" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 1400.00, + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "80e0d18e" + "globalKey" : "7b889f5f" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "6d279ba0" + } + } + }, + "meta" : { + "globalKey" : "5aab838f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "10da2" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -674,30 +589,18 @@ "globalKey" : "5865eac3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e6023" + "globalKey" : "733f98e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -715,248 +618,388 @@ "globalKey" : "5865eac3" } }, - "meta" : { - "globalKey" : "b076f494" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e6023" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "548db7f8" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a03e685b", - "externalReference" : "d0e6369" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "a03e685b", - "externalKey" : "d0e6369" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "fd3ae45" + "globalKey" : "5865eac3" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" + }, + "rollConvention" : "21" + }, "meta" : { - "globalKey" : "97dcb4e5" + "globalKey" : "a071381b", + "externalKey" : "d0e6023" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:CrossCurrency:Basis", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } + }, + "meta" : { + "globalKey" : "5865eac3" + } + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "b076f494" } }, - "source" : "Other", - "meta" : { - "globalKey" : "82d2440b" - } - } ], - "meta" : { - "globalKey" : "7b4124e8" - } - }, - "meta" : { - "globalKey" : "7b4124e8" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e6023" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "548db7f8" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "a03e685b", + "externalReference" : "d0e6369" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "a03e685b", + "externalKey" : "d0e6369" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "fd3ae45" } } ], - "quantity" : [ { - "value" : { - "value" : 1726.62, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "97dcb4e5" + } + } + }, + "meta" : { + "globalKey" : "ecbd60f2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1726.62, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "27f9e331" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.0045, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "285730f5" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0045, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1400, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b87d9d85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "845a5b12" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DRTY123456", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "meta" : { + "globalKey" : "717b78f7" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } - } ] + } ], + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-19", + "meta" : { + "globalKey" : "3f10d3", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1000,7 +1043,7 @@ } } ], "meta" : { - "globalKey" : "846283ed" + "globalKey" : "b0a4baac" } }, "transferHistory" : [ { @@ -1051,7 +1094,7 @@ } } ], "meta" : { - "globalKey" : "f9f37f50" + "globalKey" : "fe1545f1" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-output.json index d3a067a263..f713b9feab 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/index-transition/index-transition-xccy-swap-func-output.json @@ -23,26 +23,32 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-ISDA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-ISDA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } } } } } }, "meta" : { - "globalKey" : "653032d3" + "globalKey" : "d3481ad3" } }, { "price" : [ { @@ -63,26 +69,32 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } } } } } }, "meta" : { - "globalKey" : "f2d94bf3" + "globalKey" : "960c5e95" } } ], "effectiveDate" : "2018-06-19" @@ -91,353 +103,116 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "DRTY123456", + "value" : "InterestRate:CrossCurrency:Basis", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "82d2440b" } } ], - "meta" : { - "globalKey" : "717b78f7" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "SRAXCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" + } } } - } ], - "meta" : { - "globalKey" : "af42d69a" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-19", - "meta" : { - "globalKey" : "3f10d3", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "SRAXCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "SW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "SW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "fixed_notional_schedule" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "22aecdb2" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Telerate" - }, - "sourcePage" : { - "value" : "WM Company LDN 11am Mid" - }, - "sourcePageHeading" : "USD/EUR" - } - }, - "fixingTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "22aecdb2" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - } - } - }, - "meta" : { - "globalKey" : "f5b4fb4d" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12be2f" - } - }, - "settlementTerms" : { - "settlementCurrency" : { + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "fixed_notional_schedule" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { "value" : "USD" }, - "meta" : { - "globalKey" : "14966" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "meta" : { - "globalKey" : "733f98e" - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "733f98e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "80e0d18e" - } + "globalKey" : "22aecdb2" }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "calculationPeriodDatesAdjustments" : { + "dayType" : "Business", "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" } ], "meta" : { - "globalKey" : "81e33772" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "5865eac3" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, - "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e5304" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Telerate" + }, + "sourcePage" : { + "value" : "WM Company LDN 11am Mid" + }, + "sourcePageHeading" : "USD/EUR" } }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" + "fixingTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" } }, - "meta" : { - "globalKey" : "b076f494" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e5304" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 2, "period" : "D", "meta" : { - "globalKey" : "56e7d2f6" + "globalKey" : "22aecdb2" }, "dayType" : "Business", - "businessDayConvention" : "NONE", + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -447,230 +222,61 @@ } }, "dateRelativeTo" : { - "globalReference" : "975be46e", - "externalReference" : "d0e5651" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "975be46e", - "externalKey" : "d0e5651" } - }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false - }, - "meta" : { - "globalKey" : "94781dfb" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f5b4fb4d" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12be2f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "fixed_notional_schedule" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2018-03-21", - "meta" : { - "globalKey" : "3f10d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "39f638fe" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "6d279ba0" - } - } - }, - "meta" : { - "globalKey" : "5aab838f" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "10da2" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "meta" : { - "globalKey" : "733f98e" - } - }, - "meta" : { - "globalKey" : "733f98e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -688,30 +294,18 @@ "globalKey" : "5865eac3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e6023" + "globalKey" : "733f98e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -729,537 +323,246 @@ "globalKey" : "5865eac3" } }, - "meta" : { - "globalKey" : "b076f494" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e6023" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "548db7f8" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "680584f6", - "externalReference" : "d0e6369" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "680584f6", - "externalKey" : "d0e6369" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "89d1198a" + "globalKey" : "5865eac3" } - } ], - "meta" : { - "globalKey" : "c30ccbef" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:CrossCurrency:Basis", + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" + }, + "rollConvention" : "21" + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "a071381b", + "externalKey" : "d0e5304" } }, - "source" : "Other", - "meta" : { - "globalKey" : "82d2440b" - } - } ], - "meta" : { - "globalKey" : "a56e918e" - } - }, - "meta" : { - "globalKey" : "a56e918e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1726.62, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + "globalKey" : "81e33772" } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "5865eac3" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] + "globalKey" : "b076f494" } - } - }, - "meta" : { - "globalKey" : "27f9e331" - } - }, { - "price" : [ { - "value" : { - "value" : -0.0045, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e5304" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "56e7d2f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "975be46e", + "externalReference" : "d0e5651" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "975be46e", + "externalKey" : "d0e5651" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "94781dfb" } - } ], - "quantity" : [ { - "value" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "fixed_notional_schedule" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate", + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2018-03-21", + "meta" : { + "globalKey" : "3f10d5" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 1400, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "meta" : { + "globalKey" : "7b889f5f" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + "globalKey" : "39f638fe" } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2023-03-21", + "meta" : { + "globalKey" : "3f38d5" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 1400, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "meta" : { + "globalKey" : "7b889f5f" + } + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "6d279ba0" } } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, - "meta" : { - "globalKey" : "b87d9d85" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "abf5051b" - } - } ], - "name" : { - "value" : "Party A" - }, - "meta" : { - "globalKey" : "b6bdbfc2", - "externalKey" : "party1" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "48750084UKLVTR22DS78", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "62694f84" - } - } ], - "name" : { - "value" : "Party B" - }, - "meta" : { - "globalKey" : "a14913ec", - "externalKey" : "party2" - } - } ], - "meta" : { - "globalKey" : "5d5580bd" - } - }, - "transferHistory" : [ { - "transfer" : { - "quantity" : { - "value" : 5, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "EUR" - }, - "identifierType" : "CurrencyCode" - } ] - } - }, - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - }, - "settlementDate" : { - "adjustedDate" : { - "value" : "2018-02-09", - "meta" : { - "globalKey" : "3f1089" - } - } - }, - "transferExpression" : { - "priceTransfer" : "Upfront" - } - }, - "meta" : { - "globalKey" : "b18120bd", - "externalKey" : "SDB123-AB5.EUR.20180209.0" - } - } ], - "meta" : { - "globalKey" : "5ae83ee0" - } - } - } - } ], - "eventQualifier" : "IndexTransition", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DRTY123456", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } - } ], - "meta" : { - "globalKey" : "717b78f7" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" - } - } - } ], - "meta" : { - "globalKey" : "af42d69a" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-19", - "meta" : { - "globalKey" : "3f10d3", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "SRAXCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } - } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "SW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "fixed_notional_schedule" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "22aecdb2" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Telerate" - }, - "sourcePage" : { - "value" : "WM Company LDN 11am Mid" - }, - "sourcePageHeading" : "USD/EUR" - } - }, - "fixingTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "22aecdb2" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - } - } - }, - "meta" : { - "globalKey" : "f5b4fb4d" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12be2f" + "globalKey" : "5aab838f" } }, "settlementTerms" : { "settlementCurrency" : { - "value" : "USD" + "value" : "EUR" }, "meta" : { - "globalKey" : "14966" + "globalKey" : "10da2" } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-2" + "value" : "FloatingRateIndex-2" } }, "spreadSchedule" : { @@ -1371,7 +674,7 @@ }, "meta" : { "globalKey" : "a071381b", - "externalKey" : "d0e5304" + "externalKey" : "d0e6023" } }, "paymentDates" : { @@ -1409,17 +712,482 @@ "resetDates" : { "calculationPeriodDatesReference" : { "globalReference" : "a071381b", - "externalReference" : "d0e5304" + "externalReference" : "d0e6023" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "548db7f8" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "680584f6", + "externalReference" : "d0e6369" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "680584f6", + "externalKey" : "d0e6369" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "89d1198a" + } + } ], + "meta" : { + "globalKey" : "c30ccbef" + } + } + }, + "meta" : { + "globalKey" : "12948d58" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1726.62, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "285730f5" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0045, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1400, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "845a5b12" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DRTY123456", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "717b78f7" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } + } + } ], + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-19", + "meta" : { + "globalKey" : "3f10d3", + "externalKey" : "tradeDate" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "abf5051b" + } + } ], + "name" : { + "value" : "Party A" + }, + "meta" : { + "globalKey" : "b6bdbfc2", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "48750084UKLVTR22DS78", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "62694f84" + } + } ], + "name" : { + "value" : "Party B" + }, + "meta" : { + "globalKey" : "a14913ec", + "externalKey" : "party2" + } + } ], + "meta" : { + "globalKey" : "e701a67c" + } + }, + "transferHistory" : [ { + "transfer" : { + "quantity" : { + "value" : 5, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + }, + "receiverPartyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, + "settlementDate" : { + "adjustedDate" : { + "value" : "2018-02-09", + "meta" : { + "globalKey" : "3f1089" + } + } + }, + "transferExpression" : { + "priceTransfer" : "Upfront" + } + }, + "meta" : { + "globalKey" : "b18120bd", + "externalKey" : "SDB123-AB5.EUR.20180209.0" + } + } ], + "meta" : { + "globalKey" : "f00d08c1" + } + } + } + } ], + "eventQualifier" : "IndexTransition", + "after" : [ { + "trade" : { + "product" : { + "identifier" : [ { + "identifier" : { + "value" : "InterestRate:CrossCurrency:Basis", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "82d2440b" + } + } ], + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "SRAXCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" + } + } + } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "SW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "fixed_notional_schedule" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { + "value" : "USD" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "varyingNotionalFixingDates" : { + "periodMultiplier" : 2, "period" : "D", "meta" : { - "globalKey" : "56e7d2f6" + "globalKey" : "22aecdb2" }, "dayType" : "Business", - "businessDayConvention" : "NONE", + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -1429,18 +1197,34 @@ } }, "dateRelativeTo" : { - "globalReference" : "975be46e", - "externalReference" : "d0e5651" + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Telerate" + }, + "sourcePage" : { + "value" : "WM Company LDN 11am Mid" + }, + "sourcePageHeading" : "USD/EUR" } }, - "resetDatesAdjustments" : { + "fixingTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "22aecdb2" + }, + "dayType" : "Business", "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1450,209 +1234,62 @@ "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "365c4b6f" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } - }, - "meta" : { - "globalKey" : "975be46e", - "externalKey" : "d0e5651" } - }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false - }, - "meta" : { - "globalKey" : "94781dfb" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "fixed_notional_schedule" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2018-03-21", - "meta" : { - "globalKey" : "3f10d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "39f638fe" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "6d279ba0" - } - } - }, - "meta" : { - "globalKey" : "5aab838f" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "10da2" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "meta" : { - "globalKey" : "733f98e" - } - }, - "meta" : { - "globalKey" : "733f98e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "meta" : { - "globalKey" : "80e0d18e" + }, + "meta" : { + "globalKey" : "f5b4fb4d" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12be2f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1670,30 +1307,18 @@ "globalKey" : "5865eac3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e6023" + "globalKey" : "733f98e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -1711,248 +1336,683 @@ "globalKey" : "5865eac3" } }, + "adjustedDate" : { + "value" : "2023-03-21", + "meta" : { + "globalKey" : "3f38d5" + } + }, "meta" : { - "globalKey" : "b076f494" + "globalKey" : "80e0d18e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e6023" + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } + }, + "meta" : { + "globalKey" : "5865eac3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" + }, + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "a071381b", + "externalKey" : "d0e5304" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } + }, + "meta" : { + "globalKey" : "5865eac3" + } + }, + "meta" : { + "globalKey" : "b076f494" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e5304" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "56e7d2f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "975be46e", + "externalReference" : "d0e5651" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "975be46e", + "externalKey" : "d0e5651" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "94781dfb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "fixed_notional_schedule" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2018-03-21", + "meta" : { + "globalKey" : "3f10d5" + } + }, + "meta" : { + "globalKey" : "0" + } }, - "resetRelativeTo" : 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"meta" : { - "globalKey" : "aa" + "globalKey" : "5865eac3" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "733f98e" + } + }, + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d" + "globalKey" : "81e33772" } }, "meta" : { - "globalKey" : "365baaee" + "globalKey" : "5865eac3" + } + }, + "adjustedDate" : { + "value" : "2023-03-21", + "meta" : { + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "680584f6", - "externalKey" : "d0e6369" + "globalKey" : "80e0d18e" + } + }, + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, 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"arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "d0c60b9" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0035, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1400, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a2bf2cf2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "62233d5a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DRTY123456", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "meta" : { + "globalKey" : "717b78f7" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } - } ] + } ], + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-19", + "meta" : { + "globalKey" : "3f10d3", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1996,7 +2056,7 @@ } } ], "meta" : { - "globalKey" : "f478c3ac" + "globalKey" : "c74961d2" } }, "transferHistory" : [ { @@ -2047,10 +2107,10 @@ } } ], "meta" : { - "globalKey" : "ec735d91" + "globalKey" : "edd05dab" } } ], "meta" : { - "globalKey" : "1dc2060f" + "globalKey" : "19f1e0b2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json index 9b62f35e26..a557a19d45 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-input.json @@ -79,323 +79,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001CCCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6056f8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "e7268bcb", - "externalReference" : "resetDates4" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e7268bcb", - "externalKey" : "resetDates4" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a10e1f98" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "e7268bcb", + "externalReference" : "resetDates4" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "e7268bcb", + "externalKey" : "resetDates4" + } + }, + "meta" : { + "globalKey" : "a10e1f98" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -410,177 +359,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "8a46589b" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "a43a976d" - } - }, - "meta" : { - "globalKey" : "a43a976d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "8a46589b" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "a43a976d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001CCCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6056f8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -699,11 +711,11 @@ } } ], "meta" : { - "globalKey" : "57225c51" + "globalKey" : "ef82e5b3" } }, "meta" : { - "globalKey" : "57225c51" + "globalKey" : "ef82e5b3" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-output.json index d1d63b2f45..36b7d800b0 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/full-novation-func-output.json @@ -81,361 +81,273 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001CCCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6056f8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "8b605486", - "externalReference" : "resetDates4" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "8b605486", - "externalKey" : "resetDates4" + "globalKey" : "f148ad32" } }, "meta" : { - "globalKey" : "12ed5211" + "globalKey" : "f148ad32" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "8b605486", + "externalReference" : "resetDates4" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "8b605486", + "externalKey" : "resetDates4" + } + }, + "meta" : { + "globalKey" : "12ed5211" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", @@ -450,153 +362,250 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "3368a477" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "99bb9691" - } - }, - "meta" : { - "globalKey" : "99bb9691" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "fd32a49c" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2ea0f628" } } ], "meta" : { - "globalKey" : "3bc0d942" + "globalKey" : "3368a477" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" - } - } ] + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "99bb9691" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "LEI1RPT0001", + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "identifierType" : "LEI", - "meta" : { + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bc0d942" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001CCCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6056f8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { "globalKey" : "d491d93a" } } ], @@ -704,11 +713,11 @@ } } ], "meta" : { - "globalKey" : "aa946977" + "globalKey" : "31301c43" } }, "meta" : { - "globalKey" : "aa946977" + "globalKey" : "31301c43" } } } @@ -716,323 +725,272 @@ "eventQualifier" : "Novation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI3RPT0003", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI3RPT0003CCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "1d8d35e1" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3a57b2" + "globalKey" : "efe7bcb3" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "8b605486", - "externalReference" : "resetDates4" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "8b605486", - "externalKey" : "resetDates4" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "12ed5211" + "globalKey" : "cd88db42" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "8b605486", + "externalReference" : "resetDates4" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "efe7bcb3" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "8b605486", + "externalKey" : "resetDates4" + } + }, + "meta" : { + "globalKey" : "12ed5211" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "45d323ca" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1047,180 +1005,240 @@ "globalKey" : "cd88db42" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "45d323ca" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + "meta" : { + "globalKey" : "45d323ca" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "efe7bcb3" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "cd88db42" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "3368a477" + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "99bb9691" - } - }, - "meta" : { - "globalKey" : "99bb9691" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "2ea0f628" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "3368a477" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "99bb9691" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "97751890", - "externalReference" : "party3" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "97751890", + "externalReference" : "party3" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI3RPT0003", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI3RPT0003CCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "1d8d35e1" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1315,368 +1333,280 @@ } } ], "meta" : { - "globalKey" : "4b2e7f8" + "globalKey" : "8337d0ba" } }, "meta" : { - "globalKey" : "4b2e7f8" + "globalKey" : "8337d0ba" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001CCCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6056f8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, - "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "8b605486", - "externalReference" : "resetDates4" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "8b605486", - "externalKey" : "resetDates4" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "12ed5211" + "globalKey" : "0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "meta" : { + "globalKey" : "f148ad32" + } + }, + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "8b605486", + "externalReference" : "resetDates4" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "8b605486", + "externalKey" : "resetDates4" + } + }, + "meta" : { + "globalKey" : "12ed5211" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1692,142 +1622,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "3368a477" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "99bb9691" - } - }, - "meta" : { - "globalKey" : "99bb9691" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "5ce86ff5" } }, "meta" : { - "globalKey" : "828026c7" + "globalKey" : "2ea0f628" + } + } ], + "meta" : { + "globalKey" : "3368a477" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "99bb9691" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "18ef367d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d07cd329" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "235b7641" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "235b7641" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001CCCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6056f8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1946,7 +1973,7 @@ } } ], "meta" : { - "globalKey" : "8a276a17" + "globalKey" : "526afc85" } }, "state" : { @@ -1956,10 +1983,10 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "7a47a640" + "globalKey" : "788051ae" } } ], "meta" : { - "globalKey" : "1c46dad9" + "globalKey" : "7e7daa1d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json index 16a7dd645b..ff14af9622 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-input.json @@ -100,323 +100,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001DDDD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6ee6b8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5f" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7b6afacc", - "externalReference" : "resetDates5" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "7b6afacc", - "externalKey" : "resetDates5" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "35528e99" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "7b6afacc", + "externalReference" : "resetDates5" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "7b6afacc", + "externalKey" : "resetDates5" + } + }, + "meta" : { + "globalKey" : "35528e99" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -431,177 +380,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "cdd1765c" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "d21331cc" - } - }, - "meta" : { - "globalKey" : "d21331cc" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cdd1765c" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "d21331cc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001DDDD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6ee6b8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -720,11 +732,11 @@ } } ], "meta" : { - "globalKey" : "a85d752" + "globalKey" : "4745c634" } }, "meta" : { - "globalKey" : "a85d752" + "globalKey" : "4745c634" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-output.json index 6986cf3607..ea403f132a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/novation/partial-novation-func-output.json @@ -102,361 +102,273 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001DDDD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6ee6b8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5f" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "9311f9e5", - "externalReference" : "resetDates5" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "9311f9e5", - "externalKey" : "resetDates5" + "globalKey" : "f148ad32" } }, "meta" : { - "globalKey" : "1a9ef770" + "globalKey" : "f148ad32" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5f" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "9311f9e5", + "externalReference" : "resetDates5" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9311f9e5", + "externalKey" : "resetDates5" + } + }, + "meta" : { + "globalKey" : "1a9ef770" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", @@ -471,153 +383,250 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "26f828b8" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "181c9a70" - } - }, - "meta" : { - "globalKey" : "181c9a70" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "fd32a49c" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2ea0f628" } } ], "meta" : { - "globalKey" : "3bc0d942" + "globalKey" : "26f828b8" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" - } - } ] + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "181c9a70" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "LEI1RPT0001", + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "identifierType" : "LEI", - "meta" : { + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bc0d942" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001DDDD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6ee6b8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { "globalKey" : "d491d93a" } } ], @@ -725,11 +734,11 @@ } } ], "meta" : { - "globalKey" : "366ded78" + "globalKey" : "88bf75c4" } }, "meta" : { - "globalKey" : "366ded78" + "globalKey" : "88bf75c4" } } } @@ -737,323 +746,272 @@ "eventQualifier" : "PartialNovation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI3RPT0003", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI3RPT0003DDDD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "6a5e1eb8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - 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"globalKey" : "2ea0f628" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "26f828b8" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "181c9a70" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "f097b2b2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3bd44294" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { 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[ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "97751890", - "externalReference" : "party3" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e20d7a6c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "97751890", + "externalReference" : "party3" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI3RPT0003", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI3RPT0003DDDD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "6a5e1eb8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1336,368 +1354,280 @@ } } ], "meta" : { - "globalKey" : "48b40aee" + "globalKey" : "31ea1644" } }, "meta" : { - "globalKey" : "48b40aee" + "globalKey" : "31ea1644" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001DDDD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6ee6b8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, - "meta" : { - "globalKey" : "320bf4be", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "320bf4be", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5f" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "9311f9e5", - "externalReference" : "resetDates5" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9311f9e5", - "externalKey" : "resetDates5" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "1a9ef770" + "globalKey" : "0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "meta" : { - "globalKey" : "45d323ca" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "meta" : { + "globalKey" : "f148ad32" + } + }, + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3e781cc3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "320bf4be", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "320bf4be", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5f" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "9311f9e5", + "externalReference" : "resetDates5" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9311f9e5", + "externalKey" : "resetDates5" + } + }, + "meta" : { + "globalKey" : "1a9ef770" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1713,142 +1643,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "45d323ca" } }, "meta" : { - "globalKey" : "2ea0f628" + "globalKey" : "45d323ca" } - } ], - "meta" : { - "globalKey" : "26f828b8" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "181c9a70" - } - }, - "meta" : { - "globalKey" : "181c9a70" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 8000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "3e781cc3", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "5ce86ff5" } }, "meta" : { - "globalKey" : "828026c7" + "globalKey" : "2ea0f628" + } + } ], + "meta" : { + "globalKey" : "26f828b8" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "181c9a70" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 8000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "e2954cb5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "41603bf1" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 8000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 8000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "19b10109" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1e7247b5", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "19b10109" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1e7247b5", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001DDDD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6ee6b8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1967,14 +1994,14 @@ } } ], "meta" : { - "globalKey" : "56c93118" + "globalKey" : "8a1a3e76" } }, "meta" : { - "globalKey" : "56c93118" + "globalKey" : "8a1a3e76" } } ], "meta" : { - "globalKey" : "303457db" + "globalKey" : "cd310a2d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json index 6cd0fe9745..a47cf59f2a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-input.json @@ -59,502 +59,431 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "96fa6685" + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "81133ec" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "81133ec" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "e9391333" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -588,93 +517,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -760,11 +748,11 @@ } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-output.json index 2c69010002..f2c5c5330e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-equity-swap-func-output.json @@ -69,502 +69,431 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + 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+ "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -770,11 +758,11 @@ } }, "meta" : { - "globalKey" : "3774111e" + "globalKey" : "19a691f6" } }, "meta" : { - "globalKey" : "3774111e" + "globalKey" : "19a691f6" } } } @@ -782,502 +770,431 @@ "eventQualifier" : "Termination", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-2" } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, + "meta" : { + "globalKey" : "a2cb5f8a" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "607c270e" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, + "meta" : { + "globalKey" : "edf02740" + } + }, + "meta" : { + "globalKey" : "2fce1876", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "a2cb5f8a" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } + "globalKey" : "97fde1d6" }, - "meta" : { - "globalKey" : "edf02740" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "b133b78f", + "externalReference" : "EquityPaymentDate" } }, - "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] - }, "meta" : { "globalKey" : "97fde1d6" } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" - } - }, - "meta" : { - "globalKey" : "e67a4a96" + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2fce1876", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "71183569" + } + }, + "meta" : { + "globalKey" : "e67a4a96" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "96fa6685" - } + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "55829e23" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "55829e23", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "252ee503" } }, "meta" : { - "globalKey" : "b133b78f", - "externalKey" : "EquityPaymentDate" + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "247344" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "55829e23" }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } + }, + "meta" : { + "globalKey" : "55829e23", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "64a37ab4" } - } ], + }, "meta" : { - "globalKey" : "c27479ca" + "globalKey" : "b133b78f", + "externalKey" : "EquityPaymentDate" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" + }, + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "a96321cd" } } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "c0029f63" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "1ee3dd73" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1311,93 +1228,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "d44d13f2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "8182ad2d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1483,7 +1459,7 @@ } }, "meta" : { - "globalKey" : "29005d1c" + "globalKey" : "e5346eb8" } }, "state" : { @@ -1529,10 +1505,10 @@ } } ], "meta" : { - "globalKey" : "b01e293f" + "globalKey" : "9447f623" } } ], "meta" : { - "globalKey" : "8749e667" + "globalKey" : "9aea9077" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json index 595b51577e..11399273f1 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-input.json @@ -58,323 +58,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec0f7dc0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "6d96fd32" - } - }, - "meta" : { - "globalKey" : "6d96fd32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "8238af6a", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "6d96fd32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "6d96fd32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8238af6a", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "8238af6a", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b768f9eb" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8238af6a", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "b768f9eb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "58821cc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58821cc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -389,177 +338,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "da8c707a", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "58821cc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "58821cc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dee3a99e" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "ec160dc9" + "globalKey" : "da8c707a", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "13acca10" - } - }, - "meta" : { - "globalKey" : "13acca10" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "dee3a99e" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "ec160dc9" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "13acca10" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a032462e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f901da98" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "d923cb70" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "20d01c41", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d923cb70" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "20d01c41", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -664,11 +676,11 @@ } } ], "meta" : { - "globalKey" : "b8ebd5ec" + "globalKey" : "1d4b0216" } }, "meta" : { - "globalKey" : "b8ebd5ec" + "globalKey" : "1d4b0216" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-output.json index 08dec63953..c11d7797c8 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/full-termination-vanilla-swap-func-output.json @@ -68,361 +68,273 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b0a21242" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "18fe1859" - } - }, - "meta" : { - "globalKey" : "18fe1859" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "58c6bd65", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ec6b637b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec6b637b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "58c6bd65", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "d8c23f07", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "d8c23f07", - "externalKey" : "resetDates" + "globalKey" : "18fe1859" } }, "meta" : { - "globalKey" : "4b14d39" + "globalKey" : "18fe1859" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "36b39343" - } - }, - "meta" : { - "globalKey" : "36b39343" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "58c6bd65", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "6b181ebc", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "58c6bd65", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "d8c23f07", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "d8c23f07", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "4b14d39" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", @@ -437,157 +349,254 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "36b39343" } }, "meta" : { - "globalKey" : "1483b0cf" + "globalKey" : "36b39343" } - } ], - "meta" : { - "globalKey" : "a7dba2f6" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "6b181ebc", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "fd32a49c" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "1483b0cf" } } ], "meta" : { - "globalKey" : "3bc0d942" + "globalKey" : "a7dba2f6" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "41fc2c91", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6f99094c", - "externalReference" : "party2" - } - } ] + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "b3a867f2" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "5493001RKR55V4X61F71", + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "c87765a4" - } - }, { - "identifier" : { + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "3bc0d942" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "41fc2c91", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6f99094c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "b0a21242" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "5493001RKR55V4X61F71", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "c87765a4" + } + }, { + "identifier" : { "value" : "LEI1RPT0001", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" @@ -683,11 +692,11 @@ } } ], "meta" : { - "globalKey" : "9734bf4a" + "globalKey" : "e05f8642" } }, "meta" : { - "globalKey" : "9734bf4a" + "globalKey" : "e05f8642" } } } @@ -695,360 +704,272 @@ "eventQualifier" : "Termination", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b0a21242" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - 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"periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "58c6bd65", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "58c6bd65", + 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"periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "d8c23f07", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "4b14d39" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1064,142 +985,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "36b39343" } }, "meta" : { - "globalKey" : "1483b0cf" + "globalKey" : "36b39343" } - } ], - "meta" : { - "globalKey" : "a7dba2f6" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "6b181ebc", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "5ce86ff5" } }, "meta" : { - "globalKey" : "828026c7" + "globalKey" : "1483b0cf" + } + } ], + "meta" : { + "globalKey" : "a7dba2f6" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "b3a867f2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "18ef367d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d07cd329" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "235b7641" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "41fc2c91", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6f99094c", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "235b7641" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "41fc2c91", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6f99094c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "b0a21242" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1310,7 +1328,7 @@ } } ], "meta" : { - "globalKey" : "ad839aaa" + "globalKey" : "1c0bd0c0" } }, "state" : { @@ -1359,10 +1377,10 @@ } } ], "meta" : { - "globalKey" : "39683fb3" + "globalKey" : "597f105d" } } ], "meta" : { - "globalKey" : "73ed7d00" + "globalKey" : "9af0f09e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-input.json index de22351685..b5943d33dc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-input.json @@ -61,29 +61,40 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] } }, "meta" : { - "globalKey" : "e8673a59" + "globalKey" : "b883bb1" } } ], "direction" : "Increase", @@ -102,512 +113,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "96fa6685" + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" }, - "securityType" : "Equity" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "720e34e8" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "720e34e8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-1" - } - } ], - "meta" : { - "globalKey" : "4542495" + "meta" : { + "globalKey" : "a4353d2f" + } + }, + "tradeLot" : [ { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-1" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542495" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -641,128 +581,149 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - }, { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-2" - } - } ], - "meta" : { - "globalKey" : "4542496" + }, + "meta" : { + "globalKey" : "f5f1e161" + } + } ] + }, { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-2" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542496" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -796,93 +757,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -968,11 +988,11 @@ } }, "meta" : { - "globalKey" : "2e3ea10c" + "globalKey" : "6b3a7779" } }, "meta" : { - "globalKey" : "2e3ea10c" + "globalKey" : "6b3a7779" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-output.json index 48f46753f3..92190de6b2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-existing-trade-lot-func-output.json @@ -62,29 +62,35 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e8673a59" + "globalKey" : "b883bb1" } } ], "direction" : "Increase", @@ -103,512 +109,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" + "value" : "price-2" } - }, - "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "97fde1d6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" + "globalKey" : "a2cb5f8a" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, "meta" : { - "globalKey" : "e67a4a96" + "globalKey" : "a2cb5f8a" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "edf02740" }, - "meta" : { - "globalKey" : "7610bbd9" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, - "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" - } - }, - "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "edf02740" + } + }, + "meta" : { + "globalKey" : "2fce1876", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "2276b670" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } + "globalKey" : "97fde1d6" }, - "meta" : { - "globalKey" : "96fa6685" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "b133b78f", + "externalReference" : "EquityPaymentDate" } + }, + "meta" : { + "globalKey" : "97fde1d6" } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", 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+ "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -797,113 +753,172 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + 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"indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "f5f1e161" } - } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ], - "adjustment" : "Execution" - }, - "party" : [ { - "partyId" : [ { + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { "identifier" : { - "value" : "Party A", + "value" : "6234", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + "scheme" : "http://www.partyA.com/eqs-trade-id" } - }, - "meta" : { - "globalKey" : "33f59567" } } ], "meta" : { - "globalKey" : "33f59567", - "externalKey" : "party1" + "globalKey" : "625619" } }, { - "partyId" : [ { - "identifier" : { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "Party A", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" + } + }, + "meta" : { + "globalKey" : "33f59567" + } + } ], + "meta" : { + "globalKey" : "33f59567", + "externalKey" : "party1" + } + }, { + "partyId" : [ { + "identifier" : { "value" : "Party B", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/dummy-party-id" @@ -969,523 +984,452 @@ } }, "meta" : { - "globalKey" : "b2a56d50" + "globalKey" : "64e7f255" } }, "meta" : { - "globalKey" : "b2a56d50" + "globalKey" : "64e7f255" } } } } ], "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : 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: { - "globalKey" : "97fde1d6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, "meta" : { - "globalKey" : "e67a4a96" + "globalKey" : "a2cb5f8a" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "edf02740" }, - "meta" : { - "globalKey" : "7610bbd9" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, - "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" - } - }, - "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "edf02740" + } + }, + "meta" : { + "globalKey" : "2fce1876", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "2276b670" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } + "globalKey" : "97fde1d6" }, - "meta" : { - "globalKey" : "96fa6685" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "b133b78f", + "externalReference" : "EquityPaymentDate" } + }, + "meta" : { + "globalKey" : "97fde1d6" } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - 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+ "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2fce1876", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "71183569" + } + }, + "meta" : { + "globalKey" : "e67a4a96" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "55829e23", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "e80e5233" } }, "meta" : { - "globalKey" : "b133b78f", - "externalKey" : "EquityPaymentDate" + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "247344" + "globalKey" : "3a4b88ab" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "252ee503" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" + } + }, + "meta" : { + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "55829e23" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } + }, + "meta" : { + "globalKey" : "55829e23", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "64a37ab4" } - } ], + }, "meta" : { - "globalKey" : "c27479ca" + "globalKey" : "b133b78f", + "externalKey" : "EquityPaymentDate" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" + }, + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } + }, + "meta" : { + "globalKey" : "a96321cd" } - }, + } ], "meta" : { - "globalKey" : "4afc6f9a" + "globalKey" : "c0029f63" } }, - "meta" : { - "globalKey" : "4afc6f9a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-1" - } - } ], - "meta" : { - "globalKey" : "4542495" + "meta" : { + "globalKey" : "1ee3dd73" + } + }, + "tradeLot" : [ { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-1" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542495" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1509,138 +1453,159 @@ "meta" : { "scheme" : "http://www.abc.com/exchangeId" } - }, - "meta" : { - "globalKey" : "247344" + }, + "meta" : { + "globalKey" : "247344" + } + }, + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } - }, - "securityType" : "Equity" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + }, + "meta" : { + "globalKey" : "f5f1e161" + } + } ] + }, { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-2" + } + } ], + "meta" : { + "globalKey" : "4542496" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } - } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - }, { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-2" + } ], + "quantity" : [ { + "value" : { + "value" : 1010400, + "unit" : { + "financialUnit" : "Share" } - } ], + }, "meta" : { - "globalKey" : "4542496" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1010400, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 35969376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, { + "value" : { + "value" : 35969376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1674,93 +1639,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "b58168f0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "62b7022b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "138c2ec7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "d793f01f" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1846,14 +1870,14 @@ } }, "meta" : { - "globalKey" : "3432118a" + "globalKey" : "23ecb05b" } }, "meta" : { - "globalKey" : "3432118a" + "globalKey" : "23ecb05b" } } ], "meta" : { - "globalKey" : "463ac80e" + "globalKey" : "701211cc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json index 8177200c61..75714231dc 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-input.json @@ -38,25 +38,32 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Equity" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" + } + }, + "identifierType" : "Other" + } ], + "securityType" : "Equity" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] } }, "meta" : { - "globalKey" : "d7546d97" + "globalKey" : "d5c846f" } }, { "price" : [ { @@ -99,29 +106,40 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT" + } ] } }, "meta" : { - "globalKey" : "e8673a59" + "globalKey" : "b883bb1" } } ], "direction" : "Increase", @@ -178,512 +196,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "96fa6685" + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "720e34e8" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "720e34e8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-1" - } - } ], - "meta" : { - "globalKey" : "4542495" + "meta" : { + "globalKey" : "a4353d2f" + } + }, + "tradeLot" : [ { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-1" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542495" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -717,93 +664,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -889,11 +895,11 @@ } }, "meta" : { - "globalKey" : "5cf270af" + "globalKey" : "234c3a9d" } }, "meta" : { - "globalKey" : "5cf270af" + "globalKey" : "234c3a9d" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-output.json index 169ef185d0..407f71e731 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/increase-equity-swap-func-output.json @@ -39,25 +39,27 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Equity" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "SHPGY.O", + "meta" : { + "scheme" : "http://www.abc.com/instrumentId" + } + }, + "identifierType" : "Other" + } ], + "securityType" : "Equity" + } } } } }, "meta" : { - "globalKey" : "d7546d97" + "globalKey" : "d5c846f" } }, { "price" : [ { @@ -100,29 +102,35 @@ } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e8673a59" + "globalKey" : "b883bb1" } } ], "direction" : "Increase", @@ -179,516 +187,445 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "a2cb5f8a" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "a2cb5f8a" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "71183569" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "e67a4a96" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "2fce1876", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "b133b78f", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" + "globalKey" : "97fde1d6" } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2fce1876", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "71183569" + } + }, + "meta" : { + "globalKey" : "e67a4a96" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "96fa6685" + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "55829e23" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "55829e23", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "b133b78f", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "55829e23" }, - "securityType" : "Equity" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "55829e23", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "b133b78f", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "64a37ab4" - } - } ], - "meta" : { - "globalKey" : "c27479ca" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a96321cd" } - }, + } ], "meta" : { - "globalKey" : "4afc6f9a" + "globalKey" : "c0029f63" } }, - "meta" : { - "globalKey" : "4afc6f9a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-1" - } - } ], - "meta" : { - "globalKey" : "4542495" + "meta" : { + "globalKey" : "1ee3dd73" + } + }, + "tradeLot" : [ { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-1" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542495" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } - } + "perUnitOf" : { + "financialUnit" : "Share" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { "value" : "SHPGY.O", "meta" : { "scheme" : "http://www.abc.com/instrumentId" @@ -718,93 +655,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -890,11 +886,11 @@ } }, "meta" : { - "globalKey" : "adecf0b3" + "globalKey" : "36c65c81" } }, "meta" : { - "globalKey" : "adecf0b3" + "globalKey" : "36c65c81" } } } @@ -902,512 +898,441 @@ "eventQualifier" : "Increase", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : 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"meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1563,104 +1509,150 @@ } } } - }, - "meta" : { - "globalKey" : "d7546d97" } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "d5c846f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 7500000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 7500000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "rateOption-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } - }, - "meta" : { - "globalKey" : "e8673a59" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "b883bb1" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1746,7 +1738,7 @@ } }, "meta" : { - "globalKey" : "cb995111" + "globalKey" : "30c3111f" } }, "transferHistory" : [ { @@ -1786,10 +1778,10 @@ } } ], "meta" : { - "globalKey" : "67f2a4d1" + "globalKey" : "37e6b503" } } ], "meta" : { - "globalKey" : "72de6883" + "globalKey" : "ead43faf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json index beef118067..23594cd6a7 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-input.json @@ -72,512 +72,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "96fa6685" + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" }, - "securityType" : "Equity" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "720e34e8" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "720e34e8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-1" - } - } ], - "meta" : { - "globalKey" : "4542495" + "meta" : { + "globalKey" : "a4353d2f" + } + }, + "tradeLot" : [ { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-1" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542495" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -611,128 +540,149 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - }, { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-2" - } - } ], - "meta" : { - "globalKey" : "4542496" + }, + "meta" : { + "globalKey" : "f5f1e161" + } + } ] + }, { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-2" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542496" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -766,93 +716,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -938,11 +947,11 @@ } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "6b3a7779" } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-output.json index 31e52c6122..15e19a0ebe 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-equity-swap-func-output.json @@ -79,667 +79,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" + "value" : "price-2" } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, - "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "97fde1d6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" + "globalKey" : "a2cb5f8a" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, "meta" : { - "globalKey" : "e67a4a96" + "globalKey" : "a2cb5f8a" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, + }, + "terminationDate" : { + 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+ "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1495,128 +1433,149 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - }, { - "lotIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LOT-2" - } - } ], - "meta" : { - "globalKey" : "4542496" + }, + "meta" : { + "globalKey" : "f5f1e161" + } + } ] + }, { + "lotIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LOT-2" } } ], - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 608320, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "4542496" + } + } ], + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 608320, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 22775501, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 22775501, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1650,93 +1609,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "413510c4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "ee6aa9ff" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1822,7 +1840,7 @@ } }, "meta" : { - "globalKey" : "8fd16c20" + "globalKey" : "5a302585" } }, "transferHistory" : [ { @@ -1862,10 +1880,10 @@ } } ], "meta" : { - "globalKey" : "d7ca1fa6" + "globalKey" : "d088a4a1" } } ], "meta" : { - "globalKey" : "1dbe9ee9" + "globalKey" : "8b2616e9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json index db0384c072..64f4812b9d 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-input.json @@ -58,323 +58,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec0f7dc0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "6d96fd32" - } - }, - "meta" : { - "globalKey" : "6d96fd32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "8238af6a", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "6d96fd32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "6d96fd32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8238af6a", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "8238af6a", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b768f9eb" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8238af6a", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "b768f9eb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "58821cc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58821cc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -389,177 +338,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "da8c707a", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "58821cc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "58821cc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dee3a99e" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "ec160dc9" + "globalKey" : "da8c707a", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "13acca10" - } - }, - "meta" : { - "globalKey" : "13acca10" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "dee3a99e" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "ec160dc9" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "13acca10" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a032462e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f901da98" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "d923cb70" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "20d01c41", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d923cb70" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "20d01c41", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -664,11 +676,11 @@ } } ], "meta" : { - "globalKey" : "b8ebd5ec" + "globalKey" : "1d4b0216" } }, "meta" : { - "globalKey" : "b8ebd5ec" + "globalKey" : "1d4b0216" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-output.json index 5f2abf6b0c..6c630098f9 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/quantity-change/partial-termination-vanilla-swap-func-output.json @@ -68,361 +68,273 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b0a21242" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "18fe1859" - } - }, - "meta" : { - "globalKey" : "18fe1859" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "58c6bd65", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ec6b637b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec6b637b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "58c6bd65", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "d8c23f07", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "d8c23f07", - "externalKey" : "resetDates" + "globalKey" : "18fe1859" } }, "meta" : { - "globalKey" : "4b14d39" + "globalKey" : "18fe1859" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "36b39343" - } - }, - "meta" : { - "globalKey" : "36b39343" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "58c6bd65", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "6b181ebc", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "9e3a57b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "58c6bd65", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "d8c23f07", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "efe7bcb3" + } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "d8c23f07", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "4b14d39" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", @@ -437,157 +349,254 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "36b39343" } }, "meta" : { - "globalKey" : "1483b0cf" + "globalKey" : "36b39343" } - } ], - "meta" : { - "globalKey" : "a7dba2f6" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cd88db42" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "6b181ebc", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "fd32a49c" - } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "5ce86ff5" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "1483b0cf" } } ], "meta" : { - "globalKey" : "3bc0d942" + "globalKey" : "a7dba2f6" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "41fc2c91", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6f99094c", - "externalReference" : "party2" - } - } ] + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "b3a867f2" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "5493001RKR55V4X61F71", + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, - "identifierType" : "LEI", - "meta" : { - "globalKey" : "c87765a4" - } - }, { - "identifier" : { + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "3bc0d942" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "41fc2c91", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6f99094c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "b0a21242" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "5493001RKR55V4X61F71", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "c87765a4" + } + }, { + "identifier" : { "value" : "LEI1RPT0001", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" @@ -683,11 +692,11 @@ } } ], "meta" : { - "globalKey" : "9734bf4a" + "globalKey" : "e05f8642" } }, "meta" : { - "globalKey" : "9734bf4a" + "globalKey" : "e05f8642" } } } @@ -695,360 +704,272 @@ "eventQualifier" : "PartialTermination", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b0a21242" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "meta" : { - "globalKey" : "ec6b637b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "18fe1859" - } - }, - "meta" : { - "globalKey" : 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{ - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec6b637b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "9e3a57b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "58c6bd65", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "d8c23f07", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cd88db42" + "globalKey" : "3662e8ba" } }, "meta" : { - "globalKey" : "d8c23f07", - "externalKey" : "resetDates" + "globalKey" : "18fe1859" } }, "meta" : { - "globalKey" : "4b14d39" + "globalKey" : "18fe1859" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "efe7bcb3" } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-04-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } - }, - "meta" : { - "globalKey" : "36b39343" - } - }, - "meta" : { - "globalKey" : "36b39343" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "efe7bcb3" - } - }, - "meta" : { - "globalKey" : "cd88db42" - } + }, + "meta" : { + "globalKey" : "cd88db42" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : 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-2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "d8c23f07", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "6b181ebc", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "efe7bcb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "cd88db42" + } + }, + "meta" : { + "globalKey" : "d8c23f07", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "4b14d39" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-04-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1064,142 +985,239 @@ } }, "meta" : { - "globalKey" : "5ce86ff5" + "globalKey" : "36b39343" } }, "meta" : { - "globalKey" : "1483b0cf" + "globalKey" : "36b39343" } - } ], - "meta" : { - "globalKey" : "a7dba2f6" - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "meta" : { - "globalKey" : "b3a867f2" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 7000, - "unit" : { - "currency" : { - "value" : "USD", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "6b181ebc", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "efe7bcb3" } + }, + "meta" : { + "globalKey" : "cd88db42" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "5ce86ff5" } }, "meta" : { - "globalKey" : "828026c7" + "globalKey" : "1483b0cf" + } + } ], + "meta" : { + "globalKey" : "a7dba2f6" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "b3a867f2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 7000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "91eb6eb4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3f86e8d2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 7000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 7000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "b1cfd42a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "41fc2c91", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6f99094c", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "b1cfd42a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "41fc2c91", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6f99094c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "b0a21242" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -1310,7 +1328,7 @@ } } ], "meta" : { - "globalKey" : "8f8f304a" + "globalKey" : "8ad58812" } }, "transferHistory" : [ { @@ -1353,10 +1371,10 @@ } } ], "meta" : { - "globalKey" : "6412f43e" + "globalKey" : "8914a176" } } ], "meta" : { - "globalKey" : "8445c799" + "globalKey" : "d9d86145" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json index 47d9b2d032..27c7879c4b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-input.json @@ -9,502 +9,431 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "96fa6685" + "globalKey" : "252ee503" } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "81133ec" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "81133ec" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "e9391333" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -538,93 +467,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -710,11 +698,11 @@ } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-output.json index f045d67707..717eacfe88 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/business-event/stock-split/stock-split-equity-swap-func-output.json @@ -11,502 +11,431 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" + "value" : "price-2" } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, - "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "97fde1d6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" + "globalKey" : "a2cb5f8a" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "71183569" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, "meta" : { - "globalKey" : "e67a4a96" + "globalKey" : "a2cb5f8a" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : 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"InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "2276b670" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } + "globalKey" : "97fde1d6" }, - "meta" : { - "globalKey" : "96fa6685" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { 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"externalReference" : "EquityPaymentDate" } }, "meta" : { - "globalKey" : "b133b78f", - "externalKey" : "EquityPaymentDate" + "globalKey" : "97fde1d6" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } - }, - "securityType" : "Equity" - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2fce1876", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "71183569" + } + }, + "meta" : { + "globalKey" : "e67a4a96" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "e80e5233" + } + }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } - } ] + }, + "meta" : { + "globalKey" : "252ee503" + } + }, + "meta" : { + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, "meta" : { - "globalKey" : "64a37ab4" + "globalKey" : "96fa6685" } - } ], - "meta" : { - "globalKey" : "c27479ca" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" + } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" + } + }, + "meta" : { + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "55829e23" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } + }, + "meta" : { + "globalKey" : "55829e23", + "externalKey" : "FinalEquityPaymentDate" + } } }, - "perUnitOf" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "b133b78f", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" + }, + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "a96321cd" } } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "c0029f63" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "1ee3dd73" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -540,93 +469,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -712,11 +700,11 @@ } }, "meta" : { - "globalKey" : "3774111e" + "globalKey" : "19a691f6" } }, "meta" : { - "globalKey" : "3774111e" + "globalKey" : "19a691f6" } } } @@ -724,502 +712,431 @@ "eventQualifier" : "StockSplit", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "625619" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "a2cb5f8a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "a2cb5f8a", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "70ed9e" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607c270e" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607c270e" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "a2cb5f8a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "a2cb5f8a" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55829e23", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "2fce1876", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b133b78f", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "a2cb5f8a" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2fce1876", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "a2cb5f8a" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "71183569" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55829e23", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "e67a4a96" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "2fce1876", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "b133b78f", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2fce1876", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "71183569" + } + }, + "meta" : { + "globalKey" : "e67a4a96" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, - "meta" : { - "globalKey" : "252ee503", - "externalKey" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "96fa6685" - } + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "dfe60714" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "e80e5233", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "55829e23" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "2276b670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "55829e23", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "252ee503" } }, "meta" : { - "globalKey" : "b133b78f", - "externalKey" : "EquityPaymentDate" + "globalKey" : "252ee503", + "externalKey" : "FinalValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "247344" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "55829e23" }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } + }, + "meta" : { + "globalKey" : "55829e23", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "64a37ab4" } - } ], + }, "meta" : { - "globalKey" : "c27479ca" + "globalKey" : "b133b78f", + "externalKey" : "EquityPaymentDate" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "meta" : { - "globalKey" : "4afc6f9a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 18.72, - "unit" : { - "currency" : { - "value" : "USD" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" + }, + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "a96321cd" } } ], - "quantity" : [ { - "value" : { - "value" : 1520800, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "c0029f63" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "1ee3dd73" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 18.72, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1520800, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1253,93 +1170,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "2e3619ef" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "db6bb32a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "625619" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "70ed9e" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1425,14 +1401,14 @@ } }, "meta" : { - "globalKey" : "1247a19" + "globalKey" : "bcfb6edb" } }, "meta" : { - "globalKey" : "1247a19" + "globalKey" : "bcfb6edb" } } ], "meta" : { - "globalKey" : "4a6901ef" + "globalKey" : "f5287985" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR-func-output.json index 195607d8fa..76717ffd5e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR-func-output.json @@ -5,164 +5,75 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369931", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401077-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401077", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401965", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401077", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369931", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "270af631" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - 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"assignedIdentifier" : [ { - "identifier" : { - "value" : "9369931", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401077-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401077", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401965", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401077", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369931", - "meta" : { - "scheme" : "reg_trade_id" - } - } - } ], - "meta" : { - "globalKey" : "270af631" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { + }, { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -1240,19 +585,11 @@ } }, "rateSpecification" : { - "floatingRate" : { + "FloatingRateSpecification" : { "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -1289,22 +626,22 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "float2PrimaryBusinessCenters" }, "meta" : { - "globalKey" : "a61bf64d" + "globalKey" : "4f8725c7" } }, "meta" : { - "globalKey" : "9fefad1c" + "globalKey" : "495adc96" } }, "meta" : { - "globalKey" : "1da7d55e" + "globalKey" : "c71304d8" } }, "meta" : { - "globalKey" : "1da7d55e" + "globalKey" : "c71304d8" } }, "calculationPeriodDatesAdjustments" : { @@ -1312,38 +649,46 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "float2PrimaryBusinessCenters" }, "meta" : { - "globalKey" : "a61bf64d" + "globalKey" : "4f8725c7" } }, "meta" : { - "globalKey" : "9fefad1c" + "globalKey" : "495adc96" } }, "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "2049" + "globalKey" : "1a3b" }, "rollConvention" : "2" }, "meta" : { - "globalKey" : "c92cca89", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cf5d38ef", + "externalKey" : "floating2CalcPeriodDates" } }, "paymentDates" : { "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "78" } }, "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, "paymentDatesAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -1354,7 +699,7 @@ } ], "meta" : { "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" + "externalKey" : "float2PrimaryBusinessCenters" } }, "meta" : { @@ -1362,42 +707,41 @@ } }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "d02603bc", + "externalKey" : "floating2LegPaymentDates" } }, "resetDates" : { "calculationPeriodDatesReference" : { - "globalReference" : "c92cca89", - "externalReference" : "floatingCalcPeriodDates" + "globalReference" : "cf5d38ef", + "externalReference" : "floating2CalcPeriodDates" }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "resetRelativeTo" : "CalculationPeriodEndDate", "fixingDates" : { - "periodMultiplier" : -2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "1a78799e" + "globalKey" : "1bc532b" }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USGS" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "27e40a" } }, "dateRelativeTo" : { - "globalReference" : "c2be45b5", - "externalReference" : "floatingLegResetDates" + "globalReference" : "83797d89", + "externalReference" : "floatingLeg2ResetDates" } }, "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "78" } }, "resetDatesAdjustments" : { @@ -1405,557 +749,1049 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "float2PrimaryBusinessCenters" }, "meta" : { - "globalKey" : "a61bf64d" + "globalKey" : "4f8725c7" } }, "meta" : { - "globalKey" : "9fefad1c" + "globalKey" : "495adc96" } }, "meta" : { - "globalKey" : "c2be45b5", - "externalKey" : "floatingLegResetDates" + "globalKey" : "83797d89", + "externalKey" : "floatingLeg2ResetDates" } }, "cashflowRepresentation" : { "cashflowsMatchParameters" : true, "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-02-04", + "adjustedPaymentDate" : "2019-11-06", "calculationPeriod" : [ { "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-02-04", + "adjustedEndDate" : "2019-11-04", "meta" : { - "globalKey" : "5fc4ab60" + "globalKey" : "36ad0d3e" }, "notionalAmount" : 100000000, "floatingRateDefinition" : { "rateObservation" : [ { - "adjustedFixingDate" : "2018-10-31", + "adjustedFixingDate" : "2019-11-01", "observedRate" : 0, "meta" : { - "globalKey" : "7a34171" + "globalKey" : "7a43d8f" } } ] } } ], "meta" : { - "globalKey" : "8eb4ffe4" + "globalKey" : "28200204" } 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"USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } - }, - "meta" : { - "globalKey" : "49c5bc57" } }, "meta" : { - "globalKey" : "fbce0222" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" + }, + "meta" : { + "globalKey" : "94c343f6" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "845fcd4c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369931", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401077-2", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401077", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401965", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401077", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369931", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "270af631" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -2283,22 +2333,22 @@ } } ], "meta" : { - "globalKey" : "ca57046d" + "globalKey" : "835881af" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "c9a8990" + "globalKey" : "8b31be52" } } ], "meta" : { - "globalKey" : "e4db0767" + "globalKey" : "63c1e527" } }, "previousWorkflowStep" : { - "globalReference" : "2e10acc2" + "globalReference" : "b910d67e" }, "messageInformation" : { "messageId" : { @@ -2396,6 +2446,6 @@ } } ], "meta" : { - "globalKey" : "a00f7c5" + "globalKey" : "bfa10205" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex01-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex01-func-output.json index 740bcb6a0c..e233aaddec 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex01-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex01-func-output.json @@ -5,421 +5,430 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC_11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "9131f4b5" - } - } ], - "tradeDate" : { - "value" : "2014-10-03", - "meta" : { - "globalKey" : "3ef283" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-01-07", - "meta" : { - "globalKey" : "3ef847" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-04-08", - "meta" : { - "globalKey" : "3ef908" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-01-07", "meta" : { - "globalKey" : "0" + "globalKey" : "3ef847" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-04-08", "meta" : { - "globalKey" : "aa" + "globalKey" : "3ef908" } }, "meta" : { - "globalKey" : "aa" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2015-01-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "meta" : { - "globalKey" : "3659d96b" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "meta" : { + "globalKey" : "aa" + } + }, + "paymentDate" : { + "unadjustedDate" : "2015-01-07", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], "meta" : { - "globalKey" : "57ddf584" + "globalKey" : "1ed59a" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "93e0510a" + "globalKey" : "3659d96b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "57ddf584" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "93e0510a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-01-07", + "meta" : { + "globalKey" : "3ef847" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-01-07", - "meta" : { - "globalKey" : "3ef847" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-04-08", - "meta" : { - "globalKey" : "3ef908" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-04-08", "meta" : { - "globalKey" : "0" + "globalKey" : "3ef908" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2015-01-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "meta" : { - "globalKey" : "3659d96b" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "2015-01-07", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], "meta" : { - "globalKey" : "57ddf584" + "globalKey" : "1ed59a" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "94a13cf0" - }, - "dayType" : "Business", - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" - } - }, + "meta" : { + "globalKey" : "3659d96b" + } + }, + "meta" : { + "globalKey" : "57ddf584" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "94a13cf0" + }, + "dayType" : "Business", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], "meta" : { - "globalKey" : "94a13cf0" + "globalKey" : "1ed59a" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "29b3d386" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } - } ], + }, "meta" : { - "globalKey" : "21f4bbc" + "globalKey" : "94a13cf0" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "29b3d386" } - }, + } ], "meta" : { - "globalKey" : "747e1ff5" + "globalKey" : "21f4bbc" } - }, - "meta" : { - "globalKey" : "747e1ff5" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0125, - "unit" : { - "currency" : { - "value" : "AUD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "747e1ff5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0125, + "unit" : { + "currency" : { + "value" : "AUD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 125000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + "perUnitOf" : { + "currency" : { + "value" : "AUD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 125000000, + "unit" : { + "currency" : { + "value" : "AUD" + } } - } ], + }, "meta" : { - "globalKey" : "cb6c1d37" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 125000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + } ], + "meta" : { + "globalKey" : "cb6c1d37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 125000000, + "unit" : { + "currency" : { + "value" : "AUD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "AUD-BBR-BBSW" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "AUD-BBR-BBSW" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "AUD-BBR-BBSW" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "3eefe016" } }, "meta" : { - "globalKey" : "1c23a5f2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "586caa2d" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC_11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } } - } ] + } ], + "meta" : { + "globalKey" : "9131f4b5" + } + } ], + "tradeDate" : { + "value" : "2014-10-03", + "meta" : { + "globalKey" : "3ef283" + } }, "party" : [ { "partyId" : [ { @@ -497,11 +506,11 @@ } } ], "meta" : { - "globalKey" : "9690429" + "globalKey" : "be3ea42a" } }, "meta" : { - "globalKey" : "9690429" + "globalKey" : "be3ea42a" } } } @@ -509,421 +518,430 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC_11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "9131f4b5" - } - } ], - "tradeDate" : { - "value" : "2014-10-03", - "meta" : { - "globalKey" : "3ef283" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-01-07", - "meta" : { - "globalKey" : "3ef847" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-04-08", - "meta" : { - "globalKey" : "3ef908" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "meta" : { - "globalKey" : "aa" - } - }, - "paymentDate" : { - "unadjustedDate" : "2015-01-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "meta" : { - "globalKey" : "3659d96b" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "57ddf584" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "93e0510a" + "globalKey" : "0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-01-07", - "meta" : { - "globalKey" : "3ef847" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-04-08", - "meta" : { - "globalKey" : "3ef908" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-01-07", "meta" : { - "globalKey" : "0" + "globalKey" : "3ef847" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2015-01-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-04-08", "meta" : { - "globalKey" : "3659d96b" + "globalKey" : "3ef908" } }, "meta" : { - "globalKey" : "57ddf584" + "globalKey" : "0" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "meta" : { + "globalKey" : "aa" + } + }, + "paymentDate" : { + "unadjustedDate" : "2015-01-07", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], + "meta" : { + "globalKey" : "1ed59a" + } + }, + "meta" : { + "globalKey" : "3659d96b" + } + }, + "meta" : { + "globalKey" : "57ddf584" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "93e0510a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-01-07", "meta" : { - "globalKey" : "94a13cf0" - }, - "dayType" : "Business", - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" + "globalKey" : "3ef847" } }, "meta" : { - "globalKey" : "94a13cf0" + "globalKey" : "0" } }, - "discountingMethod" : { - "discountingType" : "FRA" + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-04-08", + "meta" : { + "globalKey" : "3ef908" + } + }, + "meta" : { + "globalKey" : "0" + } }, "meta" : { - "globalKey" : "29b3d386" + "globalKey" : "0" } - } ], + }, "meta" : { - "globalKey" : "21f4bbc" + "globalKey" : "0" } - } - }, - "meta" : { - "globalKey" : "747e1ff5" - } - }, - "meta" : { - "globalKey" : "747e1ff5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0125, - "unit" : { - "currency" : { - "value" : "AUD" + }, + "paymentDate" : { + "unadjustedDate" : "2015-01-07", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], + "meta" : { + "globalKey" : "1ed59a" + } + }, + "meta" : { + "globalKey" : "3659d96b" } }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" + "meta" : { + "globalKey" : "57ddf584" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "94a13cf0" + }, + "dayType" : "Business", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], + "meta" : { + "globalKey" : "1ed59a" + } + }, + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "94a13cf0" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "29b3d386" } } ], - "quantity" : [ { - "value" : { - "value" : 125000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + "meta" : { + "globalKey" : "21f4bbc" + } + } + }, + "meta" : { + "globalKey" : "747e1ff5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0125, + "unit" : { + "currency" : { + "value" : "AUD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 125000000, + "unit" : { + "currency" : { + "value" : "AUD" + } } - } ], + }, "meta" : { - "globalKey" : "cb6c1d37" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 125000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + } ], + "meta" : { + "globalKey" : "cb6c1d37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 125000000, + "unit" : { + "currency" : { + "value" : "AUD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "AUD-BBR-BBSW" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "AUD-BBR-BBSW" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "AUD-BBR-BBSW" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "3eefe016" } }, "meta" : { - "globalKey" : "1c23a5f2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "586caa2d" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC_11111", + "meta" : { + "scheme" : "client_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "9131f4b5" + } + } ], + "tradeDate" : { + "value" : "2014-10-03", + "meta" : { + "globalKey" : "3ef283" + } }, "party" : [ { "partyId" : [ { @@ -1001,22 +1019,22 @@ } } ], "meta" : { - "globalKey" : "9690429" + "globalKey" : "be3ea42a" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "cf2b8a4c" + "globalKey" : "a5192e0d" } } ], "meta" : { - "globalKey" : "ab61afe7" + "globalKey" : "e1e75db" } }, "previousWorkflowStep" : { - "globalReference" : "b3421222" + "globalReference" : "49a4757f" }, "messageInformation" : { "messageId" : { @@ -1111,6 +1129,6 @@ } } ], "meta" : { - "globalKey" : "9532ce6e" + "globalKey" : "d5af9062" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex02-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex02-func-output.json index a056635b5a..948926cfa6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex02-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/FRA-ex02-func-output.json @@ -5,432 +5,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369927", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401180-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401180", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401871", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401180", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369927", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "d727f7e4" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-05-13", - "meta" : { - "globalKey" : "3f194d" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-11-12", - "meta" : { - "globalKey" : "3f1acc" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2019-05-13", "meta" : { - "globalKey" : "0" + "globalKey" : "3f194d" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2019-11-12", "meta" : { - "globalKey" : "107" + "globalKey" : "3f1acc" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2019-05-13", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "2019-05-13", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "deb62aaf" + "globalKey" : "42f910b" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "554b591e" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "deb62aaf" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "554b591e" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2019-05-13", + "meta" : { + "globalKey" : "3f194d" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-05-13", - "meta" : { - "globalKey" : "3f194d" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - 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- } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "3a0ba7ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "3a0ba7ac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } 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- "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e4e087" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369927", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401180-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401180", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401871", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401180", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369927", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "d727f7e4" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -508,11 +517,11 @@ } } ], "meta" : { - "globalKey" : "d9007172" + "globalKey" : "bf372e04" } }, "meta" : { - "globalKey" : "d9007172" + "globalKey" : "bf372e04" } } } @@ -520,432 +529,441 @@ "eventQualifier" : "ContractFormation", 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"value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" + } ], + "meta" : { + "globalKey" : "3a0ba7ac" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e4e087" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369927", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401180-2", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401180", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401871", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401180", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369927", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "d727f7e4" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1023,22 +1041,22 @@ } } ], "meta" : { - "globalKey" : "d9007172" + "globalKey" : "bf372e04" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "169cc955" + "globalKey" : "4a16a967" } } ], "meta" : { - "globalKey" : "f11b566b" + "globalKey" : "32144187" } }, "previousWorkflowStep" : { - "globalReference" : "98149443" + "globalReference" : "538a07fd" }, "messageInformation" : { "messageId" : { @@ -1136,6 +1154,6 @@ } } ], "meta" : { - "globalKey" : "1141f6af" + "globalKey" : "3bdfb213" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float-func-output.json index ab7c4921a0..34203118e9 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float-func-output.json @@ -5,298 +5,117 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC_11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "33fb1e65" - } - } ], - "tradeDate" : { - "value" : "2016-09-27", - "meta" : { - "globalKey" : "3f025b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "fd193e9d" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "be9d6224" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85edd731", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "98870d37" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "add3d9e8" - } - }, - "meta" : { - "globalKey" : "a7a790b7" - } - }, - "meta" : { - "globalKey" : "16525813" - } - }, - "meta" : { - "globalKey" : "16525813" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "add3d9e8" - } - }, - "meta" : { - "globalKey" : "a7a790b7" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7b" - }, - "rollConvention" : "28" - }, - "meta" : { - "globalKey" : "107f9871", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "46f4e10", - "externalKey" : "floatPrimaryBusinessCenters" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "10ca2510" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "97f8a1a1" } - }, - "meta" : { - "globalKey" : "85edd731", - "externalKey" : "floatingLegPaymentDates" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "107f9871", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "b674cc3a" + "globalKey" : "be9d6224" }, "dayType" : "Business", "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { + "value" : "USNY" + }, { "value" : "KRSE" } ], "meta" : { - "globalKey" : "2355f9" + "globalKey" : "4f80e30" } }, - "dateRelativeTo" : { - "globalReference" : "23271b4c", - "externalReference" : "floatingLegResetDates" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "85edd731", + "externalReference" : "floatingLegPaymentDates" + } ] } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } + }, + "meta" : { + "globalKey" : "98870d37" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -312,637 +131,225 @@ } }, "meta" : { - "globalKey" : "23271b4c", - "externalKey" : "floatingLegResetDates" + "globalKey" : "16525813" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2016-12-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2016-12-28", - "meta" : { - "globalKey" : "4f0ed0f3" - }, - "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-09-27", - "observedRate" : 1.34528, - "meta" : { - "globalKey" : "7918ac42" - } - } ] - } - } ], - "meta" : { - "globalKey" : "a516f80f" - } - }, { - "adjustedPaymentDate" : "2017-03-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-12-28", - "adjustedEndDate" : "2017-03-28", - "meta" : { - "globalKey" : "5a218826" - }, - "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-12-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a16075" - } - } ] - } - } ], - "meta" : { - "globalKey" : "39a7f502" - } - }, { - "adjustedPaymentDate" : "2017-06-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-03-28", - "adjustedEndDate" : "2017-06-28", - "meta" : { - "globalKey" : "cd996766" - }, - "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-03-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a212b5" - } - } ] - } - } ], - "meta" : { - "globalKey" : "e0731502" - } - }, { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-06-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "c1e87de6" - }, - "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-09-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a24135" - } - } ] - } - } ], - "meta" : { - "globalKey" : "8156c42" - } - } ] - }, "meta" : { - "globalKey" : "5fe1deb8" + "globalKey" : "16525813" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "46f4e10", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "f04dd56f" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "b1d1f8f6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85edd731", - "externalReference" : "fixedLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "8bbba409" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "add3d9e8" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "9ae73d00" - } - }, - "meta" : { - "globalKey" : "94baf3cf" - } - }, - "meta" : { - "globalKey" : "365bb2b" - } - }, - "meta" : { - "globalKey" : "365bb2b" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "9ae73d00" - } - }, - "meta" : { - "globalKey" : "94baf3cf" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7b" - }, - "rollConvention" : "28" - }, - "meta" : { - "globalKey" : "6f7c8a1", - "externalKey" : "fixedCalcPeriodDates" - } + "meta" : { + "globalKey" : "a7a790b7" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7b" }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "46f4e10", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97f8a1a1" - } - }, + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "107f9871", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "85edd731", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "46f4e10", + "externalKey" : "floatPrimaryBusinessCenters" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2016-12-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2016-12-28", - "meta" : { - "globalKey" : "b5a08ce1" - }, - "notionalAmount" : 1000000, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "53131b45" - } - }, { - "adjustedPaymentDate" : "2017-03-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-12-28", - "adjustedEndDate" : "2017-03-28", - "meta" : { - "globalKey" : "b60d69e1" - }, - "notionalAmount" : 1000000, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "235d8a85" - } - }, { - "adjustedPaymentDate" : "2017-06-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-03-28", - "adjustedEndDate" : "2017-06-28", - "meta" : { - "globalKey" : "b8ad5ce1" - }, - "notionalAmount" : 1000000, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "6d9ff4c5" - } - }, { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-06-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "b90774e1" - }, - "notionalAmount" : 1000000, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "b59c8405" - } - } ] - }, "meta" : { - "globalKey" : "42601c89" + "globalKey" : "97f8a1a1" } - } ], + }, "meta" : { - "globalKey" : "f991ced1" - } - } - }, - "meta" : { - "globalKey" : "20e1b482" - } - }, - "meta" : { - "globalKey" : "20e1b482" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "KRW" - } + "globalKey" : "85edd731", + "externalKey" : "floatingLegPaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "KRW-CD-KSDA-Bloomberg" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "107f9871", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "b674cc3a" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "2355f9" } + }, + "dateRelativeTo" : { + "globalReference" : "23271b4c", + "externalReference" : "floatingLegResetDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "533cd7c6" - } - }, - "meta" : { - "globalKey" : "a3732dc5" - } - }, { - "price" : [ { - "value" : { - "value" : 0.044, - "unit" : { - "currency" : { - "value" : "KRW" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "46f4e10", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "add3d9e8" + } + }, + "meta" : { + "globalKey" : "a7a790b7" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "KRW" - } + "meta" : { + "globalKey" : "23271b4c", + "externalKey" : "floatingLegResetDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "62f02ec4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "999", - "meta" : { - "scheme" : "clearing_member_firms" - } - }, - "meta" : { - "globalKey" : "dd19" - } - } ], - "meta" : { - "globalKey" : "dd19", - "externalKey" : "clearing_firm" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "CME" - }, - "meta" : { - "globalKey" : "1051b" - } - } ], - "meta" : { - "globalKey" : "1051b", - "externalKey" : "clearing_service" - } - }, { - "partyId" : [ { - "identifier" : { - "value" : "PLATFORM" - }, - "meta" : { - "globalKey" : "9e635873" - } - } ], - "meta" : { - "globalKey" : "9e635873", - "externalKey" : "trade_source" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "9e635873", - "externalReference" : "trade_source" - }, - "role" : "DataSubmitter", - "ownershipPartyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" - } - } ], - "clearedDate" : "2016-09-27", - "account" : [ { - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" - }, - "accountNumber" : { - "value" : "999-123", - "meta" : { - "scheme" : "clearing_firm_accounts" - } - }, - "servicingParty" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" - }, - "meta" : { - "globalKey" : "ef00ad9c", - "externalKey" : "account1" - } - } ], - "meta" : { - "globalKey" : "2934a9e0" - } - }, - "meta" : { - "globalKey" : "2934a9e0" - } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC_11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } - } ], - "meta" : { - "globalKey" : "33fb1e65" - } - } ], - "tradeDate" : { - "value" : "2016-09-27", - "meta" : { - "globalKey" : "3f025b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2016-12-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2016-12-28", + "meta" : { + "globalKey" : "4f0ed0f3" + }, + "notionalAmount" : 1000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2016-09-27", + "observedRate" : 1.34528, + "meta" : { + "globalKey" : "7918ac42" + } + } ] + } + } ], + "meta" : { + "globalKey" : "a516f80f" + } + }, { + "adjustedPaymentDate" : "2017-03-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-12-28", + "adjustedEndDate" : "2017-03-28", + "meta" : { + "globalKey" : "5a218826" + }, + "notionalAmount" : 1000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2016-12-27", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a16075" + } + } ] + } + } ], + "meta" : { + "globalKey" : "39a7f502" + } + }, { + "adjustedPaymentDate" : "2017-06-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-03-28", + "adjustedEndDate" : "2017-06-28", + "meta" : { + "globalKey" : "cd996766" + }, + "notionalAmount" : 1000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2017-03-27", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a212b5" + } + } ] + } + } ], + "meta" : { + "globalKey" : "e0731502" + } + }, { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-06-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "c1e87de6" + }, + "notionalAmount" : 1000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2017-09-27", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a24135" + } + } ] + } + } ], + "meta" : { + "globalKey" : "8156c42" + } + } ] + }, + "meta" : { + "globalKey" : "dcb36a07" + } + }, { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -956,11 +363,12 @@ } }, "settlementTerms" : { + "settlementType" : "Cash", "settlementCurrency" : { "value" : "USD" }, "meta" : { - "globalKey" : "fd193e9d" + "globalKey" : "3febbe2" }, "cashSettlementTerms" : [ { "valuationMethod" : { @@ -977,7 +385,7 @@ "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "be9d6224" + "globalKey" : "b1d1f8f6" }, "dayType" : "Business", "businessDayConvention" : "NONE", @@ -994,23 +402,25 @@ "dateRelativeToPaymentDates" : { "paymentDatesReference" : [ { "globalReference" : "85edd731", - "externalReference" : "floatingLegPaymentDates" + "externalReference" : "fixedLegPaymentDates" } ] } } }, "meta" : { - "globalKey" : "98870d37" + "globalKey" : "8bbba409" } } ] }, "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, "meta" : { "globalKey" : "0" @@ -1046,22 +456,22 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "add3d9e8" + "globalKey" : "9ae73d00" } }, "meta" : { - "globalKey" : "a7a790b7" + "globalKey" : "94baf3cf" } }, "meta" : { - "globalKey" : "16525813" + "globalKey" : "365bb2b" } }, "meta" : { - "globalKey" : "16525813" + "globalKey" : "365bb2b" } }, "calculationPeriodDatesAdjustments" : { @@ -1069,14 +479,14 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "add3d9e8" + "globalKey" : "9ae73d00" } }, "meta" : { - "globalKey" : "a7a790b7" + "globalKey" : "94baf3cf" } }, "calculationPeriodFrequency" : { @@ -1088,8 +498,8 @@ "rollConvention" : "28" }, "meta" : { - "globalKey" : "107f9871", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "6f7c8a1", + "externalKey" : "fixedCalcPeriodDates" } }, "paymentDates" : { @@ -1111,7 +521,7 @@ } ], "meta" : { "globalKey" : "46f4e10", - "externalKey" : "floatPrimaryBusinessCenters" + "externalKey" : "fixedPrimaryBusinessCenters" } }, "meta" : { @@ -1120,61 +530,7 @@ }, "meta" : { "globalKey" : "85edd731", - "externalKey" : "floatingLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "107f9871", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "b674cc3a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "2355f9" - } - }, - "dateRelativeTo" : { - "globalReference" : "23271b4c", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "add3d9e8" - } - }, - "meta" : { - "globalKey" : "a7a790b7" - } - }, - "meta" : { - "globalKey" : "23271b4c", - "externalKey" : "floatingLegResetDates" + "externalKey" : "fixedLegPaymentDates" } }, "cashflowRepresentation" : { @@ -1185,21 +541,13 @@ "adjustedStartDate" : "2016-09-28", "adjustedEndDate" : "2016-12-28", "meta" : { - "globalKey" : "4f0ed0f3" + "globalKey" : "b5a08ce1" }, "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-09-27", - "observedRate" : 1.34528, - "meta" : { - "globalKey" : "7918ac42" - } - } ] - } + "fixedRate" : 0.044 } ], "meta" : { - "globalKey" : "a516f80f" + "globalKey" : "53131b45" } }, { "adjustedPaymentDate" : "2017-03-28", @@ -1207,21 +555,13 @@ "adjustedStartDate" : "2016-12-28", "adjustedEndDate" : "2017-03-28", "meta" : { - "globalKey" : "5a218826" + "globalKey" : "b60d69e1" }, "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-12-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a16075" - } - } ] - } + "fixedRate" : 0.044 } ], "meta" : { - "globalKey" : "39a7f502" + "globalKey" : "235d8a85" } }, { "adjustedPaymentDate" : "2017-06-28", @@ -1229,21 +569,13 @@ "adjustedStartDate" : "2017-03-28", "adjustedEndDate" : "2017-06-28", "meta" : { - "globalKey" : "cd996766" + "globalKey" : "b8ad5ce1" }, "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-03-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a212b5" - } - } ] - } + "fixedRate" : 0.044 } ], "meta" : { - "globalKey" : "e0731502" + "globalKey" : "6d9ff4c5" } }, { "adjustedPaymentDate" : "2017-09-28", @@ -1251,393 +583,1083 @@ "adjustedStartDate" : "2017-06-28", "adjustedEndDate" : "2017-09-28", "meta" : { - "globalKey" : "c1e87de6" + "globalKey" : "b90774e1" }, "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-09-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a24135" - } - } ] - } + "fixedRate" : 0.044 } ], "meta" : { - "globalKey" : "8156c42" + "globalKey" : "b59c8405" } } ] }, "meta" : { - "globalKey" : "5fe1deb8" + "globalKey" : "cbfb0d9e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + } ], + "meta" : { + "globalKey" : "84e8fea5" + } + } + }, + "meta" : { + "globalKey" : "17d63c16" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "KRW" } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "f04dd56f" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "b1d1f8f6" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "KRW-CD-KSDA-Bloomberg" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "KRW-CD-KSDA-Bloomberg" }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "4f80e30" + "globalKey" : "aa" } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85edd731", - "externalReference" : "fixedLegPaymentDates" - } ] } } }, "meta" : { - "globalKey" : "8bbba409" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "4e901c34" + } + }, { + "price" : [ { + "value" : { + "value" : 0.044, + "unit" : { + "currency" : { + "value" : "KRW" + } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "perUnitOf" : { + "currency" : { + "value" : "KRW" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "KRW" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "62f02ec4" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC_11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "33fb1e65" + } + } ], + "tradeDate" : { + "value" : "2016-09-27", + "meta" : { + "globalKey" : "3f025b" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "999", + "meta" : { + "scheme" : "clearing_member_firms" + } + }, + "meta" : { + "globalKey" : "dd19" + } + } ], + "meta" : { + "globalKey" : "dd19", + "externalKey" : "clearing_firm" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CME" + }, + "meta" : { + "globalKey" : "1051b" + } + } ], + "meta" : { + "globalKey" : "1051b", + "externalKey" : "clearing_service" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "PLATFORM" + }, + "meta" : { + "globalKey" : "9e635873" + } + } ], + "meta" : { + "globalKey" : "9e635873", + "externalKey" : "trade_source" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "9e635873", + "externalReference" : "trade_source" + }, + "role" : "DataSubmitter", + "ownershipPartyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + } ], + "clearedDate" : "2016-09-27", + "account" : [ { + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + }, + "accountNumber" : { + "value" : "999-123", + "meta" : { + "scheme" : "clearing_firm_accounts" + } + }, + "servicingParty" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + }, + "meta" : { + "globalKey" : 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"meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "46f4e10", + "externalReference" : "fixedPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "9ae73d00" } }, "meta" : { - "globalKey" : "97f8a1a1" + "globalKey" : "94baf3cf" } }, "meta" : { - "globalKey" : "85edd731", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "365bb2b" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2016-12-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2016-12-28", - "meta" : { - "globalKey" : "b5a08ce1" - }, - "notionalAmount" : 1000000, - 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"paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" }, { - "adjustedPaymentDate" : "2017-06-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-03-28", - "adjustedEndDate" : "2017-06-28", - "meta" : { - "globalKey" : "b8ad5ce1" + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "46f4e10", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97f8a1a1" + } + }, + "meta" : { + "globalKey" : "85edd731", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2016-12-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2016-12-28", + "meta" : { + "globalKey" : "b5a08ce1" + }, + "notionalAmount" : 1000000, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "53131b45" + } + }, { + "adjustedPaymentDate" : "2017-03-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-12-28", + "adjustedEndDate" : "2017-03-28", + "meta" : { + "globalKey" : "b60d69e1" + }, + "notionalAmount" : 1000000, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "235d8a85" + } + }, { + "adjustedPaymentDate" : "2017-06-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-03-28", + "adjustedEndDate" : "2017-06-28", + "meta" : { + "globalKey" : "b8ad5ce1" + }, + "notionalAmount" : 1000000, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "6d9ff4c5" + } + }, { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-06-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "b90774e1" + }, + "notionalAmount" : 1000000, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "b59c8405" + } + } ] + }, + "meta" : { + "globalKey" : "cbfb0d9e" + } + } ], + "meta" : { + "globalKey" : "84e8fea5" + } + } + }, + "meta" : { + "globalKey" : "17d63c16" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "KRW" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "KRW-CD-KSDA-Bloomberg" }, - "notionalAmount" : 1000000, - "fixedRate" : 0.044 + "identifierType" : "Other" } ], - "meta" : { - "globalKey" : "6d9ff4c5" - } - }, { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-06-28", - "adjustedEndDate" : "2017-09-28", + "assetClass" : "InterestRate", + 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"value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "KRW-CD-KSDA-Bloomberg" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "globalKey" : "533cd7c6" - } + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "a3732dc5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.044, - "unit" : { - "currency" : { - "value" : "KRW" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "KRW" - } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "KRW" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "62f02ec4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "62f02ec4" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC_11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "33fb1e65" + } + } ], + "tradeDate" : { + "value" : "2016-09-27", + "meta" : { + "globalKey" : "3f025b" + } }, "party" : [ { "partyId" : [ { @@ -1715,22 +1737,22 @@ } } ], "meta" : { - "globalKey" : "2934a9e0" + "globalKey" : "3dd75687" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "2aa49e43" + "globalKey" : "a14ebd2a" } } ], "meta" : { - "globalKey" : "95247107" + "globalKey" : "6db99a15" } }, "previousWorkflowStep" : { - "globalReference" : "5d433e86" + "globalReference" : "4983e371" }, "messageInformation" : { "messageId" : { @@ -1825,6 +1847,6 @@ } } ], "meta" : { - "globalKey" : "7977998d" + "globalKey" : "b0b21c9b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float-func-output.json index 2b8be9ba5d..36b40d2869 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float-func-output.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369929", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401154", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401919", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401154", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369929", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "47d342c" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "meta" : { - "globalKey" : "30514076" - } - }, - "meta" : { - "globalKey" : "30514076" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,367 +82,274 @@ "globalKey" : "8d031034" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "420d0dfc", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "30514076" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "30514076" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "932f5965" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-05-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-05-02", - "meta" : { - "globalKey" : "1e163e9f" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "86fe9e9d" - } - }, { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-05-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "21105121" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "1ca750dd" - } - }, { - "adjustedPaymentDate" : "2020-05-05", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-05-05", - "meta" : { - "globalKey" : "21d832a0" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "36a4147b" - } - }, { - "adjustedPaymentDate" : "2020-11-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-05-05", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "24d2a6bc" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "c3c4ed3a" - } - }, { - "adjustedPaymentDate" : "2021-05-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-11-02", - "adjustedEndDate" : "2021-05-04", - "meta" : { - "globalKey" : "25984621" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "df74475d" - } - }, { - "adjustedPaymentDate" : "2021-11-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-05-04", - "adjustedEndDate" : "2021-11-02", - "meta" : { - "globalKey" : "2893325d" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "6e4a70db" - } - }, { - "adjustedPaymentDate" : "2022-05-03", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-11-02", - "adjustedEndDate" : "2022-05-03", - "meta" : { - "globalKey" : "29594260" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "884562fd" - } - }, { - "adjustedPaymentDate" : "2022-11-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-05-03", - "adjustedEndDate" : "2022-11-02", - "meta" : { - "globalKey" : "2c53bdfe" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "18cff47c" - } - }, { - "adjustedPaymentDate" : "2023-05-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-11-02", - "adjustedEndDate" : "2023-05-02", - "meta" : { - "globalKey" : "2d1a3e9f" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "31167e9d" - } - }, { - "adjustedPaymentDate" : "2023-11-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2023-05-02", - "adjustedEndDate" : "2023-11-02", - "meta" : { - "globalKey" : "3014499f" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02781 - } ], - "meta" : { - "globalKey" : "c355781d" - } - } ] - }, "meta" : { - "globalKey" : "aa95f2a3" + "globalKey" : "8d031034" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "420d0dfc", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-05-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-05-02", + "meta" : { + "globalKey" : "1e163e9f" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } - }, - "meta" : { - "globalKey" : "433ddd5e" - } - }, - "meta" : { - "globalKey" : "433ddd5e" - } + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "86fe9e9d" + } + }, { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-05-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "21105121" }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "1ca750dd" + } + }, { + "adjustedPaymentDate" : "2020-05-05", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-05-05", + "meta" : { + "globalKey" : "21d832a0" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "36a4147b" + } + }, { + "adjustedPaymentDate" : "2020-11-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2020-05-05", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "24d2a6bc" }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "c3c4ed3a" + } + }, { + "adjustedPaymentDate" : "2021-05-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2020-11-02", + "adjustedEndDate" : "2021-05-04", "meta" : { - "globalKey" : "4b94d289", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "globalKey" : "25984621" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "df74475d" + } + }, { + "adjustedPaymentDate" : "2021-11-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2021-05-04", + "adjustedEndDate" : "2021-11-02", + "meta" : { + "globalKey" : "2893325d" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "6e4a70db" + } + }, { + "adjustedPaymentDate" : "2022-05-03", + "calculationPeriod" : [ { + "adjustedStartDate" : "2021-11-02", + "adjustedEndDate" : "2022-05-03", + "meta" : { + "globalKey" : "29594260" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "884562fd" + } + }, { + "adjustedPaymentDate" : "2022-11-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2022-05-03", + "adjustedEndDate" : "2022-11-02", + "meta" : { + "globalKey" : "2c53bdfe" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "18cff47c" + } + }, { + "adjustedPaymentDate" : "2023-05-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2022-11-02", + "adjustedEndDate" : "2023-05-02", + "meta" : { + "globalKey" : "2d1a3e9f" }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "31167e9d" + } + }, { + "adjustedPaymentDate" : "2023-11-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2023-05-02", + "adjustedEndDate" : "2023-11-02", "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "3014499f" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02781 + } ], + "meta" : { + "globalKey" : "c355781d" + } + } ] + }, + "meta" : { + "globalKey" : "aa95f2a3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "4b94d289", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "fef3db5", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -547,1190 +365,1199 @@ } }, "meta" : { - "globalKey" : "fef3db5", - "externalKey" : "floatingLegResetDates" + "globalKey" : "433ddd5e" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-02-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-02-04", - "meta" : { - "globalKey" : "5fc4ab60" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2018-10-31", - "observedRate" : 0, - "meta" : { - "globalKey" 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{ - "rateObservation" : [ { - "adjustedFixingDate" : "2022-04-28", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a6f294" - } - } ] + "globalKey" : "7a6dbb1" } - } ], - "meta" : { - "globalKey" : "5a5e0b88" - } - }, { - "adjustedPaymentDate" : "2022-11-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-08-02", - "adjustedEndDate" : "2022-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "93ced844" + } + }, { + "adjustedPaymentDate" : "2022-08-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2022-05-03", + "adjustedEndDate" : "2022-08-02", + "meta" : { + "globalKey" : "82e7fb86" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2022-04-28", + "observedRate" : 0, "meta" : { - "globalKey" : "4250bfa4" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2022-07-29", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a709f3" - } - } ] + "globalKey" : "7a6f294" } - } ], - "meta" : { - "globalKey" : "4d1a1066" - } - }, { - "adjustedPaymentDate" : "2023-02-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-11-02", - "adjustedEndDate" : "2023-02-02", + } ] + } + } ], + "meta" : { + "globalKey" : "5a5e0b88" + } + }, { + "adjustedPaymentDate" : "2022-11-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2022-08-02", + "adjustedEndDate" : "2022-11-02", + "meta" : { + "globalKey" : "4250bfa4" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2022-07-29", + "observedRate" : 0, "meta" : { - "globalKey" : "bedada22" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2022-10-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a72171" - } - } ] + "globalKey" : "7a709f3" } - } ], - "meta" : { - "globalKey" : "532270a4" - } - }, { - "adjustedPaymentDate" : "2023-05-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2023-02-02", - "adjustedEndDate" : "2023-05-02", + } ] + } + } ], + "meta" : { + "globalKey" : "4d1a1066" + } + }, { + "adjustedPaymentDate" : "2023-02-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2022-11-02", + "adjustedEndDate" : "2023-02-02", + "meta" : { + "globalKey" : "bedada22" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2022-10-31", + "observedRate" : 0, "meta" : { - "globalKey" : "3252b962" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2023-01-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a7d3b1" - } - } ] + "globalKey" : "7a72171" } - } ], - "meta" : { - "globalKey" : "f9ed90a4" - } - }, { - "adjustedPaymentDate" : "2023-08-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2023-05-02", - "adjustedEndDate" : "2023-08-02", + } ] + } + } ], + "meta" : { + "globalKey" : "532270a4" + } + }, { + "adjustedPaymentDate" : "2023-05-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2023-02-02", + "adjustedEndDate" : "2023-05-02", + "meta" : { + "globalKey" : "3252b962" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2023-01-31", + "observedRate" : 0, "meta" : { - "globalKey" : "26a1b826" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2023-04-27", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a7ea75" - } - } ] + "globalKey" : "7a7d3b1" } - } ], - "meta" : { - "globalKey" : "218fd028" - } - }, { - "adjustedPaymentDate" : "2023-11-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2023-08-02", - "adjustedEndDate" : "2023-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "f9ed90a4" + } + }, { + "adjustedPaymentDate" : "2023-08-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2023-05-02", + "adjustedEndDate" : "2023-08-02", + "meta" : { + "globalKey" : "26a1b826" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2023-04-27", + "observedRate" : 0, "meta" : { - "globalKey" : "1af0b7e2" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2023-07-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a80231" - } - } ] + "globalKey" : "7a7ea75" } - } ], - "meta" : { - "globalKey" : "493210a4" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "7da8142d" + "globalKey" : "218fd028" } - } ], - "meta" : { - "globalKey" : "22b3bfaa" - } + }, { + "adjustedPaymentDate" : "2023-11-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2023-08-02", + "adjustedEndDate" : "2023-11-02", + "meta" : { + "globalKey" : "1af0b7e2" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2023-07-31", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a80231" + } + } ] + } + } ], + "meta" : { + "globalKey" : "493210a4" + } + } ] + }, + "meta" : { + "globalKey" : "7da8142d" } - }, + } ], "meta" : { - "globalKey" : "278354db" + "globalKey" : "22b3bfaa" } - }, - "meta" : { - "globalKey" : "278354db" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02781, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "278354db" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02781, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "8b330b0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "8b330b0" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e3836a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369929", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401154-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401154", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401919", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401154", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369929", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "47d342c" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -2391,22 +2409,22 @@ } } ], "meta" : { - "globalKey" : "541658ba" + "globalKey" : "ed0b1804" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "23d5fe9d" + "globalKey" : "52981367" } } ], "meta" : { - "globalKey" : "fd8cd9c7" + "globalKey" : "d497a50f" } }, "previousWorkflowStep" : { - "globalReference" : "317178d6" + "globalReference" : "b5c4592e" }, "messageInformation" : { "messageId" : { @@ -2504,6 +2522,6 @@ } } ], "meta" : { - "globalKey" : "aee0cda6" + "globalKey" : "dfa2c55e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule-func-output.json index fa1c0c440c..3ff851c2f2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule-func-output.json @@ -5,156 +5,67 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "16a9bd57" - } - } ], - "tradeDate" : { - "value" : "2018-04-20", - "meta" : { - "globalKey" : "3f1114" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-24", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3d250" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-24", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-04-24", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "26cfaa", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "290c8b8e" - } - }, - "meta" : { - "globalKey" : "6adaa1d" - } - }, - "meta" : { - "globalKey" : "9e865335" - } - }, - "meta" : { - "globalKey" : "9e865335" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3d250" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-04-24", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -169,945 +80,1046 @@ "globalKey" : "6adaa1d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18aba" - }, - "rollConvention" : "24" - }, "meta" : { - "globalKey" : "72919dbc", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "9e865335" } }, 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"8824fdfb" + "globalKey" : "fb6a4578" } }, "transferHistory" : [ { @@ -1244,7 +1256,7 @@ } } ], "meta" : { - "globalKey" : "e199a3fb" + "globalKey" : "bb5835e" } } } @@ -1252,249 +1264,67 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "16a9bd57" - } - } ], - "tradeDate" : { - "value" : "2018-04-20", - "meta" : { - "globalKey" : "3f1114" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-24", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-04-24", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "26cfaa", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "290c8b8e" - } - }, - "meta" : { - "globalKey" : "6adaa1d" - } - }, - "meta" : { - "globalKey" : "9e865335" - } - }, - "meta" : { - "globalKey" : "9e865335" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - 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"scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "5cf7d25b" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "price" : [ { + "value" : { + "value" : 0.015, + "unit" : { + "currency" : { + "value" : "SGD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "SGD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2800000, + "unit" : { + "currency" : { + "value" : "SGD" + } + }, + "datedValue" : [ { + "date" : "2018-04-24", + "value" : 2800000, + "meta" : { + "globalKey" : "bee4fb92" + } + }, { + "date" : "2018-10-24", + "value" : 3500000, + "meta" : { + "globalKey" : "eeacdb76" + } + }, { + "date" : "2019-04-24", + "value" : 4200000, + "meta" : { + "globalKey" : "1e75565a" + } + }, { + "date" : "2019-10-24", + "value" : 4900000, + "meta" : { + "globalKey" : "2a677133" + } + }, { + "date" : "2020-04-24", + "value" : 5600000, + "meta" : { + "globalKey" : "5a2fec17" + } + }, { + "date" : "2020-10-24", + "value" : 6300000, + "meta" : { + "globalKey" : "89f7cbfb" + } + }, { + "date" : "2021-04-24", + "value" : 7000000, + "meta" : { + "globalKey" : "b9c046df" + } + }, { + "date" : "2021-10-24", + "value" : 7700000, + "meta" : { + "globalKey" : "c5b261b8" + } + }, { + "date" : "2022-04-24", + "value" : 8400000, + "meta" : { + "globalKey" : "f57adc9c" + } + }, { + "date" : "2022-10-24", + "value" : 9100000, + "meta" : { + "globalKey" : "2542bc80" + } + }, { + "date" : "2023-04-24", + "value" : 9800000, + "meta" : { + "globalKey" : "31357259" + } + }, { + "date" : "2023-10-24", + "value" : 10500000, + "meta" : { + "globalKey" : "32189862" + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "c0ea9084" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "16a9bd57" + } + } ], + "tradeDate" : { + "value" : "2018-04-20", + "meta" : { + "globalKey" : "3f1114" + } }, "party" : [ { "partyId" : [ { @@ -2432,7 +2456,7 @@ } } ], "meta" : { - "globalKey" : "8824fdfb" + "globalKey" : "fb6a4578" } }, "state" : { @@ -2494,15 +2518,15 @@ } } ], "meta" : { - "globalKey" : "c1e88f78" + "globalKey" : "d48a221b" } } ], "meta" : { - "globalKey" : "f4d4a357" + "globalKey" : "d6e21f21" } }, "previousWorkflowStep" : { - "globalReference" : "1debf20" + "globalReference" : "7a10a56b" }, "messageInformation" : { "messageId" : { @@ -2600,6 +2624,6 @@ } } ], "meta" : { - "globalKey" : "277ca9fb" + "globalKey" : "c47b73f1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding-func-output.json index 59ecbfeed1..7a77a665ac 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding-func-output.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "package_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "position_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "16a9bd57" - } - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-07-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec508292" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-07-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-07-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "meta" : { - "globalKey" : "d04d298e" - } - }, - "meta" : { - "globalKey" : "d04d298e" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec508292" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-07-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,1474 +82,476 @@ "globalKey" : "8d031034" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f79" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "57c420e9", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "d04d298e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "d04d298e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "932f5965" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2013-10-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2013-07-26", - "adjustedEndDate" : "2013-10-28", - "meta" : { - "globalKey" : "b42c558f" - }, - "notionalAmount" : 17000000, - "fixedRate" : 0.01453 - } ], - "meta" : { - "globalKey" : "82e3ac73" - } - }, { - "adjustedPaymentDate" : "2014-01-27", - "calculationPeriod" : [ { - "adjustedStartDate" : "2013-10-28", - "adjustedEndDate" : "2014-01-27", - "meta" : { - "globalKey" : "b49a178c" - }, - "notionalAmount" : 17000000, - "fixedRate" : 0.01453 - } ], - "meta" : { - "globalKey" : "517a2811" - } - }, { - "adjustedPaymentDate" : "2014-04-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-01-27", - "adjustedEndDate" : "2014-04-28", - "meta" : { - "globalKey" : "b73999ee" - }, - "notionalAmount" : 17000000, - "fixedRate" : 0.01453 - } ], - "meta" : { - "globalKey" : "9d70fa52" - } - }, { - "adjustedPaymentDate" : "2014-07-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-04-28", - "adjustedEndDate" : "2014-07-28", - "meta" : { - "globalKey" : "b794264d" - }, - "notionalAmount" : 17000000, - "fixedRate" : 0.01453 - } ], - "meta" : { - "globalKey" : "e56dfdf1" - } - }, { - "adjustedPaymentDate" : "2014-10-27", - "calculationPeriod" : [ { - "adjustedStartDate" : 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"Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -1652,13 +565,11 @@ } }, "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { @@ -1667,7 +578,7 @@ } }, "dayCountFraction" : { - "value" : "30/360" + "value" : "ACT/360" }, "calculationPeriodDates" : { "effectiveDate" : { @@ -1695,22 +606,22 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "932f5965" + "globalKey" : "a61bf64d" } }, "meta" : { - "globalKey" : "8d031034" + "globalKey" : "9fefad1c" } }, "meta" : { - "globalKey" : "d04d298e" + "globalKey" : 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"floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-10-24", + "observedRate" : 0, "meta" : { - "globalKey" : "8b1f6f5f" - }, - "notionalAmount" : 17000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-10-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43898" - } - } ] + "globalKey" : "7a43898" } - } ], - "meta" : { - "globalKey" : "e83d66fe" - } - }, { - "adjustedPaymentDate" : "2020-07-27", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-01-27", - "adjustedEndDate" : "2020-04-27", + } ] + } + } ], + "meta" : { + "globalKey" : "e83d66fe" + } + }, { + "adjustedPaymentDate" : "2020-07-27", + "calculationPeriod" : [ { + "adjustedStartDate" : "2020-01-27", + "adjustedEndDate" : "2020-04-27", + "meta" : { + "globalKey" : "c9b1133f" + }, + "notionalAmount" : 17000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-01-23", + "observedRate" : 0, "meta" : { - "globalKey" : "c9b1133f" - }, - "notionalAmount" : 17000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-01-23", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a4eab9" - } - } ] + "globalKey" : "7a4eab9" } - }, { - "adjustedStartDate" : "2020-04-27", - "adjustedEndDate" : "2020-07-27", + } ] + } + }, { + "adjustedStartDate" : "2020-04-27", + "adjustedEndDate" : "2020-07-27", + "meta" : { + "globalKey" : "be00127f" + }, + "notionalAmount" : 17000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-04-23", + "observedRate" : 0, "meta" : { - "globalKey" : "be00127f" - }, - "notionalAmount" : 17000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-04-23", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a501f9" - } - } ] + "globalKey" : "7a501f9" } - } ], - "meta" : { - "globalKey" : "ab1bb63b" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "4af31094" + "globalKey" : "ab1bb63b" } - } ], - "meta" : { - "globalKey" : "d254e851" - } + } ] + }, + "meta" : { + "globalKey" : "4af31094" } - }, + } ], "meta" : { - "globalKey" : "3512cf80" + "globalKey" : "d254e851" } - }, - "meta" : { - "globalKey" : "3512cf80" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01453, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3512cf80" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01453, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 17000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 17000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "31579442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 17000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "31579442" + } + }, { + "quantity" : [ { + "value" : { + "value" : 17000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "f59f22c7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "1a311a1f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "package_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "position_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "16a9bd57" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -3107,22 +3125,22 @@ } } ], "meta" : { - "globalKey" : "802154d3" + "globalKey" : "d59534d7" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "79125876" + "globalKey" : "410e477a" } } ], "meta" : { - "globalKey" : "d9a4bded" + "globalKey" : "f3a23a67" } }, "previousWorkflowStep" : { - "globalReference" : "c08b1fa4" + "globalReference" : "9495b2a" }, "messageInformation" : { "messageId" : { @@ -3233,6 +3251,6 @@ } } ], "meta" : { - "globalKey" : "d6f7da42" + "globalKey" : "48540288" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub-func-output.json index e80ee3dfc0..38676e3f6e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub-func-output.json @@ -5,172 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "risk_approval_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "package_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "position_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "65f1f8fb" - } - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-24", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3d250" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-24", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-04-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "meta" : { - "globalKey" : "958930ce" - } - }, - "meta" : { - "globalKey" : "958930ce" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3d250" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-04-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -185,276 +82,276 @@ "globalKey" : "8d031034" } }, - "firstRegularPeriodStartDate" : "2018-10-26", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abc" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "bf90f9f5", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "958930ce" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "958930ce" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "932f5965" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2018-10-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-04-24", - "adjustedEndDate" : "2018-10-26", - "meta" : { - "globalKey" : "4cbf649a" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "59e5e240" - } - }, { - "adjustedPaymentDate" : "2019-04-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-10-26", - "adjustedEndDate" : "2019-04-26", - "meta" : { - "globalKey" : "4d874258" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "722dc97e" - } - }, { - "adjustedPaymentDate" : "2019-10-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-04-26", - "adjustedEndDate" : "2019-10-28", - "meta" : { - "globalKey" : "508154da" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "7d67bbe" - } - }, { - "adjustedPaymentDate" : "2020-04-27", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-10-28", - "adjustedEndDate" : "2020-04-27", - "meta" : { - "globalKey" : "51492ed7" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "1e69869c" - } - }, { - "adjustedPaymentDate" : "2020-10-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-04-27", - "adjustedEndDate" : "2020-10-26", - "meta" : { - "globalKey" : "5442c1b7" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "aef32f5d" - } - }, { - "adjustedPaymentDate" : "2021-04-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-10-26", - "adjustedEndDate" : "2021-04-26", - "meta" : { - "globalKey" : "55094258" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "c739b97e" - } - }, { - "adjustedPaymentDate" : "2021-10-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-04-26", - "adjustedEndDate" : "2021-10-26", - "meta" : { - "globalKey" : "58034d58" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "5978b2fe" - } - }, { - "adjustedPaymentDate" : "2022-04-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-10-26", - "adjustedEndDate" : "2022-04-26", - "meta" : { - "globalKey" : "58ca4258" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "71bfb17e" - } - }, { - "adjustedPaymentDate" : "2022-10-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-04-26", - "adjustedEndDate" : "2022-10-26", - "meta" : { - "globalKey" : "5bc44d58" - }, - "notionalAmount" : 700000, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "3feaafe" - } - }, { - "adjustedPaymentDate" : "2023-04-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-10-26", - "adjustedEndDate" : "2023-04-26", - "meta" : { - "globalKey" : "5c8b4258" - }, - "notionalAmount" : 700000, - 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"InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "683bc2f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "aeb15c92" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "risk_approval_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "package_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "position_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "65f1f8fb" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -2507,22 +2525,22 @@ } } ], "meta" : { - "globalKey" : "a5bd7871" + "globalKey" : "f33aa37d" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "a8340c94" + "globalKey" : "8b12a4a0" } } ], "meta" : { - "globalKey" : "d644d069" + "globalKey" : "1bf07267" } }, "previousWorkflowStep" : { - "globalReference" : "bf225a8f" + "globalReference" : "66b8ddb9" }, "messageInformation" : { "messageId" : { @@ -2633,6 +2651,6 @@ } } ], "meta" : { - "globalKey" : "5c883c67" + "globalKey" : "5e5716a9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable-func-output.json index 0cc6acc116..a6b4466585 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable-func-output.json @@ -5,253 +5,56 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "16a9bd57" - } - } ], - "tradeDate" : { - "value" : "2016-09-27", - "meta" : { - "globalKey" : "3f025b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "12bb6bdc" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1686a12c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "e7b4c96f", - "externalReference" : "fixedLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "8f0c5d76" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "9742af94" - } - }, - "meta" : { - "globalKey" : "91166663" - } - }, - "meta" : { - "globalKey" : "ffc12dbf" - } - }, - "meta" : { - "globalKey" : "ffc12dbf" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "9742af94" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7ddde0cf" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "91166663" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796d" - }, - "rollConvention" : "28" - }, - "meta" : { - "globalKey" : "15b52abb", - "externalKey" : "fixedCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "ea4ab7fc" + "globalKey" : "1686a12c" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" @@ -259,266 +62,276 @@ "value" : "USNY" } ], "meta" : { - "globalKey" : "45138fc", - "externalKey" : "fixedPrimaryBusinessCenters" + "globalKey" : "45138fc" } }, - "meta" : { - "globalKey" : "97da8c8d" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "e7b4c96f", + "externalReference" : "fixedLegPaymentDates" + } ] } - }, - "meta" : { - "globalKey" : "e7b4c96f", - "externalKey" : "fixedLegPaymentDates" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "b5bbc461" - }, - "notionalAmount" : 1000000, - "fixedRate" : 0.066 - } ], - "meta" : { - "globalKey" : "b250d385" - } - } ] - }, "meta" : { - "globalKey" : "a54cda69" + "globalKey" : "8f0c5d76" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "1f86d50a" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "23520a5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "e7b4c96f", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "9bd7c6a4" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecac8294" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "aa2f4c7c" - } - }, - "meta" : { - "globalKey" : "a403034b" - } - }, - "meta" : { - "globalKey" : "12adcaa7" - } - }, - "meta" : { - "globalKey" : "12adcaa7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "45138fc", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "aa2f4c7c" + "globalKey" : "9742af94" } }, "meta" : { - "globalKey" : "a403034b" + "globalKey" : "91166663" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796d" - }, - "rollConvention" : "28" - }, "meta" : { - "globalKey" : "1f3cfa8b", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ffc12dbf" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "ffc12dbf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "fixedPrimaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea4ab7fc" - }, - "dayType" : "Business" + "meta" : { + "globalKey" : "9742af94" + } + }, + "meta" : { + "globalKey" : "91166663" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796d" + }, + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "15b52abb", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea4ab7fc" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97da8c8d" + } + }, + "meta" : { + "globalKey" : "e7b4c96f", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "b5bbc461" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc", - "externalKey" : "floatPrimaryBusinessCenters" + "notionalAmount" : 1000000, + "fixedRate" : 0.066 + } ], + "meta" : { + "globalKey" : "b250d385" + } + } ] + }, + "meta" : { + "globalKey" : "1671db38" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "8aa949fd" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "97da8c8d" } - }, - "meta" : { - "globalKey" : "e7b4c96f", - "externalKey" : "floatingLegPaymentDates" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1f3cfa8b", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "c9b9dd8c" + "globalKey" : "23520a5a" }, - "businessDayConvention" : "PRECEDING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "225d8d" + "globalKey" : "45138fc" } }, - "dateRelativeTo" : { - "globalReference" : "764e58b3", - "externalReference" : "floatingLegResetDates" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "e7b4c96f", + "externalReference" : "floatingLegPaymentDates" + } ] } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + } + }, + "meta" : { + "globalKey" : "9bd7c6a4" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -534,149 +347,347 @@ } }, "meta" : { - "globalKey" : "764e58b3", - "externalKey" : "floatingLegResetDates" + "globalKey" : "12adcaa7" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "3cbae6c5" - }, - "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-09-28", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a24154" - } - } ] - } - } ], - "meta" : { - "globalKey" : "82e7d521" - } - } ] + "meta" : { + "globalKey" : "12adcaa7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "aa2f4c7c" + } }, "meta" : { - "globalKey" : "efb1474c" + "globalKey" : "a403034b" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796d" + }, + "rollConvention" : "28" + }, "meta" : { - "globalKey" : "b8fc88c3" + "globalKey" : "1f3cfa8b", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "ca6edd3a" - } - }, - "meta" : { - "globalKey" : "ca6edd3a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.066, - "unit" : { - "currency" : { - "value" : "INR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "INR" - } + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea4ab7fc" + }, + "dayType" : "Business" }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "INR" + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97da8c8d" } + }, + "meta" : { + "globalKey" : "e7b4c96f", + "externalKey" : "floatingLegPaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1f3cfa8b", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "c9b9dd8c" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + } ], + "meta" : { + "globalKey" : "225d8d" + } + }, + "dateRelativeTo" : { + "globalReference" : "764e58b3", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "aa2f4c7c" + } + }, + "meta" : { + "globalKey" : "a403034b" + } + }, + "meta" : { + "globalKey" : "764e58b3", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "3cbae6c5" + }, + "notionalAmount" : 1000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2017-09-28", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a24154" + } + } ] + } + } ], + "meta" : { + "globalKey" : "82e7d521" + } } ] + }, + "meta" : { + "globalKey" : "9d8fda61" } } ], "meta" : { - "globalKey" : "bb444747" + "globalKey" : "1689d99" } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "INR" - } + } + }, + "meta" : { + "globalKey" : "7f97b050" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.066, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "globalKey" : "d70da84b" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "INR" + } } }, "meta" : { - "globalKey" : "f651ac0f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" + } ], + "meta" : { + "globalKey" : "bb444747" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "22aaee27" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "16a9bd57" + } + } ], + "tradeDate" : { + "value" : "2016-09-27", + "meta" : { + "globalKey" : "3f025b" + } }, "party" : [ { "partyId" : [ { @@ -754,11 +765,11 @@ } } ], "meta" : { - "globalKey" : "d1011c1f" + "globalKey" : "caa1f0a9" } }, "meta" : { - "globalKey" : "d1011c1f" + "globalKey" : "caa1f0a9" } } } @@ -766,253 +777,56 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "16a9bd57" - } - } ], - "tradeDate" : { - "value" : "2016-09-27", - "meta" : { - "globalKey" : "3f025b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "12bb6bdc" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1686a12c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "e7b4c96f", - "externalReference" : "fixedLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "8f0c5d76" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "9742af94" - } - }, - "meta" : { - "globalKey" : "91166663" - } - }, - "meta" : { - "globalKey" : "ffc12dbf" - } - }, - "meta" : { - "globalKey" : "ffc12dbf" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "9742af94" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7ddde0cf" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "91166663" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796d" - }, - "rollConvention" : "28" - }, - "meta" : { - "globalKey" : "15b52abb", - "externalKey" : "fixedCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "ea4ab7fc" + "globalKey" : "1686a12c" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" @@ -1020,266 +834,276 @@ "value" : "USNY" } ], "meta" : { - "globalKey" : "45138fc", - "externalKey" : "fixedPrimaryBusinessCenters" + "globalKey" : "45138fc" } }, - "meta" : { - "globalKey" : "97da8c8d" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "e7b4c96f", + "externalReference" : "fixedLegPaymentDates" + } ] } - }, - "meta" : { - "globalKey" : "e7b4c96f", - "externalKey" : "fixedLegPaymentDates" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "b5bbc461" - }, - "notionalAmount" : 1000000, - "fixedRate" : 0.066 - } ], - "meta" : { - "globalKey" : "b250d385" - } - } ] - }, "meta" : { - "globalKey" : "a54cda69" + "globalKey" : "8f0c5d76" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "1f86d50a" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "23520a5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "e7b4c96f", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "9bd7c6a4" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecac8294" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "aa2f4c7c" - } - }, - "meta" : { - "globalKey" : "a403034b" - } - }, - "meta" : { - "globalKey" : "12adcaa7" - } - }, - "meta" : { - "globalKey" : "12adcaa7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "45138fc", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "aa2f4c7c" + "globalKey" : "9742af94" } }, "meta" : { - "globalKey" : "a403034b" + "globalKey" : "91166663" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796d" - }, - "rollConvention" : "28" - }, "meta" : { - "globalKey" : "1f3cfa8b", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ffc12dbf" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "ffc12dbf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "fixedPrimaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea4ab7fc" - }, - "dayType" : "Business" + "meta" : { + "globalKey" : "9742af94" + } + }, + "meta" : { + "globalKey" : "91166663" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796d" + }, + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "15b52abb", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea4ab7fc" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97da8c8d" + } + }, + "meta" : { + "globalKey" : "e7b4c96f", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "b5bbc461" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc", - "externalKey" : "floatPrimaryBusinessCenters" + "notionalAmount" : 1000000, + "fixedRate" : 0.066 + } ], + "meta" : { + "globalKey" : "b250d385" + } + } ] + }, + "meta" : { + "globalKey" : "1671db38" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "8aa949fd" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "97da8c8d" } - }, - "meta" : { - "globalKey" : "e7b4c96f", - "externalKey" : "floatingLegPaymentDates" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1f3cfa8b", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "c9b9dd8c" + "globalKey" : "23520a5a" }, - "businessDayConvention" : "PRECEDING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "225d8d" + "globalKey" : "45138fc" } }, - "dateRelativeTo" : { - "globalReference" : "764e58b3", - "externalReference" : "floatingLegResetDates" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "e7b4c96f", + "externalReference" : "floatingLegPaymentDates" + } ] } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + } + }, + "meta" : { + "globalKey" : "9bd7c6a4" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1295,149 +1119,347 @@ } }, "meta" : { - "globalKey" : "764e58b3", - "externalKey" : "floatingLegResetDates" + "globalKey" : "12adcaa7" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "3cbae6c5" - }, - "notionalAmount" : 1000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-09-28", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a24154" - } - } ] - } - } ], - "meta" : { - "globalKey" : "82e7d521" - } - } ] + "meta" : { + "globalKey" : "12adcaa7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "aa2f4c7c" + } }, "meta" : { - "globalKey" : "efb1474c" + "globalKey" : "a403034b" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796d" + }, + "rollConvention" : "28" + }, "meta" : { - "globalKey" : "b8fc88c3" + "globalKey" : "1f3cfa8b", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "ca6edd3a" - } - }, - "meta" : { - "globalKey" : "ca6edd3a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.066, - "unit" : { - "currency" : { - "value" : "INR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "INR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea4ab7fc" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97da8c8d" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e7b4c96f", + "externalKey" : "floatingLegPaymentDates" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "INR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1f3cfa8b", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "c9b9dd8c" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + } ], + "meta" : { + "globalKey" : "225d8d" + } + }, + "dateRelativeTo" : { + "globalReference" : "764e58b3", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "aa2f4c7c" + } + }, + "meta" : { + "globalKey" : "a403034b" } + }, + "meta" : { + "globalKey" : "764e58b3", + "externalKey" : "floatingLegResetDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "3cbae6c5" + }, + "notionalAmount" : 1000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2017-09-28", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a24154" + } + } ] + } + } ], + "meta" : { + "globalKey" : "82e7d521" + } } ] + }, + "meta" : { + "globalKey" : "9d8fda61" } } ], "meta" : { - "globalKey" : "bb444747" + "globalKey" : "1689d99" } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "INR" - } + } + }, + "meta" : { + "globalKey" : "7f97b050" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.066, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "globalKey" : "d70da84b" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "INR" + } } }, "meta" : { - "globalKey" : "f651ac0f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" + } ], + "meta" : { + "globalKey" : "bb444747" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "22aaee27" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "16a9bd57" + } + } ], + "tradeDate" : { + "value" : "2016-09-27", + "meta" : { + "globalKey" : "3f025b" + } }, "party" : [ { "partyId" : [ { @@ -1515,22 +1537,22 @@ } } ], "meta" : { - "globalKey" : "d1011c1f" + "globalKey" : "caa1f0a9" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "111d7cc2" + "globalKey" : "25db56cc" } } ], "meta" : { - "globalKey" : "1435d745" + "globalKey" : "53649fa7" } }, "previousWorkflowStep" : { - "globalReference" : "60a28911" + "globalReference" : "7a59885f" }, "messageInformation" : { "messageId" : { @@ -1625,6 +1647,6 @@ } } ], "meta" : { - "globalKey" : "2c4e0242" + "globalKey" : "1c6540a4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI-func-output.json index 49da1a1c1f..079d8b4583 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI-func-output.json @@ -5,252 +5,56 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "risk_approval_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "16a9bd57" - } - } ], - "tradeDate" : { - "value" : "2015-05-20", - "meta" : { - "globalKey" : "3ef954" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "e54a07e5" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "79e4d95b" - }, - "dayType" : "Business", - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "500aa139", - "externalReference" : "floatingLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "4cd56d7f" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "CAL/252" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec8a9b8c" - } - }, - "meta" : { - "globalKey" : "ec8a9b8c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "a97eaa5a" - } - }, - "meta" : { - "globalKey" : "500aa139" - } - }, - "meta" : { - "globalKey" : "500aa139", - "externalKey" : "floatingLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1f3c92", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "2821bba6" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "83e2c2d8" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "404a18de" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "40fe2048", - "externalKey" : "floatingCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -1, "period" : "D", "meta" : { - "globalKey" : "ea4abbbd" + "globalKey" : "79e4d95b" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" @@ -261,285 +65,284 @@ "globalKey" : "3f03a97" } }, + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "500aa139", + "externalReference" : "floatingLegTerminationDate" + } ] + } + } + }, + "meta" : { + "globalKey" : "4cd56d7f" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "da1616c6" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "75aaa442", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "ec8a9b8c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "40fe2048", - "externalReference" : "floatingCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "16b5d1dc" - }, + "meta" : { + "globalKey" : "ec8a9b8c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-07-01", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" } ], "meta" : { - "globalKey" : "1f3c92" - } - }, - "dateRelativeTo" : { - "globalReference" : "c5bf9be6", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1f3c92", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "2821bba6" + "globalKey" : "1f3c92", + "externalKey" : "floatPrimaryBusinessCenters" } }, "meta" : { - "globalKey" : "404a18de" + "globalKey" : "a97eaa5a" } }, "meta" : { - "globalKey" : "c5bf9be6", - "externalKey" : "floatingLegResetDates" + "globalKey" : "500aa139" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2015-07-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-05-20", - "adjustedEndDate" : "2015-07-01", - "meta" : { - "globalKey" : "5106fb84" - }, - "notionalAmount" : 9856218.36, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2015-06-30", - "observedRate" : 0, - "observationWeight" : 1, - "meta" : { - "globalKey" : "ec670fef" - } - } ] - } - } ], - "meta" : { - "globalKey" : "4537dc02" - } - } ] - }, "meta" : { - "globalKey" : "8d61e3db" + "globalKey" : "500aa139", + "externalKey" : "floatingLegTerminationDate" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "futureValueNotional" : { - "quantity" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "currency" : { - "value" : "BRL" - }, - "calculationPeriodNumberOfDays" : 29, - "valueDate" : "2015-06-30" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1f3c92", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "407701d" + "globalKey" : "2821bba6" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "fa2527d3" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "8ebff949" - }, - "dayType" : "Business", - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "c7a84f60", - "externalReference" : "fixedLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "61b08d6d" - } - } ] + "meta" : { + "globalKey" : "404a18de" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "40fe2048", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3f03a97" } }, - "dayCountFraction" : { - "value" : "CAL/252" + "meta" : { + "globalKey" : "da1616c6" + } + }, + "meta" : { + "globalKey" : "75aaa442", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "40fe2048", + "externalReference" : "floatingCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "16b5d1dc" + }, + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec8a9b8c" - } - }, - "meta" : { - "globalKey" : "ec8a9b8c" - } + "dateRelativeTo" : { + "globalReference" : "c5bf9be6", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1f3c92", + "externalReference" : "floatPrimaryBusinessCenters" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-07-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "meta" : { - "globalKey" : "c7a84f60" - } - }, - "meta" : { - "globalKey" : "c7a84f60", - "externalKey" : "fixedLegTerminationDate" - } + "meta" : { + "globalKey" : "2821bba6" + } + }, + "meta" : { + "globalKey" : "404a18de" + } + }, + "meta" : { + "globalKey" : "c5bf9be6", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-07-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-05-20", + "adjustedEndDate" : "2015-07-01", + "meta" : { + "globalKey" : "5106fb84" }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1f3c92", - "externalReference" : "fixedPrimaryBusinessCenters" - }, + "notionalAmount" : 9856218.36, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2015-06-30", + "observedRate" : 0, + "observationWeight" : 1, "meta" : { - "globalKey" : "15351ebe" + "globalKey" : "ec670fef" } - }, - "meta" : { - "globalKey" : "2d5d7bf6" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "3978e307", - "externalKey" : "fixedCalcPeriodDates" + } ] + } + } ], + "meta" : { + "globalKey" : "4537dc02" + } + } ] + }, + "meta" : { + "globalKey" : "15fba96c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "futureValueNotional" : { + "quantity" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" + "currency" : { + "value" : "BRL" + }, + "calculationPeriodNumberOfDays" : 29, + "valueDate" : "2015-06-30" + }, + "meta" : { + "globalKey" : "407701d" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "98bde2c6" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" + } } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, + } + }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -1, "period" : "D", "meta" : { - "globalKey" : "ea4abbbd" + "globalKey" : "8ebff949" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" @@ -550,187 +353,395 @@ "globalKey" : "3f03a97" } }, - "meta" : { - "globalKey" : "da1616c6" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "c7a84f60", + "externalReference" : "fixedLegTerminationDate" + } ] } - }, - "meta" : { - "globalKey" : "75aaa442", - "externalKey" : "fixedLegPaymentDates" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2015-07-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-05-20", - "adjustedEndDate" : "2015-07-01", - "meta" : { - "globalKey" : "bfaee0f6" - }, - "notionalAmount" : 9856218.36, - "fixedRate" : 0.1323 - } ], - "meta" : { - "globalKey" : "67efb074" + "meta" : { + "globalKey" : "61b08d6d" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - } ] + } }, "meta" : { - "globalKey" : "6e9ef1f5" - } - } ], - "meta" : { - "globalKey" : "de555cd0" - } - } - }, - "meta" : { - "globalKey" : "42d04ba0" - } - }, - "meta" : { - "globalKey" : "42d04ba0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 9856218.36, - "unit" : { - "currency" : { - "value" : "BRL" + "globalKey" : "0" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec8a9b8c" + } + }, + "meta" : { + "globalKey" : "ec8a9b8c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-07-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "211c5881" + } + }, + "meta" : { + "globalKey" : "c7a84f60" + } + }, + "meta" : { + "globalKey" : "c7a84f60", + "externalKey" : "fixedLegTerminationDate" } }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1f3c92", + "externalReference" : "fixedPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "15351ebe" + } + }, + "meta" : { + "globalKey" : "2d5d7bf6" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "3978e307", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "40d7115b" - } - }, - "meta" : { - "globalKey" : "4d0f7677" - } - }, { - "price" : [ { - "value" : { - "value" : 0.1323, - "unit" : { - "currency" : { - "value" : "BRL" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" } }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3f03a97" + } + }, + "meta" : { + "globalKey" : "da1616c6" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "75aaa442", + "externalKey" : "fixedLegPaymentDates" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-07-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-05-20", + "adjustedEndDate" : "2015-07-01", + "meta" : { + "globalKey" : "bfaee0f6" + }, + "notionalAmount" : 9856218.36, + "fixedRate" : 0.1323 + } ], + "meta" : { + "globalKey" : "67efb074" + } } ] + }, + "meta" : { + "globalKey" : "52fdef60" } } ], - "quantity" : [ { - "value" : { - "value" : 9856218.36, - "unit" : { - "currency" : { - "value" : "BRL" - } + "meta" : { + "globalKey" : "4fa6d774" + } + } + }, + "meta" : { + "globalKey" : "81215244" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 9856218.36, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 9998162.07, - "unit" : { - "currency" : { - "value" : "BRL" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "4acc5833" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" + }, + "meta" : { + "globalKey" : "ada65945" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "999", + "price" : [ { + "value" : { + "value" : 0.1323, + "unit" : { + "currency" : { + "value" : "BRL" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "BRL" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "scheme" : "clearing_member_firms" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, + } ], + "quantity" : [ { + "value" : { + "value" : 9856218.36, + "unit" : { + "currency" : { + "value" : "BRL" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 9998162.07, + "unit" : { + "currency" : { + "value" : "BRL" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], "meta" : { - "globalKey" : "dd19" + "globalKey" : "4acc5833" } - } ], - "meta" : { - "globalKey" : "dd19", - "externalKey" : "clearing_firm" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" } }, { - "partyId" : [ { - "identifier" : { - "value" : "CME" - }, + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", "meta" : { - "globalKey" : "1051b" + "scheme" : "cftc_Namespace" } - } ], + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "risk_approval_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "16a9bd57" + } + } ], + "tradeDate" : { + "value" : "2015-05-20", + "meta" : { + "globalKey" : "3ef954" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "999", + "meta" : { + "scheme" : "clearing_member_firms" + } + }, + "meta" : { + "globalKey" : "dd19" + } + } ], + "meta" : { + "globalKey" : "dd19", + "externalKey" : "clearing_firm" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CME" + }, + "meta" : { + "globalKey" : "1051b" + } + } ], "meta" : { "globalKey" : "1051b", "externalKey" : "clearing_service" @@ -782,11 +793,11 @@ } } ], "meta" : { - "globalKey" : "f36f84ae" + "globalKey" : "e8dd1c" } }, "meta" : { - "globalKey" : "f36f84ae" + "globalKey" : "e8dd1c" } } } @@ -794,541 +805,344 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : 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"productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "83e2c2d8" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" + } } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "e54a07e5" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "79e4d95b" }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "79e4d95b" - }, - "dayType" : "Business", - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "500aa139", - "externalReference" : "floatingLegTerminationDate" - } ] - } + "dayType" : "Business", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3f03a97" } }, - "meta" : { - "globalKey" : "4cd56d7f" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "500aa139", + "externalReference" : "floatingLegTerminationDate" + } ] } - } ] + } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "4cd56d7f" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + 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: { + "businessCenter" : [ { + "value" : "BRBD" + } ], "meta" : { - "globalKey" : "bfaee0f6" - }, - "notionalAmount" : 9856218.36, - "fixedRate" : 0.1323 - } ], + "globalKey" : "1f3c92", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, "meta" : { - "globalKey" : "67efb074" + "globalKey" : "211c5881" } - } ] + }, + "meta" : { + "globalKey" : "c7a84f60" + } }, "meta" : { - "globalKey" : "6e9ef1f5" + "globalKey" : "c7a84f60", + "externalKey" : "fixedLegTerminationDate" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1f3c92", + "externalReference" : "fixedPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "15351ebe" + } + }, + "meta" : { + "globalKey" : "2d5d7bf6" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "3978e307", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3f03a97" + } + }, + "meta" : { + "globalKey" : "da1616c6" + } + }, "meta" : { - "globalKey" : "de555cd0" + "globalKey" : "75aaa442", + "externalKey" : "fixedLegPaymentDates" } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-07-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-05-20", + "adjustedEndDate" : "2015-07-01", + "meta" : { + "globalKey" : "bfaee0f6" + }, + "notionalAmount" : 9856218.36, + "fixedRate" : 0.1323 + } ], + "meta" : { + "globalKey" : "67efb074" + } + } ] + }, + "meta" : { + "globalKey" : "52fdef60" } - }, + } ], "meta" : { - "globalKey" : "42d04ba0" + "globalKey" : "4fa6d774" } - }, - "meta" : { - "globalKey" : "42d04ba0" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 9856218.36, - "unit" : { - "currency" : { - "value" : "BRL" - } + "meta" : { + "globalKey" : "81215244" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 9856218.36, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "40d7115b" } }, "meta" : { - "globalKey" : "4d0f7677" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.1323, - "unit" : { - "currency" : { - "value" : "BRL" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "ada65945" + } + }, { + "price" : [ { + "value" : { + "value" : 0.1323, + "unit" : { + "currency" : { + "value" : "BRL" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9856218.36, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9856218.36, + "unit" : { + "currency" : { + "value" : "BRL" + } } - }, { - "value" : { - "value" : 9998162.07, - "unit" : { - "currency" : { - "value" : "BRL" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 9998162.07, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "4acc5833" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "4acc5833" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "risk_approval_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "16a9bd57" + } + } ], + "tradeDate" : { + "value" : "2015-05-20", + "meta" : { + "globalKey" : "3ef954" + } }, "party" : [ { "partyId" : [ { @@ -1571,22 +1593,22 @@ } } ], "meta" : { - "globalKey" : "f36f84ae" + "globalKey" : "e8dd1c" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "5193fd91" + "globalKey" : "e618f27f" } } ], "meta" : { - "globalKey" : "e019bac7" + "globalKey" : "cff86b3f" } }, "previousWorkflowStep" : { - "globalReference" : "40778579" + "globalReference" : "b628269f" }, "messageInformation" : { "messageId" : { @@ -1681,6 +1703,6 @@ } } ], "meta" : { - "globalKey" : "20787113" + "globalKey" : "62fb498b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero-func-output.json index 34c4faa8e3..74e8884e30 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero-func-output.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369921", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401224-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401224", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401813", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401224", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369921", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "5c388f01" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "meta" : { - "globalKey" : "99f92076" - } - }, - "meta" : { - "globalKey" : "99f92076" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,241 +82,148 @@ "globalKey" : "8d031034" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "38917795", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "99f92076" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "99f92076" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "932f5965" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd103" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02178 - } ], - "meta" : { - "globalKey" : "19b2d0bf" - } - } ] - }, "meta" : { - "globalKey" : "f76edfa7" + "globalKey" : "8d031034" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "38917795", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } - }, - "meta" : { - "globalKey" : "ace5bd5e" - } - }, - "meta" : { - "globalKey" : "ace5bd5e" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd103" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, - "meta" : { - "globalKey" : "41f4b289", - "externalKey" : "floatingCalcPeriodDates" + "notionalAmount" : 100000000, + "fixedRate" : 0.02178 + } ], + "meta" : { + "globalKey" : "19b2d0bf" + } + } ] + }, + "meta" : { + "globalKey" : "f76edfa7" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "ecea117a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "41f4b289", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "db2b5db5", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -421,209 +239,400 @@ } }, "meta" : { - "globalKey" : "db2b5db5", - "externalKey" : "floatingLegResetDates" + "globalKey" : "ace5bd5e" } }, - "compoundingMethod" : "Straight", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-02-04", - "meta" : { - "globalKey" : "5fc4ab60" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2018-10-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a34171" - } - } ] - } - }, { - "adjustedStartDate" : "2019-02-04", - "adjustedEndDate" : "2019-05-02", - "meta" : { - "globalKey" : "399f4fe4" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-01-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a3f3b1" - } - } ] - } - }, { - "adjustedStartDate" : "2019-05-02", - "adjustedEndDate" : "2019-08-02", - "meta" : { - "globalKey" : "c421d883" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-04-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a40ad2" - } - } ] - } - }, { - "adjustedStartDate" : "2019-08-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "bbda8920" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-07-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a42231" - } - } ] - } - } ], - "meta" : { - "globalKey" : "ca509385" - } - } ] + "meta" : { + "globalKey" : "ace5bd5e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "a61bf64d" + } }, "meta" : { - "globalKey" : "d73c4b1c" + "globalKey" : "9fefad1c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "83577383" + "globalKey" : "41f4b289", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "f317a653" - } - }, - "meta" : { - "globalKey" : "f317a653" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02178, - "unit" : { - "currency" : { - "value" : "USD" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97b8e49c" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "479b170e" - } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "floatingLegPaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "41f4b289", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "db2b5db5", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "a61bf64d" } + }, + "meta" : { + "globalKey" : "9fefad1c" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "db2b5db5", + "externalKey" : "floatingLegResetDates" } }, - "meta" : { - "globalKey" : "828026c7" - } - }, - "meta" : { - "globalKey" : "5332091c" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { + "compoundingMethod" : "Straight", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-02-04", + "meta" : { + "globalKey" : "5fc4ab60" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2018-10-31", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a34171" + } + } ] + } + }, { + "adjustedStartDate" : "2019-02-04", + "adjustedEndDate" : "2019-05-02", + "meta" : { + "globalKey" : "399f4fe4" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-01-31", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a3f3b1" + } + } ] + } + }, { + "adjustedStartDate" : "2019-05-02", + "adjustedEndDate" : "2019-08-02", + "meta" : { + "globalKey" : "c421d883" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-04-30", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a40ad2" + } + } ] + } + }, { + "adjustedStartDate" : "2019-08-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "bbda8920" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-07-31", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a42231" + } + } ] + } + } ], + "meta" : { + "globalKey" : "ca509385" + } + } ] + }, + "meta" : { + "globalKey" : "d73c4b1c" + } + } ], + "meta" : { + "globalKey" : "83577383" + } + } + }, + "meta" : { + "globalKey" : "f317a653" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02178, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "479b170e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e3836a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369921", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401224-2", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401224", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401813", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401224", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369921", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "5c388f01" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { "value" : "010", "meta" : { "scheme" : "clearing_member_firms" @@ -697,11 +706,11 @@ } } ], "meta" : { - "globalKey" : "13613b35" + "globalKey" : "e0fcb5ff" } }, "meta" : { - "globalKey" : "13613b35" + "globalKey" : "e0fcb5ff" } } } @@ -709,158 +718,69 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369921", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401224-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401224", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401813", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401224", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369921", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "5c388f01" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "meta" : { - "globalKey" : "99f92076" - } - }, - "meta" : { - "globalKey" : "99f92076" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -875,455 +795,553 @@ "globalKey" : "8d031034" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" + "meta" : { + "globalKey" : "99f92076" + } + }, + "meta" : { + "globalKey" : "99f92076" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "38917795", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "932f5965" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "8d031034" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "38917795", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd103" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02178 + } ], + "meta" : { + "globalKey" : "19b2d0bf" + } + } ] + }, + "meta" : { + "globalKey" : "f76edfa7" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" + }, "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" + "globalKey" : "a61bf64d" } }, "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "9fefad1c" } }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "ace5bd5e" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd103" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02178 - } ], - "meta" : { - "globalKey" : "19b2d0bf" - } - } ] - }, "meta" : { - "globalKey" : "f76edfa7" + "globalKey" : "ace5bd5e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "a61bf64d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "9fefad1c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "41f4b289", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "floatPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "41f4b289", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } - }, - "meta" : { - "globalKey" : "ace5bd5e" - } - }, - "meta" : { - "globalKey" : "ace5bd5e" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "41f4b289", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "21479e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "dateRelativeTo" : { + "globalReference" : "db2b5db5", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "a61bf64d" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "41f4b289", - "externalReference" : "floatingCalcPeriodDates" + "meta" : { + "globalKey" : "9fefad1c" + } + }, + "meta" : { + "globalKey" : "db2b5db5", + "externalKey" : "floatingLegResetDates" + } + }, + "compoundingMethod" : "Straight", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-02-04", + "meta" : { + "globalKey" : "5fc4ab60" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2018-10-31", + "observedRate" : 0, "meta" : { - "globalKey" : "21479e" + "globalKey" : "7a34171" } - }, - "dateRelativeTo" : { - "globalReference" : "db2b5db5", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } ] + } + }, { + "adjustedStartDate" : "2019-02-04", + "adjustedEndDate" : "2019-05-02", + "meta" : { + "globalKey" : "399f4fe4" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-01-31", + "observedRate" : 0, "meta" : { - "globalKey" : "a61bf64d" + "globalKey" : "7a3f3b1" } - }, - "meta" : { - "globalKey" : "9fefad1c" - } - }, - "meta" : { - "globalKey" : "db2b5db5", - "externalKey" : "floatingLegResetDates" + } ] } - }, - "compoundingMethod" : "Straight", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-02-04", - "meta" : { - "globalKey" : "5fc4ab60" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2018-10-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a34171" - } - } ] - } - }, { - "adjustedStartDate" : "2019-02-04", - "adjustedEndDate" : "2019-05-02", - "meta" : { - "globalKey" : "399f4fe4" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-01-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a3f3b1" - } - } ] - } - }, { - "adjustedStartDate" : "2019-05-02", - "adjustedEndDate" : "2019-08-02", + }, { + "adjustedStartDate" : "2019-05-02", + "adjustedEndDate" : "2019-08-02", + "meta" : { + "globalKey" : "c421d883" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-04-30", + "observedRate" : 0, "meta" : { - "globalKey" : "c421d883" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-04-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a40ad2" - } - } ] + "globalKey" : "7a40ad2" } - }, { - "adjustedStartDate" : "2019-08-02", - "adjustedEndDate" : "2019-11-04", + } ] + } + }, { + "adjustedStartDate" : "2019-08-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "bbda8920" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-07-31", + "observedRate" : 0, "meta" : { - "globalKey" : "bbda8920" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-07-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a42231" - } - } ] + "globalKey" : "7a42231" } - } ], - "meta" : { - "globalKey" : "ca509385" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "d73c4b1c" + "globalKey" : "ca509385" } - } ], - "meta" : { - "globalKey" : "83577383" - } + } ] + }, + "meta" : { + "globalKey" : "d73c4b1c" } - }, + } ], "meta" : { - "globalKey" : "f317a653" + "globalKey" : "83577383" } - }, - "meta" : { - "globalKey" : "f317a653" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02178, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f317a653" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02178, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "479b170e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "479b170e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "828026c7" } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e3836a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369921", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401224-2", + "meta" : { + "scheme" : "client_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401224", + "meta" : { + "scheme" : "platform_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401813", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401224", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369921", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "5c388f01" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1401,22 +1419,22 @@ } } ], "meta" : { - "globalKey" : "13613b35" + "globalKey" : "e0fcb5ff" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "3bf22e58" + "globalKey" : "109a1ea2" } } ], "meta" : { - "globalKey" : "9c1bb3e7" + "globalKey" : "2d2c4ac5" } }, "previousWorkflowStep" : { - "globalReference" : "f8a8331" + "globalReference" : "2e6dbbd3" }, "messageInformation" : { "messageId" : { @@ -1514,6 +1532,6 @@ } } ], "meta" : { - "globalKey" : "64243fc7" + "globalKey" : "57d54a29" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex09-OIS-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex09-OIS-func-output.json index 1ee5c67de4..233b9f11b2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex09-OIS-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex09-OIS-func-output.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369935", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400962-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400962", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402071", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43400962", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369935", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "68ff35bc" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "16418147" - } - }, - "meta" : { - "globalKey" : "f3e29fd6" - } - }, - "meta" : { - "globalKey" : "b7bbe098" - } - }, - "meta" : { - "globalKey" : "b7bbe098" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,266 +82,168 @@ "globalKey" : "f3e29fd6" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "990b80ef", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "b7bbe098" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "b7bbe098" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "16418147" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd427" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02226 - } ], - "meta" : { - "globalKey" : "1d1c8521" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "21ddb563" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02226 - } ], - "meta" : { - "globalKey" : "c439ad1f" - } - } ] + "meta" : { + "globalKey" : "f3e29fd6" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "990b80ef", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "d83928d7" + "globalKey" : "78" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "27e4e9", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "meta" : { - "globalKey" : "caa87d80" - } - }, - "meta" : { - "globalKey" : "caa87d80" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd427" }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02226 + } ], + "meta" : { + "globalKey" : "1d1c8521" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", "meta" : { - "globalKey" : "8afeabf", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "21ddb563" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02226 + } ], + "meta" : { + "globalKey" : "c439ad1f" + } + } ] + }, + "meta" : { + "globalKey" : "d83928d7" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "ecea117a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8afeabf", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "3a152b7e", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -446,171 +259,367 @@ } }, "meta" : { - "globalKey" : "3a152b7e", - "externalKey" : "floatingLegResetDates" + "globalKey" : "caa87d80" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "36ad0d3e" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43d8f" - } - } ] - } - } ], - "meta" : { - "globalKey" : "28200204" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "75afc645" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-10-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53152" - } - } ] - } - } ], - "meta" : { - "globalKey" : "6211e509" - } - } ] + "meta" : { + "globalKey" : "caa87d80" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "292e1e2f" + } }, "meta" : { - "globalKey" : "602ba83a" + "globalKey" : "6cf3cbe" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "9f6aad1" + "globalKey" : "8afeabf", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "5d129f3a" - } - }, - "meta" : { - "globalKey" : "5d129f3a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02226, - "unit" : { - "currency" : { - "value" : "USD" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "b5b7e76a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8afeabf", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de7afde8" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "3a152b7e", + "externalReference" : "floatingLegResetDates" } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "84eae1d7" - } - }, - "meta" : { - "globalKey" : "36f327a2" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "292e1e2f" + } + }, + "meta" : { + "globalKey" : "6cf3cbe" + } + }, + "meta" : { + "globalKey" : "3a152b7e", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "36ad0d3e" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-11-01", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a43d8f" + } + } ] + } + } ], + "meta" : { + "globalKey" : "28200204" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "75afc645" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-10-30", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a53152" + } + } ] + } + } ], + "meta" : { + "globalKey" : "6211e509" + } + } ] + }, + "meta" : { + "globalKey" : "602ba83a" + } + } ], + "meta" : { + "globalKey" : "9f6aad1" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" + } + }, + "meta" : { + "globalKey" : "5d129f3a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02226, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b5b7e76a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f7ea09fc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369935", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43400962-2", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "43400962", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402071", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43400962", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369935", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "68ff35bc" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -688,11 +697,11 @@ } } ], "meta" : { - "globalKey" : "9f98b96b" + "globalKey" : "b931a1dd" } }, "meta" : { - "globalKey" : "9f98b96b" + "globalKey" : "b931a1dd" } } } @@ -700,158 +709,69 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369935", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400962-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400962", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402071", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43400962", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369935", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "68ff35bc" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "16418147" - } - }, - "meta" : { - "globalKey" : "f3e29fd6" - } - }, - "meta" : { - "globalKey" : "b7bbe098" - } - }, - "meta" : { - "globalKey" : "b7bbe098" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -866,446 +786,544 @@ "globalKey" : "f3e29fd6" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" + "meta" : { + "globalKey" : "b7bbe098" + } + }, + "meta" : { + "globalKey" : "b7bbe098" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "990b80ef", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "16418147" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "f3e29fd6" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "990b80ef", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "fixedPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd427" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", + "notionalAmount" : 100000000, + "fixedRate" : 0.02226 + } ], + "meta" : { + "globalKey" : "1d1c8521" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "21ddb563" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02226 + } ], + "meta" : { + "globalKey" : "c439ad1f" + } + } ] + }, + "meta" : { + "globalKey" : "d83928d7" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" + "globalKey" : "24a738" + } }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" + }, "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "fixedPrimaryBusinessCenters" + "globalKey" : "292e1e2f" } }, "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "6cf3cbe" } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "caa87d80" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd427" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02226 - } ], - "meta" : { - "globalKey" : "1d1c8521" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "21ddb563" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02226 - } ], - "meta" : { - "globalKey" : "c439ad1f" - } - } ] - }, "meta" : { - "globalKey" : "d83928d7" + "globalKey" : "caa87d80" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "292e1e2f" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "6cf3cbe" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "8afeabf", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8afeabf", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de7afde8" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "meta" : { - "globalKey" : "caa87d80" - } - }, - "meta" : { - "globalKey" : "caa87d80" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "8afeabf", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "27e4e9" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "dateRelativeTo" : { + "globalReference" : "3a152b7e", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "292e1e2f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8afeabf", - "externalReference" : "floatingCalcPeriodDates" + "meta" : { + "globalKey" : "6cf3cbe" + } + }, + "meta" : { + "globalKey" : "3a152b7e", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "36ad0d3e" }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-11-01", + "observedRate" : 0, "meta" : { - "globalKey" : "27e4e9" + "globalKey" : "7a43d8f" } - }, - "dateRelativeTo" : { - "globalReference" : "3a152b7e", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + } ] + } + } ], + "meta" : { + "globalKey" : "28200204" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "75afc645" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-10-30", + "observedRate" : 0, "meta" : { - "globalKey" : "292e1e2f" + "globalKey" : "7a53152" } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "meta" : { - "globalKey" : "3a152b7e", - "externalKey" : "floatingLegResetDates" + } ] } - }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "36ad0d3e" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43d8f" - } - } ] - } - } ], - "meta" : { - "globalKey" : "28200204" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "75afc645" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-10-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53152" - } - } ] - } - } ], - "meta" : { - "globalKey" : "6211e509" - } - } ] - }, + } ], "meta" : { - "globalKey" : "602ba83a" + "globalKey" : "6211e509" } - } ], - "meta" : { - "globalKey" : "9f6aad1" - } + } ] + }, + "meta" : { + "globalKey" : "602ba83a" } - }, + } ], "meta" : { - "globalKey" : "5d129f3a" + "globalKey" : "9f6aad1" } - }, - "meta" : { - "globalKey" : "5d129f3a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02226, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5d129f3a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02226, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "b5b7e76a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "b5b7e76a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "84eae1d7" } }, "meta" : { - "globalKey" : "36f327a2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f7ea09fc" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369935", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43400962-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43400962", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402071", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43400962", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369935", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "68ff35bc" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1383,22 +1401,22 @@ } } ], "meta" : { - "globalKey" : "9f98b96b" + "globalKey" : "b931a1dd" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "9842f70e" + "globalKey" : "af438b00" } } ], "meta" : { - "globalKey" : "d5730de7" + "globalKey" : "15e0a5c1" } }, "previousWorkflowStep" : { - "globalReference" : "1c15ff87" + "globalReference" : "59ad6c27" }, "messageInformation" : { "messageId" : { @@ -1496,6 +1514,6 @@ } } ], "meta" : { - "globalKey" : "3f5cf676" + "globalKey" : "4c48ba5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex10-OIS-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex10-OIS-func-output.json index 5a3cc5832e..14c6976076 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex10-OIS-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex10-OIS-func-output.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369933", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401034-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401034", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402020", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401034", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369933", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b9d5ab8d" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "16418147" - } - }, - "meta" : { - "globalKey" : "f3e29fd6" - } - }, - "meta" : { - "globalKey" : "b7bbe098" - } - }, - "meta" : { - "globalKey" : "b7bbe098" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,266 +82,168 @@ "globalKey" : "f3e29fd6" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "990b80ef", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "b7bbe098" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "b7bbe098" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "16418147" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd825" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02345 - } ], - "meta" : { - "globalKey" : "1d1c891f" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "21ddb961" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.02345 - } ], - "meta" : { - "globalKey" : "c439b11d" - } - } ] + "meta" : { + "globalKey" : "f3e29fd6" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "990b80ef", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "759ba53" + "globalKey" : "78" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "27e4e9", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "meta" : { - "globalKey" : "caa87d80" - } - }, - "meta" : { - "globalKey" : "caa87d80" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd825" }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02345 + } ], + "meta" : { + "globalKey" : "1d1c891f" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", "meta" : { - "globalKey" : "8afeabf", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "21ddb961" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.02345 + } ], + "meta" : { + "globalKey" : "c439b11d" + } + } ] + }, + "meta" : { + "globalKey" : "759ba53" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "ecea117a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8afeabf", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de77b8c9" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "79e289fd", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -446,171 +259,367 @@ } }, "meta" : { - "globalKey" : "79e289fd", - "externalKey" : "floatingLegResetDates" + "globalKey" : "caa87d80" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "36ad0d3e" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43d8f" - } - } ] - } - } ], - "meta" : { - "globalKey" : "28200204" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "75afc645" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-10-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53152" - } - } ] - } - } ], - "meta" : { - "globalKey" : "6211e509" - } - } ] + "meta" : { + "globalKey" : "caa87d80" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "292e1e2f" + } }, "meta" : { - "globalKey" : "1d198d79" + "globalKey" : "6cf3cbe" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "532f908c" + "globalKey" : "8afeabf", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "aec2227b" - } - }, - "meta" : { - "globalKey" : "aec2227b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02345, - "unit" : { - "currency" : { - "value" : "USD" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "meta" : { - "globalKey" : "3a0ba7ac" - } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8afeabf", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de77b8c9" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], + "meta" : { + "globalKey" : "27e40a" + } + }, + "dateRelativeTo" : { + "globalReference" : "79e289fd", + "externalReference" : "floatingLegResetDates" } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - }, - "meta" : { - "globalKey" : "49c5bc57" - } - }, - "meta" : { - "globalKey" : "fbce0222" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "292e1e2f" + } + }, + "meta" : { + "globalKey" : "6cf3cbe" + } + }, + "meta" : { + "globalKey" : "79e289fd", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "36ad0d3e" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-11-01", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a43d8f" + } + } ] + } + } ], + "meta" : { + "globalKey" : "28200204" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "75afc645" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-10-30", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a53152" + } + } ] + } + } ], + "meta" : { + "globalKey" : "6211e509" + } + } ] + }, + "meta" : { + "globalKey" : "1d198d79" + } + } ], + "meta" : { + "globalKey" : "532f908c" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" + } + }, + "meta" : { + "globalKey" : "aec2227b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02345, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "3a0ba7ac" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "845fcd4c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369933", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401034-2", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401034", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402020", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401034", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369933", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "b9d5ab8d" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -688,11 +697,11 @@ } } ], "meta" : { - "globalKey" : "1a7845fb" + "globalKey" : "230f1edd" } }, "meta" : { - "globalKey" : "1a7845fb" + "globalKey" : "230f1edd" } } } @@ -700,158 +709,69 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369933", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401034-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401034", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402020", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401034", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369933", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b9d5ab8d" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : 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"meta" : { + "globalKey" : "1d198d79" } - }, + } ], "meta" : { - "globalKey" : "aec2227b" + "globalKey" : "532f908c" } - }, - "meta" : { - "globalKey" : "aec2227b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02345, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "aec2227b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02345, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "3a0ba7ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "3a0ba7ac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } - }, - "meta" : { - "globalKey" : "49c5bc57" } }, "meta" : { - "globalKey" : "fbce0222" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "845fcd4c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369933", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401034-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401034", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402020", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401034", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369933", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "b9d5ab8d" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1383,22 +1401,22 @@ } } ], "meta" : { - "globalKey" : "1a7845fb" + "globalKey" : "230f1edd" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "d9719f9e" + "globalKey" : "17b5c800" } } ], "meta" : { - "globalKey" : "cec467e7" + "globalKey" : "9e499fc1" } }, "previousWorkflowStep" : { - "globalReference" : "83a05c96" + "globalReference" : "68587ea8" }, "messageInformation" : { "messageId" : { @@ -1496,6 +1514,6 @@ } } ], "meta" : { - "globalKey" : "dd927297" + "globalKey" : "34e2967d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex11-OIS-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex11-OIS-func-output.json index 48b316b33a..4fef278e7d 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex11-OIS-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/IRS-ex11-OIS-func-output.json @@ -5,142 +5,67 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "6798dfb3" - } - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-07-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec508292" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-07-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-07-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "meta" : { - "globalKey" : "1dfc0c98" - } - }, - "meta" : { - "globalKey" : "1dfc0c98" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec508292" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-07-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -155,1047 +80,431 @@ "globalKey" : "6cf3cbe" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796b" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "e27ec8ef", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "1dfc0c98" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "1dfc0c98" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "292e1e2f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e27ec8ef", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "919645ae", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, + "meta" : { + "globalKey" : "6cf3cbe" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796b" + }, + "rollConvention" : "26" + }, + "meta" : { + "globalKey" : "e27ec8ef", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "919645ae", - "externalKey" : "floatingLegResetDates" + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2014-07-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2013-07-26", - "adjustedEndDate" : "2014-07-28", - "meta" : { - "globalKey" : "634906a" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2014-07-25", - "observedRate" : 0.0008347, - "meta" : { - "globalKey" : "bebc8677" - } - } ] - } - } ], - "meta" : { - "globalKey" : "e84ac448" - } - }, { - "adjustedPaymentDate" : "2015-07-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-07-28", - "adjustedEndDate" : "2015-07-27", - "meta" : { - "globalKey" : "46f70359" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2015-07-24", - "observedRate" : 0.0011009, - "meta" : { - "globalKey" : "bec85b83" - } - } ] - } - } ], - "meta" : { - "globalKey" : "b840d036" - } - }, { - "adjustedPaymentDate" : "2016-07-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-07-27", - "adjustedEndDate" : "2016-07-26", - "meta" : { - "globalKey" : "e90cc968" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-07-25", - "observedRate" : 0.0027493, - "meta" : { - "globalKey" : "beda3572" - } - } ] - } - } ], - "meta" : { - "globalKey" : "e98a2f44" - } - }, { - "adjustedPaymentDate" : "2017-07-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-07-26", - "adjustedEndDate" : "2017-07-26", - "meta" : { - "globalKey" : "8cfee3d4" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-07-25", - "observedRate" : 0.0067469, - "meta" : { - "globalKey" : "bf138b1f" - } - } ] - } - } ], - "meta" : { - "globalKey" : "b0f451b0" - } - }, { - "adjustedPaymentDate" : "2018-07-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-07-26", - "adjustedEndDate" : "2018-07-26", - "meta" : { - "globalKey" : "ae2d822c" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2018-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a32977" - } - } ] - } - } ], - "meta" : { - "globalKey" : "1e23d60a" - } - }, { - "adjustedPaymentDate" : "2019-07-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-07-26", - "adjustedEndDate" : "2019-07-26", - "meta" : { - "globalKey" : "86cd7a2c" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a42177" - } - } ] - } - } ], - "meta" : { - "globalKey" : "1a3bd60a" - } - }, { - "adjustedPaymentDate" : "2020-07-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-07-26", - "adjustedEndDate" : "2020-07-27", - "meta" : { - "globalKey" : "61224aac" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-07-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a51958" - } - } ] - } - } ], - "meta" : { - "globalKey" : "83c43f89" - } - }, { - "adjustedPaymentDate" : "2021-07-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-07-27", - "adjustedEndDate" : "2021-07-26", - "meta" : { - "globalKey" : "6cf3a52f" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2021-07-23", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a61139" - } - } ] - } - } ], - "meta" : { - "globalKey" : "1ec9330b" - } - }, { - "adjustedPaymentDate" : "2022-07-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-07-26", - "adjustedEndDate" : "2022-07-26", - "meta" : { - "globalKey" : "10ad622c" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2022-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a70977" - } - } ] - } - } ], - "meta" : { - "globalKey" : "e5faf808" - } - }, { - "adjustedPaymentDate" : "2023-07-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2022-07-26", - "adjustedEndDate" : "2023-07-26", - "meta" : { - "globalKey" : "e94d5a2c" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2023-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a80177" - } - } ] - } - } ], - "meta" : { - "globalKey" : "e212f808" - } - }, { - "adjustedPaymentDate" : "2024-07-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2023-07-26", - "adjustedEndDate" : "2024-07-26", - "meta" : { - "globalKey" : "c1ed522c" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2024-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a8f977" - } - } ] - } - } ], - "meta" : { - "globalKey" : "6b3d60a" - } - }, { - "adjustedPaymentDate" : "2025-07-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2024-07-26", - "adjustedEndDate" : "2025-07-28", - "meta" : { - "globalKey" : "9df6fb6a" - }, - "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2025-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a9f177" - } - } ] - } - } ], - "meta" : { - "globalKey" : "6358748" - } - } ] - }, "meta" : { - "globalKey" : "9d0ebbcd" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e27ec8ef", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de7afde8" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "919645ae", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + 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"ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" } } }, @@ -1228,22 +537,22 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "292e1e2f" + "globalKey" : "16418147" } }, "meta" : { - "globalKey" : "6cf3cbe" + "globalKey" : "f3e29fd6" } }, "meta" : { - "globalKey" : "1dfc0c98" + "globalKey" : "b0f6fb0" } }, "meta" : { - "globalKey" : "1dfc0c98" + "globalKey" : "b0f6fb0" } }, "calculationPeriodDatesAdjustments" : { @@ -1251,14 +560,14 @@ "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "292e1e2f" + "globalKey" : "16418147" } }, "meta" : { - "globalKey" : "6cf3cbe" + "globalKey" : "f3e29fd6" } }, "calculationPeriodFrequency" : { @@ -1270,8 +579,8 @@ "rollConvention" : "26" }, "meta" : { - "globalKey" : "e27ec8ef", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "72da5f1f", + "externalKey" : "fixedCalcPeriodDates" } }, "paymentDates" : { @@ -1299,7 +608,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" + "externalKey" : "fixedPrimaryBusinessCenters" } }, "meta" : { @@ -1308,60 +617,7 @@ }, "meta" : { "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e27ec8ef", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "919645ae", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "292e1e2f" - } - }, - "meta" : { - "globalKey" : "6cf3cbe" - } - }, - "meta" : { - "globalKey" : "919645ae", - "externalKey" : "floatingLegResetDates" + "externalKey" : "fixedLegPaymentDates" } }, "cashflowRepresentation" : { @@ -1372,21 +628,13 @@ "adjustedStartDate" : "2013-07-26", "adjustedEndDate" : "2014-07-28", "meta" : { - "globalKey" : "634906a" + "globalKey" : "9b8ded8d" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2014-07-25", - "observedRate" : 0.0008347, - "meta" : { - "globalKey" : "bebc8677" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "e84ac448" + "globalKey" : "ccd1766f" } }, { "adjustedPaymentDate" : "2015-07-29", @@ -1394,21 +642,13 @@ "adjustedStartDate" : "2014-07-28", "adjustedEndDate" : "2015-07-27", "meta" : { - "globalKey" : "46f70359" + "globalKey" : "9f4fd28a" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2015-07-24", - "observedRate" : 0.0011009, - "meta" : { - "globalKey" : "bec85b83" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "b840d036" + "globalKey" : "75a37acd" } }, { "adjustedPaymentDate" : "2016-07-28", @@ -1416,21 +656,13 @@ "adjustedStartDate" : "2015-07-27", "adjustedEndDate" : "2016-07-26", "meta" : { - "globalKey" : "e90cc968" + "globalKey" : "a3105a6a" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-07-25", - "observedRate" : 0.0027493, - "meta" : { - "globalKey" : "beda3572" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "e98a2f44" + "globalKey" : "1e74220e" } }, { "adjustedPaymentDate" : "2017-07-28", @@ -1438,21 +670,13 @@ "adjustedStartDate" : "2016-07-26", "adjustedEndDate" : "2017-07-26", "meta" : { - "globalKey" : "8cfee3d4" + "globalKey" : "a6d0e60b" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-07-25", - "observedRate" : 0.0067469, - "meta" : { - "globalKey" : "bf138b1f" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "b0f451b0" + "globalKey" : "c8f9a5af" } }, { "adjustedPaymentDate" : "2018-07-30", @@ -1460,21 +684,13 @@ "adjustedStartDate" : "2017-07-26", "adjustedEndDate" : "2018-07-26", "meta" : { - "globalKey" : "ae2d822c" + "globalKey" : "aa91e60b" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2018-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a32977" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "1e23d60a" + "globalKey" : "76e94eed" } }, { "adjustedPaymentDate" : "2019-07-30", @@ -1482,21 +698,13 @@ "adjustedStartDate" : "2018-07-26", "adjustedEndDate" : "2019-07-26", "meta" : { - "globalKey" : "86cd7a2c" + "globalKey" : "ae52e60b" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a42177" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "1a3bd60a" + "globalKey" : "216f46ed" } }, { "adjustedPaymentDate" : "2020-07-29", @@ -1504,21 +712,13 @@ "adjustedStartDate" : "2019-07-26", "adjustedEndDate" : "2020-07-27", "meta" : { - "globalKey" : "61224aac" + "globalKey" : "b213e9cc" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-07-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a51958" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "83c43f89" + "globalKey" : "ca406a0f" } }, { "adjustedPaymentDate" : "2021-07-28", @@ -1526,21 +726,13 @@ "adjustedStartDate" : "2020-07-27", "adjustedEndDate" : "2021-07-26", "meta" : { - "globalKey" : "6cf3a52f" + "globalKey" : "b5d55a6a" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2021-07-23", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a61139" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "1ec9330b" + "globalKey" : "7311fa0e" } }, { "adjustedPaymentDate" : "2022-07-28", @@ -1548,21 +740,13 @@ "adjustedStartDate" : "2021-07-26", "adjustedEndDate" : "2022-07-26", "meta" : { - "globalKey" : "10ad622c" + "globalKey" : "b995e60b" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2022-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a70977" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "e5faf808" + "globalKey" : "1d977daf" } }, { "adjustedPaymentDate" : "2023-07-28", @@ -1570,21 +754,13 @@ "adjustedStartDate" : "2022-07-26", "adjustedEndDate" : "2023-07-26", "meta" : { - "globalKey" : "e94d5a2c" + "globalKey" : "bd56e60b" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2023-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a80177" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "e212f808" + "globalKey" : "c81d75af" } }, { "adjustedPaymentDate" : "2024-07-30", @@ -1592,21 +768,13 @@ "adjustedStartDate" : "2023-07-26", "adjustedEndDate" : "2024-07-26", "meta" : { - "globalKey" : "c1ed522c" + "globalKey" : "c117e60b" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2024-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a8f977" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "6b3d60a" + "globalKey" : "760d1eed" } }, { "adjustedPaymentDate" : "2025-07-30", @@ -1614,452 +782,1308 @@ "adjustedStartDate" : "2024-07-26", "adjustedEndDate" : "2025-07-28", "meta" : { - "globalKey" : "9df6fb6a" + "globalKey" : "c4d8ed8d" }, "notionalAmount" : 5000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2025-07-25", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a9f177" - } - } ] - } + "fixedRate" : 0.0695 } ], "meta" : { - "globalKey" : "6358748" + "globalKey" : "20931e6f" } } ] }, "meta" : { - "globalKey" : "9d0ebbcd" + "globalKey" : "71da0d53" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } ], + "meta" : { + "globalKey" : "2e585ce0" + } + } + }, + "meta" : { + "globalKey" : "979e2e09" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + } } }, "meta" : { - "globalKey" : "0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "29f31c38" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0695, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "dayCountFraction" : { - "value" : "ACT/360" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-07-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-07-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "16418147" - } - }, - "meta" : { - "globalKey" : "f3e29fd6" - } - }, - "meta" : { - "globalKey" : "b0f6fb0" - } - }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "60ad5e44" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "6798dfb3" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "999", + "meta" : { + "scheme" : "clearing_member_firms" + } + }, + "meta" : { + "globalKey" : "dd19" + } + } ], + "meta" : { + "globalKey" : "dd19", + "externalKey" : "clearing_firm" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CME" + }, + "meta" : { + "globalKey" : "1051b" + } + } ], + "meta" : { + "globalKey" : "1051b", + "externalKey" : "clearing_service" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "PLATFORM" + }, + "meta" : { + "globalKey" : "9e635873" + } + } ], + "meta" : { + "globalKey" : "9e635873", + "externalKey" : "trade_source" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "PARTY123" + }, + "meta" : { + "globalKey" : "75895dac" + } + } ], + "meta" : { + "globalKey" : "75895dac", + "externalKey" : "SEF" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "9e635873", + "externalReference" : "trade_source" + }, + "role" : "DataSubmitter", + "ownershipPartyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + } ], + "clearedDate" : "2018-04-24", + "account" : [ { + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + }, + "accountNumber" : { + "value" : "999-123", + "meta" : { + "scheme" : "clearing_firm_accounts" + } + }, + "servicingParty" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + }, + "meta" : { + "globalKey" : "ef00ad9c", + "externalKey" : "account1" + } + } ], + "meta" : { + "globalKey" : "90b0d3fd" + } + }, + "transferHistory" : [ { + "transfer" : { + "quantity" : { + "value" : 1500, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + }, + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "receiverPartyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, + "settlementDate" : { + "unadjustedDate" : "2018-04-25", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + } + }, + "transferExpression" : { + "priceTransfer" : "Upfront" + } + }, + "meta" : { + "globalKey" : "da2768e7" + } + } ], + "meta" : { + "globalKey" : "9686bca" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-07-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "b0f6fb0" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec508292" + } + }, + "meta" : { + "globalKey" : "ec508292" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-07-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "16418147" + "globalKey" : "292e1e2f" } }, "meta" : { - "globalKey" : "f3e29fd6" + "globalKey" : "6cf3cbe" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796b" - }, - "rollConvention" : "26" + "meta" : { + "globalKey" : "1dfc0c98" + } + }, + "meta" : { + "globalKey" : "1dfc0c98" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "292e1e2f" + } + }, + "meta" : { + "globalKey" : "6cf3cbe" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796b" + }, + "rollConvention" : "26" + }, + "meta" : { + "globalKey" : "e27ec8ef", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : 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"location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "60ad5e44" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "6798dfb3" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -2150,7 +2174,7 @@ } } ], "meta" : { - "globalKey" : "e3343727" + "globalKey" : "90b0d3fd" } }, "state" : { @@ -2212,15 +2236,15 @@ } } ], "meta" : { - "globalKey" : "65e7cedd" + "globalKey" : "686b9fc7" } } ], "meta" : { - "globalKey" : "4a54c2e1" + "globalKey" : "81c75fe1" } }, "previousWorkflowStep" : { - "globalReference" : "3e8ee80f" + "globalReference" : "51b564f5" }, "messageInformation" : { "messageId" : { @@ -2331,6 +2355,6 @@ } } ], "meta" : { - "globalKey" : "dbd36e81" + "globalKey" : "1f673181" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE-func-output.json index 4e35baf9e6..5beda949c6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE-func-output.json @@ -5,831 +5,842 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "844409", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS844409", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "be732702" - } - } ], - "tradeDate" : { - "value" : "2013-08-21", - "meta" : { - "globalKey" : "3eea15" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec706b12" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec706b12" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } + "meta" : { + "globalKey" : "ec706b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-26", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "8d031034" + "globalKey" : "932f5965" } }, "meta" : { - "globalKey" : "ac4e6a0e" + "globalKey" : "8d031034" } }, "meta" : { "globalKey" : "ac4e6a0e" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } + "meta" : { + "globalKey" : "ac4e6a0e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "8d031034" + "globalKey" : "932f5965" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abc" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "21fd542c", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "8d031034" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abc" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, + "rollConvention" : "26" + }, + "meta" : { + "globalKey" : "21fd542c", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" } }, "meta" : { - "globalKey" : "628a6d89" + "globalKey" : "97b8e49c" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2015-03-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-09-26", - "adjustedEndDate" : "2015-03-26", - "meta" : { - "globalKey" : "f938a384" - }, - "notionalAmount" : 10000000, - "fixedRate" : 0.0225 - } ], + "meta" : { + "globalKey" : "628a6d89" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-03-26", + "calculationPeriod" : [ { + "adjustedStartDate" : "2014-09-26", + "adjustedEndDate" : "2015-03-26", "meta" : { - "globalKey" : "159522ea" - } - }, { - "adjustedPaymentDate" : "2015-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-03-26", - "adjustedEndDate" : "2015-09-28", - "meta" : { - "globalKey" : 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"externalReference" : "clearing_firm" } }, { - "partyId" : [ { - "identifier" : { - "value" : "CME" - }, + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", "meta" : { - "globalKey" : "1051b" + "scheme" : "cftc_Namespace" } - } ], - "meta" : { - "globalKey" : "1051b", + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "844409", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS844409", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "be732702" + } + } ], + "tradeDate" : { + "value" : "2013-08-21", + "meta" : { + "globalKey" : "3eea15" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "TESTBOOKLE", + "meta" : { + "scheme" : "clearing_member_firms" + } + }, + "meta" : { + "globalKey" : "9d362d34" + } + } ], + "meta" : { + "globalKey" : "9d362d34", + "externalKey" : "clearing_firm" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CME" + }, + "meta" : { + "globalKey" : "1051b" + } + } ], + "meta" : { + "globalKey" : "1051b", "externalKey" : "clearing_service" } }, { @@ -879,7 +890,7 @@ } } ], "meta" : { - "globalKey" : "73dd08cd" + "globalKey" : "c3055777" } }, "transferHistory" : [ { @@ -938,7 +949,7 @@ } } ], "meta" : { - "globalKey" : "47b91023" + "globalKey" : "dcb97139" } } } @@ -946,803 +957,814 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, 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"value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "aa49ed2b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a032462e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f901da98" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9d362d34", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "844409", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9d362d34", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS844409", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "be732702" + } + } ], + "tradeDate" : { + "value" : "2013-08-21", + "meta" : { + "globalKey" : "3eea15" + } }, "party" : [ { "partyId" : [ { @@ -1820,7 +1842,7 @@ } } ], "meta" : { - "globalKey" : "73dd08cd" + "globalKey" : "c3055777" } }, "state" : { @@ -1882,15 +1904,15 @@ } } ], "meta" : { - "globalKey" : "31dab820" + "globalKey" : "88472bb6" } } ], "meta" : { - "globalKey" : "cf7c2c81" + "globalKey" : "509b99c1" } }, "previousWorkflowStep" : { - "globalReference" : "9a863818" + "globalReference" : "5b741a48" }, "messageInformation" : { "messageId" : { @@ -1985,6 +2007,6 @@ } } ], "meta" : { - "globalKey" : "116f0cff" + "globalKey" : "21e83a3f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE-func-output.json index f6fd25a701..449e00c930 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE-func-output.json @@ -5,151 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "844510", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "844409", - "meta" : { - "scheme" : "swaption_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS844510", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "6f1dc9f7" - } - } ], - "tradeDate" : { - "value" : "2014-09-24", - "meta" : { - "globalKey" : "3ef258" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec706b12" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "meta" : { - "globalKey" : "ac4e6a0e" - } - }, - "meta" : { - "globalKey" : "ac4e6a0e" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec706b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -164,281 +82,189 @@ "globalKey" : "8d031034" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abc" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "21fd542c", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ac4e6a0e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "ac4e6a0e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89" + "globalKey" : "932f5965" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2015-03-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-09-26", - "adjustedEndDate" : "2015-03-26", - "meta" : { - "globalKey" : "f938a384" - }, - "notionalAmount" : 10000000, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "159522ea" - } - }, { - "adjustedPaymentDate" : "2015-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-03-26", - "adjustedEndDate" : "2015-09-28", - "meta" : { - "globalKey" : "fc32b606" - }, - "notionalAmount" : 10000000, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "ab3dd52a" - } - }, { - "adjustedPaymentDate" : "2016-03-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-09-28", - "adjustedEndDate" : "2016-03-29", - "meta" : { - "globalKey" : "fcfa9785" - }, - "notionalAmount" : 10000000, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "c53a98c8" - } - }, { - "adjustedPaymentDate" : "2016-09-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-03-29", - "adjustedEndDate" : "2016-09-26", - "meta" : { - "globalKey" : "fff50ba1" - }, - "notionalAmount" : 10000000, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "525b7187" - } - } ] - }, "meta" : { - "globalKey" : "27ffaa66" + "globalKey" : "8d031034" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abc" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "26" + }, + "meta" : { + "globalKey" : "21fd542c", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } - }, - "meta" : { - "globalKey" : "bf3b06f6" - } - }, - "meta" : { - "globalKey" : "bf3b06f6" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-03-26", + "calculationPeriod" : [ { + "adjustedStartDate" : "2014-09-26", + "adjustedEndDate" : "2015-03-26", + "meta" : { + "globalKey" : "f938a384" }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "a61bf64d" - } - }, - "meta" : { - "globalKey" : "9fefad1c" - } + "notionalAmount" : 10000000, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "159522ea" + } + }, { + "adjustedPaymentDate" : "2015-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-03-26", + "adjustedEndDate" : "2015-09-28", + "meta" : { + "globalKey" : "fc32b606" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f79" - }, - "rollConvention" : "26" + "notionalAmount" : 10000000, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "ab3dd52a" + } + }, { + "adjustedPaymentDate" : "2016-03-29", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-09-28", + "adjustedEndDate" : "2016-03-29", + "meta" : { + "globalKey" : "fcfa9785" }, + "notionalAmount" : 10000000, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "c53a98c8" + } + }, { + "adjustedPaymentDate" : "2016-09-26", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-03-29", + "adjustedEndDate" : "2016-09-26", "meta" : { - "globalKey" : "2b8518b9", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "fff50ba1" + }, + "notionalAmount" : 10000000, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "525b7187" + } + } ] + }, + "meta" : { + "globalKey" : "27ffaa66" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "628a6d89" + "globalKey" : "ec706b12" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2b8518b9", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "c3794d85", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ec706b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -454,306 +280,489 @@ } }, "meta" : { - "globalKey" : "c3794d85", - "externalKey" : "floatingLegResetDates" + "globalKey" : "bf3b06f6" } }, - "compoundingMethod" : "Flat", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2015-03-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-09-26", - "adjustedEndDate" : "2014-12-29", - "meta" : { - "globalKey" : "a85bd414" - }, - "notionalAmount" : 10000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2014-09-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "79f58d8" - } - } ] - } - }, { - "adjustedStartDate" : "2014-12-29", - "adjustedEndDate" : "2015-03-26", - "meta" : { - "globalKey" : "be7a161b" - }, - "notionalAmount" : 10000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2014-12-23", - "observedRate" : 0, - "meta" : { - "globalKey" : "79f6ff9" - } - } ] - } - } ], - "meta" : { - "globalKey" : "a4754861" - } - }, { - "adjustedPaymentDate" : "2015-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-03-26", - "adjustedEndDate" : "2015-06-26", - "meta" : { - "globalKey" : "933f43b7" - }, - "notionalAmount" : 10000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2015-03-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a02258" - } - } ] - } - }, { - "adjustedStartDate" : "2015-06-26", - "adjustedEndDate" : "2015-09-28", - "meta" : { - "globalKey" : "8af7f435" - }, - "notionalAmount" : 10000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2015-06-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a03998" - } - } ] - } - } ], - "meta" : { - "globalKey" : "77a526fa" - } - }, { - "adjustedPaymentDate" : "2016-03-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-09-28", - "adjustedEndDate" : "2015-12-29", - "meta" : { - "globalKey" : "eac84296" - }, - "notionalAmount" : 10000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2015-09-24", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a050d8" - } - } ] - } - }, { - "adjustedStartDate" : "2015-12-29", - "adjustedEndDate" : "2016-03-29", - "meta" : { - "globalKey" : "9c3897f8" - }, - "notionalAmount" : 10000000, - "floatingRateDefinition" : { - 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"globalKey" : "9d362d34", - "externalKey" : "clearing_firm" - } - }, { - "partyId" : [ { + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f901da98" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9d362d34", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "844510", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "844409", + "meta" : { + "scheme" : "swaption_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS844510", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "6f1dc9f7" + } + } ], + "tradeDate" : { + "value" : "2014-09-24", + "meta" : { + "globalKey" : "3ef258" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "TESTBOOKLE", + "meta" : { + "scheme" : "clearing_member_firms" + } + }, + "meta" : { + "globalKey" : "9d362d34" + } + } ], + "meta" : { + "globalKey" : "9d362d34", + "externalKey" : "clearing_firm" + } + }, { + "partyId" : [ { "identifier" : { "value" : "CME" }, @@ -812,11 +821,11 @@ } } ], "meta" : { - "globalKey" : "eecc1ac4" + "globalKey" : "fbf8c31a" } }, "meta" : { - "globalKey" : "eecc1ac4" + "globalKey" : "fbf8c31a" } } } @@ -824,440 +833,266 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, 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"assignedIdentifier" : [ { + "identifier" : { + "value" : "844510", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "client_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9d362d34", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "platform_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "844409", + "meta" : { + "scheme" : "swaption_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS844510", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "6f1dc9f7" + } + } ], + "tradeDate" : { + "value" : "2014-09-24", + "meta" : { + "globalKey" : "3ef258" + } }, "party" : [ { "partyId" : [ { @@ -1631,22 +1649,22 @@ } } ], "meta" : { - "globalKey" : "eecc1ac4" + "globalKey" : "fbf8c31a" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "e8236627" + "globalKey" : "5cc750fd" } } ], "meta" : { - "globalKey" : "2c644687" + "globalKey" : "db3b12bb" } }, "previousWorkflowStep" : { - "globalReference" : "e5060fef" + "globalReference" : "84f2e5cd" }, "messageInformation" : { "messageId" : { @@ -1741,6 +1759,6 @@ } } ], "meta" : { - "globalKey" : "6c97f41a" + "globalKey" : "403b7c4e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex01-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex01-func-output.json index 344073afff..f9ea5d221e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex01-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex01-func-output.json @@ -5,1413 +5,1424 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2896735", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "2098916", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "19427806", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "19427806", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2896735", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "74de0cb1" - } - } ], - "tradeDate" : { - "value" : "2015-01-13", - "meta" : { - "globalKey" : "3ef84d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-07-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-07-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec8c6947" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec8c6947" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-07-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } + "meta" : { + "globalKey" : "ec8c6947" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-07-15", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "8d031034" + "globalKey" : "932f5965" } }, "meta" : { - "globalKey" : "b5a58b43" + "globalKey" : "8d031034" } }, "meta" : { "globalKey" : "b5a58b43" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } - }, - "meta" : { - "globalKey" : "8d031034" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : 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"globalKey" : "98c5d252" + "globalKey" : "77d87b9" } } ], - "meta" : { - "globalKey" : "98c5d252" - } - } - }, - "meta" : { - "globalKey" : "c414437d" - } - }, - "meta" : { - "globalKey" : "c414437d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "9139a95" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "286a738e" } } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "286a738e" + } + } + }, + "meta" : { + "globalKey" : "66ea27c3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "c5ad5864" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "c5ad5864" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bd147858" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "a68477ae" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1693c0", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2896735", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1693c0", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "2098916", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "19427806", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "19427806", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2896735", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "74de0cb1" + } + } ], + "tradeDate" : { + "value" : "2015-01-13", + "meta" : { + "globalKey" : "3ef84d" + } }, "party" : [ { "partyId" : [ { @@ -3040,7 +3062,7 @@ } } ], "meta" : { - "globalKey" : "684e02ff" + "globalKey" : "70018eed" } }, "state" : { @@ -3102,15 +3124,15 @@ } } ], "meta" : { - "globalKey" : "f2fcafee" + "globalKey" : "2501a0c0" } } ], "meta" : { - "globalKey" : "6bff8c1" + "globalKey" : "57fc6481" } }, "previousWorkflowStep" : { - "globalReference" : "f4583e8e" + "globalReference" : "94aaf3be" }, "messageInformation" : { "messageId" : { @@ -3205,6 +3227,6 @@ } } ], "meta" : { - "globalKey" : "c7a5c320" + "globalKey" : "96fb6ee0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex02-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex02-func-output.json index 02aefb5464..9151bee1b1 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex02-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex02-func-output.json @@ -5,958 +5,969 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369939", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400915-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400915", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402096", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43400915", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369939", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "efc29bbf" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - 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"partyId" : [ { @@ -1034,7 +1045,7 @@ } } ], "meta" : { - "globalKey" : "7bca3ae" + "globalKey" : "f7c6f0f2" } }, "transferHistory" : [ { @@ -1093,7 +1104,7 @@ } } ], "meta" : { - "globalKey" : "9bbe32c6" + "globalKey" : "c433bf02" } } } @@ -1101,958 +1112,969 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369939", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400915-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400915", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402096", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - 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"floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-12-02", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53d6e" - } - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "a289daa3" + } + }, { + "adjustedPaymentDate" : "2021-03-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2020-12-04", + "adjustedEndDate" : "2021-03-04", "meta" : { - "globalKey" : "a8923aa3" + "globalKey" : "219615df" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-12-02", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a53d6e" + } + } ] } - }, { - "adjustedPaymentDate" : "2021-06-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-03-04", - "adjustedEndDate" : "2021-06-04", - "meta" : { - "globalKey" : "950df51f" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2021-03-02", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a5efae" - } - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "a8923aa3" + } + }, { + "adjustedPaymentDate" : "2021-06-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2021-03-04", + "adjustedEndDate" : "2021-06-04", "meta" : { - "globalKey" : "4f5d5aa3" + "globalKey" : "950df51f" + }, + "notionalAmount" : 100000000, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2021-03-02", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a5efae" + } + } ] } - }, { - "adjustedPaymentDate" : "2021-09-07", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-06-04", - "adjustedEndDate" : "2021-09-07", - "meta" : { - "globalKey" : "8e7b7e3c" - }, - "notionalAmount" : 100000000, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2021-06-02", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a606ee" - } - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "4f5d5aa3" + } + }, { + 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"exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2018-11-30", + "dateAdjustments" : { + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "cda77148" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "cda77148" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "4c776966" } }, "meta" : { - "globalKey" : "b17e8524" + "globalKey" : "cda77148" } }, "meta" : { - "globalKey" : "5b6c6d8b" + "globalKey" : "cda77148" } } ], - "meta" : { - "globalKey" : "5b6c6d8b" - } - } - }, - "meta" : { - "globalKey" : "7ab877b6" - } - }, - "meta" : { - "globalKey" : "7ab877b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02356, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b17e8524" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "bac5a2c7" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "bac5a2c7" + } + } + }, + "meta" : { + "globalKey" : "84faddfc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02356, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "6c47638c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "6c47638c" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e3836a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369939", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43400915-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43400915", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402096", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43400915", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369939", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "efc29bbf" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -2130,7 +2152,7 @@ } } ], "meta" : { - "globalKey" : "7bca3ae" + "globalKey" : "f7c6f0f2" } }, "state" : { @@ -2192,15 +2214,15 @@ } } ], "meta" : { - "globalKey" : "a1f97703" + "globalKey" : "833ce43f" } } ], "meta" : { - "globalKey" : "900456d" + "globalKey" : "3ee060e5" } }, "previousWorkflowStep" : { - "globalReference" : "b1cc9333" + "globalReference" : "5c279245" }, "messageInformation" : { "messageId" : { @@ -2298,6 +2320,6 @@ } } ], "meta" : { - "globalKey" : "cdfaef03" + "globalKey" : "fa09588b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise-func-output.json index a415555ae9..514129d7e3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise-func-output.json @@ -5,1414 +5,1425 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "2052340", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "19300360", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "19300360", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "9427fbe4" - } - } ], - "tradeDate" : { - "value" : "2014-10-23", - "meta" : { - "globalKey" : "3ef297" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec89c593" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec89c593" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "932f5965" - } + "meta" : { + "globalKey" : "ec89c593" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-04-27", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "8d031034" + "globalKey" : "932f5965" } }, "meta" : { - 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"observedRate" : 0, + "meta" : { + "globalKey" : "7a6daf7" + } + } ] } - } ] - }, - "meta" : { - "globalKey" : "db794216" - } - } ], + } ], + "meta" : { + "globalKey" : "bc137765" + } + } ] + }, "meta" : { - "globalKey" : "692ae133" + "globalKey" : "db794216" } + } ], + "meta" : { + "globalKey" : "692ae133" } - }, - "meta" : { - "globalKey" : "ecde28e4" } }, "meta" : { "globalKey" : "ecde28e4" } - }, - "optionType" : "Straddle", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-04-23", - "dateAdjustments" : { - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "4c776966" - } - }, + } + } + }, + "optionType" : "Straddle", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-04-23", + "dateAdjustments" : { + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "d0eb86af" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "d0eb86af" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "4c776966" } }, "meta" : { - "globalKey" : "7566438b" + "globalKey" : "d0eb86af" } }, "meta" : { - "globalKey" : "4fc47aee" + "globalKey" : "d0eb86af" } } ], - "meta" : { - "globalKey" : "4fc47aee" - } - } - }, - "meta" : { - "globalKey" : "8e442f23" - } - }, - "meta" : { - "globalKey" : "8e442f23" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "7566438b" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "b4b40132" } } ], - "quantity" : [ { - "value" : { - "value" : 3000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "b4b40132" + } + } + }, + "meta" : { + "globalKey" : "462ad39d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "ba521503" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 3000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "ba521503" + } + }, { + "quantity" : [ { + "value" : { + "value" : 3000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "edd0cb9a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "53e4aeac" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "2052340", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "19300360", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "19300360", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "9427fbe4" + } + } ], + "tradeDate" : { + "value" : "2014-10-23", + "meta" : { + "globalKey" : "3ef297" + } }, "party" : [ { "partyId" : [ { @@ -3042,7 +3064,7 @@ } } ], "meta" : { - "globalKey" : "4c25f717" + "globalKey" : "114dabeb" } }, "state" : { @@ -3104,15 +3126,15 @@ } } ], "meta" : { - "globalKey" : "9dd9a35b" + "globalKey" : "839c2307" } } ], "meta" : { - "globalKey" : "cbb9e75d" + "globalKey" : "782082b5" } }, "previousWorkflowStep" : { - "globalReference" : "70b1715e" + "globalReference" : "be92cca4" }, "messageInformation" : { "messageId" : { @@ -3207,6 +3229,6 @@ } } ], "meta" : { - "globalKey" : "4169fa8c" + "globalKey" : "60e85de4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade1-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade1-func-output.json index 51949b3f93..cf7d2db48a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade1-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade1-func-output.json @@ -70,6 +70,272 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-05-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26edb64a" + } + }, + "meta" : { + "globalKey" : "26edb64a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2781d47f" + } + }, + "meta" : { + "globalKey" : "2781d47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-03-20", + "meta" : { + "globalKey" : "3f08d4" + } + }, + "meta" : { + "globalKey" : "3f08d4" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "4527fe47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2017-06-20", + "meta" : { + "globalKey" : "3f1e2a" + } + }, + "meta" : { + "globalKey" : "c1d79704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "21657K", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "PFIZED INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "a16dcbbc" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US635405AQ55", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "e7dc2716" + } + }, + "meta" : { + "globalKey" : "a49e8992" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "b46da935" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d478ac4b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "50f20d5", + "externalReference" : "DTCCDEMO0321" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "50f24f8", + "externalReference" : "DTCCDEMO0456" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "50f20d5", + "externalReference" : "DTCCDEMO0321" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "50f20d5", @@ -127,279 +393,6 @@ "globalKey" : "3f095e" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-05-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26edb64a" - } - }, - "meta" : { - "globalKey" : "26edb64a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2781d47f" - } - }, - "meta" : { - "globalKey" : "2781d47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-03-20", - "meta" : { - "globalKey" : "3f08d4" - } - }, - "meta" : { - "globalKey" : "3f08d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "4527fe47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2017-06-20", - "meta" : { - "globalKey" : "3f1e2a" - } - }, - "meta" : { - "globalKey" : "c1d79704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "21657K", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "PFIZED INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "a16dcbbc" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US635405AQ55", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "e7dc2716" - } - }, - "meta" : { - "globalKey" : "a49e8992" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "b46da935" - } - }, - "meta" : { - "globalKey" : "b46da935" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d478ac4b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "50f20d5", - "externalReference" : "DTCCDEMO0321" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "50f24f8", - "externalReference" : "DTCCDEMO0456" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "50f20d5", - "externalReference" : "DTCCDEMO0321" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -463,7 +456,7 @@ } }, "meta" : { - "globalKey" : "5fa32af0" + "globalKey" : "fa0910e6" } }, "transferHistory" : [ { @@ -479,36 +472,289 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD", + "settlementDate" : { + "unadjustedDate" : "2017-06-02" + } + }, + "meta" : { + "globalKey" : "1e916af9" + } + } ], + "meta" : { + "globalKey" : "6fb5fcd3" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-05-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26edb64a" + } + }, + "meta" : { + "globalKey" : "26edb64a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2781d47f" + } + }, + "meta" : { + "globalKey" : "2781d47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-03-20", + "meta" : { + "globalKey" : "3f08d4" + } + }, + "meta" : { + "globalKey" : "3f08d4" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "4527fe47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2017-06-20", + "meta" : { + "globalKey" : "3f1e2a" + } + }, + "meta" : { + "globalKey" : "c1d79704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "21657K", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "PFIZED INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" + "globalKey" : "a16dcbbc" } }, - "identifierType" : "CurrencyCode" - } ] + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US635405AQ55", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "e7dc2716" } }, - "settlementDate" : { - "unadjustedDate" : "2017-06-02" + "meta" : { + "globalKey" : "a49e8992" } }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "b46da935" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], "meta" : { - "globalKey" : "f5aaa12e" + "globalKey" : "d478ac4b" } - } ], - "meta" : { - "globalKey" : "62ce383e" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "50f20d5", + "externalReference" : "DTCCDEMO0321" } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "50f24f8", + "externalReference" : "DTCCDEMO0456" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "50f20d5", + "externalReference" : "DTCCDEMO0321" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "50f20d5", @@ -566,279 +812,6 @@ "globalKey" : "3f095e" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-05-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26edb64a" - } - }, - "meta" : { - "globalKey" : "26edb64a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2781d47f" - } - }, - "meta" : { - "globalKey" : "2781d47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-03-20", - "meta" : { - "globalKey" : "3f08d4" - } - }, - "meta" : { - "globalKey" : "3f08d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "4527fe47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2017-06-20", - "meta" : { - "globalKey" : "3f1e2a" - } - }, - "meta" : { - "globalKey" : "c1d79704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "21657K", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "PFIZED INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "a16dcbbc" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US635405AQ55", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "e7dc2716" - } - }, - "meta" : { - "globalKey" : "a49e8992" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "b46da935" - } - }, - "meta" : { - "globalKey" : "b46da935" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d478ac4b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "50f20d5", - "externalReference" : "DTCCDEMO0321" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "50f24f8", - "externalReference" : "DTCCDEMO0456" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "50f20d5", - "externalReference" : "DTCCDEMO0321" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -968,7 +941,7 @@ } }, "meta" : { - "globalKey" : "aab11d63" + "globalKey" : "660e6a59" } }, "state" : { @@ -987,37 +960,24 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2017-06-02" } }, "meta" : { - "globalKey" : "f5aaa12e" + "globalKey" : "1e916af9" } } ], "meta" : { - "globalKey" : "3e1f768" + "globalKey" : "3ffc91fd" } } ], "meta" : { - "globalKey" : "e7834f2f" + "globalKey" : "f65759" } }, "previousWorkflowStep" : { - "globalReference" : "51affa4" + "globalReference" : "b56ec079" }, "messageInformation" : { "messageId" : { @@ -1108,6 +1068,6 @@ } } ], "meta" : { - "globalKey" : "fee4bd1" + "globalKey" : "aaf8d67" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade2-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade2-func-output.json index 91981f96d6..59159f2943 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade2-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade2-func-output.json @@ -73,372 +73,373 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "288d59d8", - "externalReference" : "DTCC00001234" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "810RI27100804CP", - "meta" : { - "scheme" : "TradeRefNbr" - } - } - } ], - "meta" : { - "globalKey" : "2a78fa51" - } - }, { - "issuerReference" : { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "810RI27100803", - "meta" : { - "scheme" : "TradeRefNbr" - } - } - } ], - "meta" : { - "globalKey" : "1ef38126" - } - }, { - "issuer" : { - "value" : "1030229152", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IL196459337", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "ee859c79" - } - } ], - "tradeDate" : { - "value" : "2018-07-17", - "meta" : { - "globalKey" : "3f11d1" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2709b47f" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "2709b47f" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "27a2ad3f" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "27a2ad3f" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "58b93681" + "globalKey" : "0", + "externalKey" : "calculationAmount" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "0" + } + } + }, + "meta" : { + "globalKey" : "58b93681" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "ITRAXX EUROPE CROSSOVER SERIES 29 VERSION 1", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" } }, - "indexId" : [ { + "identifierType" : "Other" + }, { + "identifier" : { "value" : "2I667KFN3", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" } - } ], - "meta" : { - "globalKey" : "a36eae15" - } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "ITRAXX EUROPE CROSSOVER SERIES 29 VERSION 1" + }, + "assetClass" : "Credit", + "meta" : { + "globalKey" : "8a33374f" } - }, - "meta" : { - "globalKey" : "a93f9e16" } }, "meta" : { - "globalKey" : "2c4cfcf5" + "globalKey" : "dc55742e" } + }, + "meta" : { + "globalKey" : "6c486c6f" } - }, - "meta" : { - "globalKey" : "f96c486e" } }, "meta" : { - "globalKey" : "f96c486e" + "globalKey" : "7fdcf6d6" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2018-09-19", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "270f523e" - } - }, + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2018-09-19", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "270f523e" + "globalKey" : "3a4b88ab" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "00:00:00" - }, - "expirationTime" : { - "hourMinuteTime" : "23:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "84cb57ac" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0003, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "270f523e" } }, "meta" : { - "globalKey" : "36c87ff7" + "globalKey" : "270f523e" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "00:00:00" + }, + "expirationTime" : { + "hourMinuteTime" : "23:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "36c87ff7" + "globalKey" : "84cb57ac" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.0003, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "1d2db18f" } - }, + } ], "meta" : { - "globalKey" : "be0bf309" + "globalKey" : "1d2db18f" } }, - "meta" : { - "globalKey" : "be0bf309" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + "meta" : { + "globalKey" : "ad14b6a1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "74b8700e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } ], + "meta" : { + "globalKey" : "74b8700e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "a104e1c2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "a104e1c2" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "288d59d8", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "288d59d8", + "externalReference" : "DTCC00001234" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "810RI27100804CP", + "meta" : { + "scheme" : "TradeRefNbr" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "288d59d8", - "externalReference" : "DTCC00001234" + "meta" : { + "globalKey" : "2a78fa51" + } + }, { + "issuerReference" : { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "810RI27100803", + "meta" : { + "scheme" : "TradeRefNbr" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" + } ], + "meta" : { + "globalKey" : "1ef38126" + } + }, { + "issuer" : { + "value" : "1030229152", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IL196459337", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" - } ] - } ] + "meta" : { + "globalKey" : "ee859c79" + } + } ], + "tradeDate" : { + "value" : "2018-07-17", + "meta" : { + "globalKey" : "3f11d1" + } }, "party" : [ { "partyId" : [ { @@ -496,7 +497,7 @@ } } ], "meta" : { - "globalKey" : "4ab7a529" + "globalKey" : "6ab32dd9" } }, "transferHistory" : [ { @@ -553,7 +554,7 @@ } } ], "meta" : { - "globalKey" : "9d2a54df" + "globalKey" : "ab1b6d8f" } } } @@ -561,372 +562,373 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "288d59d8", - "externalReference" : "DTCC00001234" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "810RI27100804CP", - "meta" : { - "scheme" : "TradeRefNbr" - } - } - } ], - "meta" : { - "globalKey" : "2a78fa51" - } - }, { - "issuerReference" : { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "810RI27100803", - "meta" : { - "scheme" : "TradeRefNbr" - } - } - } ], - "meta" : { - "globalKey" : "1ef38126" - } - }, { - "issuer" : { - "value" : "1030229152", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IL196459337", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } - } ], - "meta" : { - "globalKey" : "ee859c79" - } - } ], - "tradeDate" : { - "value" : "2018-07-17", - "meta" : { - "globalKey" : "3f11d1" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2709b47f" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "2709b47f" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "27a2ad3f" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "27a2ad3f" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "58b93681" + "globalKey" : "0", + "externalKey" : "calculationAmount" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "0" + } + } + }, + "meta" : { + "globalKey" : "58b93681" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "ITRAXX EUROPE CROSSOVER SERIES 29 VERSION 1", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" } }, - "indexId" : [ { + "identifierType" : "Other" + }, { + "identifier" : { "value" : "2I667KFN3", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" } - } ], - "meta" : { - "globalKey" : "a36eae15" - } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "ITRAXX EUROPE CROSSOVER SERIES 29 VERSION 1" + }, + "assetClass" : "Credit", + "meta" : { + "globalKey" : "8a33374f" } - }, - "meta" : { - "globalKey" : "a93f9e16" } }, "meta" : { - "globalKey" : "2c4cfcf5" + "globalKey" : "dc55742e" } + }, + "meta" : { + "globalKey" : "6c486c6f" } - }, - "meta" : { - "globalKey" : "f96c486e" } }, "meta" : { - "globalKey" : "f96c486e" + "globalKey" : "7fdcf6d6" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2018-09-19", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "270f523e" - } - }, + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2018-09-19", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "270f523e" + "globalKey" : "3a4b88ab" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "00:00:00" - }, - "expirationTime" : { - "hourMinuteTime" : "23:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "84cb57ac" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0003, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "270f523e" } }, "meta" : { - "globalKey" : "36c87ff7" + "globalKey" : "270f523e" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "00:00:00" + }, + "expirationTime" : { + "hourMinuteTime" : "23:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "36c87ff7" + "globalKey" : "84cb57ac" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 0.0003, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + } + }, + "meta" : { + "globalKey" : "1d2db18f" } - }, + } ], "meta" : { - "globalKey" : "be0bf309" + "globalKey" : "1d2db18f" } }, - "meta" : { - "globalKey" : "be0bf309" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + "meta" : { + "globalKey" : "ad14b6a1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "74b8700e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } ], + "meta" : { + "globalKey" : "74b8700e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a104e1c2" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "288d59d8", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "288d59d8", + "externalReference" : "DTCC00001234" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "810RI27100804CP", "meta" : { - "globalKey" : "a104e1c2" + "scheme" : "TradeRefNbr" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "288d59d8", - "externalReference" : "DTCC00001234" + "meta" : { + "globalKey" : "2a78fa51" + } + }, { + "issuerReference" : { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "810RI27100803", + "meta" : { + "scheme" : "TradeRefNbr" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" + } ], + "meta" : { + "globalKey" : "1ef38126" + } + }, { + "issuer" : { + "value" : "1030229152", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IL196459337", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" - } ] - } ] + "meta" : { + "globalKey" : "ee859c79" + } + } ], + "tradeDate" : { + "value" : "2018-07-17", + "meta" : { + "globalKey" : "3f11d1" + } }, "party" : [ { "partyId" : [ { @@ -1053,7 +1055,7 @@ } }, "meta" : { - "globalKey" : "6228c6ee" + "globalKey" : "9b8ee83e" } }, "state" : { @@ -1113,15 +1115,15 @@ } } ], "meta" : { - "globalKey" : "ee429787" + "globalKey" : "1be214d7" } } ], "meta" : { - "globalKey" : "612b84b9" + "globalKey" : "61a51af9" } }, "previousWorkflowStep" : { - "globalReference" : "a54ec1eb" + "globalReference" : "43f7a643" }, "messageInformation" : { "messageId" : { @@ -1218,6 +1220,6 @@ } } ], "meta" : { - "globalKey" : "8d783b2a" + "globalKey" : "9b00cea" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade3-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade3-func-output.json index e5d422556d..13a32fd51c 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade3-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade3-func-output.json @@ -65,6 +65,223 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX.NA.IG.30", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65BYDP7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX.NA.IG.30" + }, + "assetClass" : "Credit", + "indexAnnexDate" : "2018-03-20", + "meta" : { + "globalKey" : "5c6e78ef" + } + } + }, + "meta" : { + "globalKey" : "df7bd7ce" + } + }, + "meta" : { + "globalKey" : "d616a5cf" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "8a265f32" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a371086b", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e2088a33", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a371086b", + "externalReference" : "DTCC00001234" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "e2088a33", @@ -140,221 +357,6 @@ "globalKey" : "3f1288" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2709b47f" - } - }, - "meta" : { - "globalKey" : "2709b47f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27a2ad3f" - } - }, - "meta" : { - "globalKey" : "27a2ad3f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "meta" : { - "globalKey" : "5a5ff79f" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX.NA.IG.30", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "indexId" : [ { - "value" : "2I65BYDP7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" - } - } ], - "indexAnnexDate" : "2018-03-20", - "meta" : { - "globalKey" : "d84ac6ed" - } - } - }, - "meta" : { - "globalKey" : "2c92d4ee" - } - }, - "meta" : { - "globalKey" : "7f19560d" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "b737c59e" - } - }, - "meta" : { - "globalKey" : "b737c59e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "280b774f" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a371086b", - "externalReference" : "DTCC00001234" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e2088a33", - "externalReference" : "DTCC00005678" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a371086b", - "externalReference" : "DTCC00001234" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -411,7 +413,7 @@ } } ], "meta" : { - "globalKey" : "3e8a5b93" + "globalKey" : "ddd1926b" } }, "transferHistory" : [ { @@ -459,7 +461,7 @@ } } ], "meta" : { - "globalKey" : "c903850f" + "globalKey" : "8d022fe7" } } } @@ -467,13 +469,230 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e2088a33", - "externalReference" : "DTCC00005678" - }, - "assignedIdentifier" : [ { - "identifier" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX.NA.IG.30", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65BYDP7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX.NA.IG.30" + }, + "assetClass" : "Credit", + "indexAnnexDate" : "2018-03-20", + "meta" : { + "globalKey" : "5c6e78ef" + } + } + }, + "meta" : { + "globalKey" : "df7bd7ce" + } + }, + "meta" : { + "globalKey" : "d616a5cf" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "8a265f32" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a371086b", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e2088a33", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a371086b", + "externalReference" : "DTCC00001234" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e2088a33", + "externalReference" : "DTCC00005678" + }, + "assignedIdentifier" : [ { + "identifier" : { "value" : "204069260", "meta" : { "scheme" : "TradeRefNbr" @@ -542,221 +761,6 @@ "globalKey" : "3f1288" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2709b47f" - } - }, - "meta" : { - "globalKey" : "2709b47f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27a2ad3f" - } - }, - "meta" : { - "globalKey" : "27a2ad3f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "meta" : { - "globalKey" : "5a5ff79f" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX.NA.IG.30", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "indexId" : [ { - "value" : "2I65BYDP7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" - } - } ], - "indexAnnexDate" : "2018-03-20", - "meta" : { - "globalKey" : "d84ac6ed" - } - } - }, - "meta" : { - "globalKey" : "2c92d4ee" - } - }, - "meta" : { - "globalKey" : "7f19560d" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "b737c59e" - } - }, - "meta" : { - "globalKey" : "b737c59e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "280b774f" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a371086b", - "externalReference" : "DTCC00001234" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e2088a33", - "externalReference" : "DTCC00005678" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a371086b", - "externalReference" : "DTCC00001234" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -874,7 +878,7 @@ } }, "meta" : { - "globalKey" : "8adf1bc8" + "globalKey" : "d351bdf0" } }, "state" : { @@ -925,15 +929,15 @@ } } ], "meta" : { - "globalKey" : "6033f3a7" + "globalKey" : "c7c3b7cf" } } ], "meta" : { - "globalKey" : "e4b4dfcd" + "globalKey" : "72017b9f" } }, "previousWorkflowStep" : { - "globalReference" : "55de616d" + "globalReference" : "6f3045b9" }, "messageInformation" : { "messageId" : { @@ -1030,6 +1034,6 @@ } } ], "meta" : { - "globalKey" : "c676bec8" + "globalKey" : "e2e236" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade4-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade4-func-output.json index c0dee3e3f0..eb24fe8184 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade4-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade4-func-output.json @@ -70,6 +70,272 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-10-23", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "27105182" + } + }, + "meta" : { + "globalKey" : "27105182" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-20", + "meta" : { + "globalKey" : "3f1254" + } + }, + "meta" : { + "globalKey" : "3f1254" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "cb0747c7" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-12-20", + "meta" : { + "globalKey" : "3f27aa" + } + }, + "meta" : { + "globalKey" : "7b8a4704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "57BGE9AD0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "LEXMARK INTERNATIONAL, INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "36296790" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US529772AF23", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "209b2f4d" + } + }, + "meta" : { + "globalKey" : "d5cce1c9" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "c4b4186f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57f73a0b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f5442030", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "379b9853", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "f5442030", + "externalReference" : "DTCC00001234" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "f5442030", @@ -145,279 +411,6 @@ "globalKey" : "3f1296" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-10-23", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27105182" - } - }, - "meta" : { - "globalKey" : "27105182" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-20", - "meta" : { - "globalKey" : "3f1254" - } - }, - "meta" : { - "globalKey" : "3f1254" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "cb0747c7" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-12-20", - "meta" : { - "globalKey" : "3f27aa" - } - }, - "meta" : { - "globalKey" : "7b8a4704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "57BGE9AD0", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "LEXMARK INTERNATIONAL, INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "36296790" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US529772AF23", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "209b2f4d" - } - }, - "meta" : { - "globalKey" : "d5cce1c9" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "c4b4186f" - } - }, - "meta" : { - "globalKey" : "c4b4186f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57f73a0b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f5442030", - "externalReference" : "DTCC00001234" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "379b9853", - "externalReference" : "DTCC00005678" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "f5442030", - "externalReference" : "DTCC00001234" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -474,7 +467,7 @@ } } ], "meta" : { - "globalKey" : "176886a7" + "globalKey" : "c836b957" } }, "transferHistory" : [ { @@ -521,18 +514,284 @@ } }, "meta" : { - "globalKey" : "9f31b7af" + "globalKey" : "9f31b7af" + } + } ], + "meta" : { + "globalKey" : "90e9b7c6" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-10-23", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "27105182" + } + }, + "meta" : { + "globalKey" : "27105182" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-20", + "meta" : { + "globalKey" : "3f1254" + } + }, + "meta" : { + "globalKey" : "3f1254" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "cb0747c7" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-12-20", + "meta" : { + "globalKey" : "3f27aa" + } + }, + "meta" : { + "globalKey" : "7b8a4704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "57BGE9AD0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "LEXMARK INTERNATIONAL, INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "36296790" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US529772AF23", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "209b2f4d" + } + }, + "meta" : { + "globalKey" : "d5cce1c9" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "c4b4186f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57f73a0b" } - } ], - "meta" : { - "globalKey" : "89a70916" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f5442030", + "externalReference" : "DTCC00001234" } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "379b9853", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "f5442030", + "externalReference" : "DTCC00001234" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "f5442030", @@ -608,279 +867,6 @@ "globalKey" : "3f1296" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-10-23", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27105182" - } - }, - "meta" : { - "globalKey" : "27105182" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-20", - "meta" : { - "globalKey" : "3f1254" - } - }, - "meta" : { - "globalKey" : "3f1254" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "cb0747c7" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-12-20", - "meta" : { - "globalKey" : "3f27aa" - } - }, - "meta" : { - "globalKey" : "7b8a4704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "57BGE9AD0", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "LEXMARK INTERNATIONAL, INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "36296790" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US529772AF23", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "209b2f4d" - } - }, - "meta" : { - "globalKey" : "d5cce1c9" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "c4b4186f" - } - }, - "meta" : { - "globalKey" : "c4b4186f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57f73a0b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f5442030", - "externalReference" : "DTCC00001234" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "379b9853", - "externalReference" : "DTCC00005678" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "f5442030", - "externalReference" : "DTCC00001234" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -1003,7 +989,7 @@ } }, "meta" : { - "globalKey" : "c0103472" + "globalKey" : "c215bf22" } }, "state" : { @@ -1057,15 +1043,15 @@ } } ], "meta" : { - "globalKey" : "cd129c44" + "globalKey" : "ab63b6f4" } } ], "meta" : { - "globalKey" : "db03245f" + "globalKey" : "886bb55f" } }, "previousWorkflowStep" : { - "globalReference" : "21a4bdb8" + "globalReference" : "5f5a98f8" }, "messageInformation" : { "messageId" : { @@ -1162,6 +1148,6 @@ } } ], "meta" : { - "globalKey" : "fc0d5436" + "globalKey" : "725d6336" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade5-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade5-func-output.json index 6ffc3cecfb..3cba2c59e6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade5-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade5-func-output.json @@ -59,6 +59,200 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-25", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "270f68c4" + } + }, + "meta" : { + "globalKey" : "270f68c4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2046-09-25", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2a5848c4" + } + }, + "meta" : { + "globalKey" : "2a5848c4" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + }, { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "b7a5bb40" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "THEISSUEROFTHEREFERENCEOBLIGATION", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "260265d9" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US02147DAK72", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "protectionTerms" : [ { + "floatingAmountEvents" : { + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "globalKey" : "cddbd672" + } + } ], + "meta" : { + "globalKey" : "96c72f93" + } + }, + "meta" : { + "globalKey" : "96c72f93" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "b8bfc5b6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 23000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "7ef45e5b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "48967e90", + "externalReference" : "DTCC00001234" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "48967e90", @@ -116,207 +310,6 @@ "globalKey" : "3f1259" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-25", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "270f68c4" - } - }, - "meta" : { - "globalKey" : "270f68c4" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2046-09-25", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2a5848c4" - } - }, - "meta" : { - "globalKey" : "2a5848c4" - } - }, - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - }, { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "b7a5bb40" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "THEISSUEROFTHEREFERENCEOBLIGATION", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "260265d9" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US02147DAK72", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "protectionTerms" : [ { - "floatingAmountEvents" : { - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : false, - "rateSource" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - } - }, - "meta" : { - "globalKey" : "cddbd672" - } - } ], - "meta" : { - "globalKey" : "96c72f93" - } - }, - "meta" : { - "globalKey" : "96c72f93" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "b8bfc5b6" - } - }, - "meta" : { - "globalKey" : "b8bfc5b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 23000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7ef45e5b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "48967e90", - "externalReference" : "DTCC00001234" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -373,11 +366,11 @@ } } ], "meta" : { - "globalKey" : "69306cf1" + "globalKey" : "4b0f9831" } }, "meta" : { - "globalKey" : "69306cf1" + "globalKey" : "4b0f9831" } } } @@ -385,8 +378,202 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-25", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "270f68c4" + } + }, + "meta" : { + "globalKey" : "270f68c4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2046-09-25", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2a5848c4" + } + }, + "meta" : { + "globalKey" : "2a5848c4" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + }, { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "b7a5bb40" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "THEISSUEROFTHEREFERENCEOBLIGATION", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "260265d9" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US02147DAK72", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "protectionTerms" : [ { + "floatingAmountEvents" : { + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "globalKey" : "cddbd672" + } + } ], + "meta" : { + "globalKey" : "96c72f93" + } + }, + "meta" : { + "globalKey" : "96c72f93" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "b8bfc5b6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 23000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "7ef45e5b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "48967e90", + "externalReference" : "DTCC00001234" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { "globalReference" : "48967e90", "externalReference" : "DTCC00001234" }, @@ -442,207 +629,6 @@ "globalKey" : "3f1259" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-25", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "270f68c4" - } - }, - "meta" : { - "globalKey" : "270f68c4" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2046-09-25", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2a5848c4" - } - }, - "meta" : { - "globalKey" : "2a5848c4" - } - }, - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - }, { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "b7a5bb40" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "THEISSUEROFTHEREFERENCEOBLIGATION", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "260265d9" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US02147DAK72", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "protectionTerms" : [ { - "floatingAmountEvents" : { - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : false, - "rateSource" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - } - }, - "meta" : { - "globalKey" : "cddbd672" - } - } ], - "meta" : { - "globalKey" : "96c72f93" - } - }, - "meta" : { - "globalKey" : "96c72f93" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "b8bfc5b6" - } - }, - "meta" : { - "globalKey" : "b8bfc5b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 23000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7ef45e5b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "48967e90", - "externalReference" : "DTCC00001234" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -754,22 +740,22 @@ } }, "meta" : { - "globalKey" : "89968e12" + "globalKey" : "fabf8ad2" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "fa1e3df5" + "globalKey" : "c4fb0ab5" } } ], "meta" : { - "globalKey" : "ded5ffe3" + "globalKey" : "aaa3f0a3" } }, "previousWorkflowStep" : { - "globalReference" : "98b597f7" + "globalReference" : "ada3f699" }, "messageInformation" : { "messageId" : { @@ -866,6 +852,6 @@ } } ], "meta" : { - "globalKey" : "d01e05a5" + "globalKey" : "a5c50ce5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade6-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade6-func-output.json index efebd84b1d..767bf0298c 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade6-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/dtcc-11-0/DDL_NewTrade6-func-output.json @@ -70,6 +70,265 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-11-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26f31f7b" + } + }, + "meta" : { + "globalKey" : "26f31f7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-20", + "meta" : { + "globalKey" : "3f0a54" + } + }, + "meta" : { + "globalKey" : "3f0a54" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "5a4b3fc7" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2017-12-20", + "meta" : { + "globalKey" : "3f1faa" + } + }, + "meta" : { + "globalKey" : "30014704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "57BGE9AD0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "LEXMARK INTERNATIONAL, INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "36296790" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US529772AF23", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "209b2f4d" + } + }, + "meta" : { + "globalKey" : "47f5e1c9" + } + }, + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "f69cd8a9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d478ac4b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "780f3919", + "externalReference" : "DTCC00001234" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "233cfd90", @@ -127,272 +386,6 @@ "globalKey" : "3f0acf" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26f31f7b" - } - }, - "meta" : { - "globalKey" : "26f31f7b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-20", - "meta" : { - "globalKey" : "3f0a54" - } - }, - "meta" : { - "globalKey" : "3f0a54" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "5a4b3fc7" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2017-12-20", - "meta" : { - "globalKey" : "3f1faa" - } - }, - "meta" : { - "globalKey" : "30014704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "57BGE9AD0", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "LEXMARK INTERNATIONAL, INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "36296790" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US529772AF23", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "209b2f4d" - } - }, - "meta" : { - "globalKey" : "47f5e1c9" - } - }, - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "f69cd8a9" - } - }, - "meta" : { - "globalKey" : "f69cd8a9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d478ac4b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "780f3919", - "externalReference" : "DTCC00001234" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -449,7 +442,7 @@ } } ], "meta" : { - "globalKey" : "d105b458" + "globalKey" : "68ae833a" } }, "transferHistory" : [ { @@ -465,36 +458,282 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD", + "settlementDate" : { + "unadjustedDate" : "2017-11-20" + } + }, + "meta" : { + "globalKey" : "f842c338" + } + } ], + "meta" : { + "globalKey" : "60db413e" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-11-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26f31f7b" + } + }, + "meta" : { + "globalKey" : "26f31f7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-20", "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" + "globalKey" : "3f0a54" } }, - "identifierType" : "CurrencyCode" - } ] + "meta" : { + "globalKey" : "3f0a54" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "5a4b3fc7" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2017-12-20", + "meta" : { + "globalKey" : "3f1faa" + } + }, + "meta" : { + "globalKey" : "30014704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "57BGE9AD0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "LEXMARK INTERNATIONAL, INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "36296790" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US529772AF23", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "209b2f4d" + } + }, + "meta" : { + "globalKey" : "47f5e1c9" + } + }, + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "f69cd8a9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } } }, - "settlementDate" : { - "unadjustedDate" : "2017-11-20" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "globalKey" : "57a853ad" + "globalKey" : "d478ac4b" } - } ], - "meta" : { - "globalKey" : "d6286455" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "780f3919", + "externalReference" : "DTCC00001234" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "233cfd90", @@ -552,272 +791,6 @@ "globalKey" : "3f0acf" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26f31f7b" - } - }, - "meta" : { - "globalKey" : "26f31f7b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-20", - "meta" : { - "globalKey" : "3f0a54" - } - }, - "meta" : { - "globalKey" : "3f0a54" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "5a4b3fc7" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2017-12-20", - "meta" : { - "globalKey" : "3f1faa" - } - }, - "meta" : { - "globalKey" : "30014704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "57BGE9AD0", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "LEXMARK INTERNATIONAL, INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "36296790" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US529772AF23", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "209b2f4d" - } - }, - "meta" : { - "globalKey" : "47f5e1c9" - } - }, - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "f69cd8a9" - } - }, - "meta" : { - "globalKey" : "f69cd8a9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d478ac4b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "780f3919", - "externalReference" : "DTCC00001234" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -940,7 +913,7 @@ } }, "meta" : { - "globalKey" : "150130a9" + "globalKey" : "c3a8b08b" } }, "state" : { @@ -959,37 +932,24 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2017-11-20" } }, "meta" : { - "globalKey" : "57a853ad" + "globalKey" : "f842c338" } } ], "meta" : { - "globalKey" : "793bcb61" + "globalKey" : "2bbe30ca" } } ], "meta" : { - "globalKey" : "1ee75c21" + "globalKey" : "9396a0f3" } }, "previousWorkflowStep" : { - "globalReference" : "c4a09c9e" + "globalReference" : "b6446f3" }, "messageInformation" : { "messageId" : { @@ -1086,6 +1046,6 @@ } } ], "meta" : { - "globalKey" : "d129374c" + "globalKey" : "240a51ba" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada-func-output.json index 3da4a202ee..45e253852f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada-func-output.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789011", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c67" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "meta" : { - "globalKey" : "1f7333" - } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789011", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c67" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -746,7 +729,7 @@ } } ], "meta" : { - "globalKey" : "c2fd1253" + "globalKey" : "5bec0382" } }, "transferHistory" : [ { @@ -797,7 +780,7 @@ } } ], "meta" : { - "globalKey" : "ef673808" + "globalKey" : "9e753137" } } } @@ -805,339 +788,322 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789011", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c67" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789011", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c67" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -1546,7 +1512,7 @@ } }, "meta" : { - "globalKey" : "4dccbb06" + "globalKey" : "31d35d75" } }, "state" : { @@ -1600,15 +1566,15 @@ } } ], "meta" : { - "globalKey" : "8f3f739e" + "globalKey" : "12fa3e4d" } } ], "meta" : { - "globalKey" : "1081fdb" + "globalKey" : "991d55c9" } }, "previousWorkflowStep" : { - "globalReference" : "73452435" + "globalReference" : "5dd9383e" }, "messageInformation" : { "messageId" : { @@ -1932,6 +1898,6 @@ } } ], "meta" : { - "globalKey" : "38803baf" + "globalKey" : "33889581" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00-func-output.json index b033ddc9cc..11951d8b96 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00-func-output.json @@ -30,310 +30,303 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "50f440e6" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0E69A8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "0E69A8" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "717c0b9e" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0E69A8", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US042735AL41", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : "717c0b9e" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US042735AL41", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "ARW", - "meta" : { - "scheme" : "http://www.imgr.com/schemes/entity-id" - } - } ], - "name" : { - "value" : "ARW" - }, - "meta" : { - "globalKey" : "3bb830c" - } + "scheme" : "http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" - } - } ] - }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "959800NKRMZ8NEKQ0A23", + "quantity" : [ { + "value" : { + "value" : 70000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "identifierType" : "LEI", + } ], "meta" : { - "globalKey" : "3d4a07f0" + "globalKey" : "e6be80f3" } - } ], + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "50f440e6" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "959800NKRMZ8NEKQ0A23", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "identifierType" : "LEI", + "meta" : { + "globalKey" : "3d4a07f0" + } + } ], "name" : { "value" : "INVEST MGR" }, @@ -414,7 +407,7 @@ } } ], "meta" : { - "globalKey" : "4cf08da0" + "globalKey" : "bc535354" } }, "transferHistory" : [ { @@ -456,7 +449,7 @@ } } ], "meta" : { - "globalKey" : "881a6fc3" + "globalKey" : "baf2c877" } } } @@ -464,296 +457,289 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "50f440e6" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0E69A8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "0E69A8" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "717c0b9e" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0E69A8", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US042735AL41", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : "717c0b9e" + "scheme" : "http://www.imgr.com/schemes/entity-id" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US042735AL41", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "ARW", - "meta" : { - "scheme" : "http://www.imgr.com/schemes/entity-id" - } - } ], - "name" : { - "value" : "ARW" - }, - "meta" : { - "globalKey" : "3bb830c" - } - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "50f440e6" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -874,7 +860,7 @@ } } ], "meta" : { - "globalKey" : "2917ed1d" + "globalKey" : "f0de39d1" } }, "state" : { @@ -919,15 +905,15 @@ } } ], "meta" : { - "globalKey" : "a687c063" + "globalKey" : "2818c317" } } ], "meta" : { - "globalKey" : "19bcab25" + "globalKey" : "fdebbecd" } }, "previousWorkflowStep" : { - "globalReference" : "702f3941" + "globalReference" : "fad9f2c5" }, "messageInformation" : { "messageId" : { @@ -1051,6 +1037,6 @@ } } ], "meta" : { - "globalKey" : "ca143f9d" + "globalKey" : "cf874cf5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00-func-output.json index b6495d9127..ac564775c5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00-func-output.json @@ -122,296 +122,289 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "50f440e6" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0E69A8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "0E69A8" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "717c0b9e" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0E69A8", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US042735AL41", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : 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"meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - 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"http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : "717c0b9e" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US042735AL41", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "ARW", - "meta" : { - "scheme" : "http://www.imgr.com/schemes/entity-id" - } - } ], - "name" : { - "value" : "ARW" - }, - "meta" : { - "globalKey" : "3bb830c" - } + "scheme" : "http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "50f440e6" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -1493,7 +1472,7 @@ } } ], "meta" : { - "globalKey" : "bd9559e8" + "globalKey" : "e4697f34" } }, "transferHistory" : [ { @@ -1535,15 +1514,15 @@ } } ], "meta" : { - "globalKey" : "75822a0b" + "globalKey" : "c365fc57" } } ], "meta" : { - "globalKey" : "b35c182e" + "globalKey" : "4dec0044" } }, "previousWorkflowStep" : { - "globalReference" : "adbcaef" + "globalReference" : "3498d22b" }, "messageInformation" : { "messageId" : { @@ -1687,6 +1666,6 @@ } } ], "meta" : { - "globalKey" : "b7f2a447" + "globalKey" : "2210e15d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10-func-output.json index 3966c6284d..e4f9219ead 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10-func-output.json @@ -122,296 +122,289 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "50f440e6" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0E69A8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "0E69A8" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "717c0b9e" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0E69A8", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US042735AL41", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : "717c0b9e" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US042735AL41", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "ARW", - "meta" : { - "scheme" : "http://www.imgr.com/schemes/entity-id" - } - } ], - "name" : { - "value" : "ARW" - }, - "meta" : { - "globalKey" : "3bb830c" - } + "scheme" : "http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "50f440e6" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -552,7 +545,7 @@ } } ], "meta" : { - "globalKey" : "d9adada6" + "globalKey" : "cacd6e72" } }, "transferHistory" : [ { @@ -594,7 +587,7 @@ } } ], "meta" : { - "globalKey" : "26a40e49" + "globalKey" : "948c9c15" } } } @@ -602,292 +595,285 @@ "eventQualifier" : "PartialNovation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 3 - } ], - "meta" : { - "globalKey" : "4143ec61" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0E69A8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "0E69A8" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "717c0b9e" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0E69A8", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US042735AL41", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : "717c0b9e" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US042735AL41", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "ARW", - "meta" : { - "scheme" : "http://www.imgr.com/schemes/entity-id" - } - } ], - "name" : { - "value" : "ARW" - }, - "meta" : { - "globalKey" : "3bb830c" - } + "scheme" : "http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], - "meta" : { - "globalKey" : "36e273c5" + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, + "meta" : { + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "7156036b", - "externalReference" : "_broker2" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "7156036b", + "externalReference" : "_broker2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 3 + } ], + "meta" : { + "globalKey" : "4143ec61" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -1008,7 +994,7 @@ } } ], "meta" : { - "globalKey" : "39f032dd" + "globalKey" : "c535e9b5" } }, "transferHistory" : [ { @@ -1059,300 +1045,293 @@ } } ], "meta" : { - "globalKey" : "41f10bcf" + "globalKey" : "ff725f7" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "50f440e6" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0E69A8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "0E69A8" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "717c0b9e" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0E69A8", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US042735AL41", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "0E69A8" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "ARW", "meta" : { - "globalKey" : "717c0b9e" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US042735AL41", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "ARW", - "meta" : { - "scheme" : "http://www.imgr.com/schemes/entity-id" - } - } ], - "name" : { - "value" : "ARW" - }, - "meta" : { - "globalKey" : "3bb830c" - } + "scheme" : "http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "6e543b1c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "6e543b1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6e543b1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 45000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "b8210e9b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 45000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b8210e9b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "50f440e6" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -1493,7 +1472,7 @@ } } ], "meta" : { - "globalKey" : "ba0f474e" + "globalKey" : "7ed021a" } }, "transferHistory" : [ { @@ -1535,15 +1514,15 @@ } } ], "meta" : { - "globalKey" : "b79d3df1" + "globalKey" : "be4545bd" } } ], "meta" : { - "globalKey" : "31917871" + "globalKey" : "66ca6871" } }, "previousWorkflowStep" : { - "globalReference" : "b37e5c49" + "globalReference" : "4f11185" }, "messageInformation" : { "messageId" : { @@ -1687,6 +1666,6 @@ } } ], "meta" : { - "globalKey" : "63056b2c" + "globalKey" : "f2c65b2c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00-func-output.json index e9dad0dc56..13634d637d 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00-func-output.json @@ -30,269 +30,271 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR3456", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:Index:CDX:CDXIG" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3eca41" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "5102d0a6" - } - } ], - "tradeDate" : { - "value" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:Index:CDX:CDXIG" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - } - }, - "meta" : { - "globalKey" : "3eca41" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-20", - "meta" : { - "globalKey" : "3ec994" - } - }, - "meta" : { - "globalKey" : "3ec994" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "c9d95f07" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-20", "meta" : { - "globalKey" : "3edeea" + "globalKey" : "3ec994" } }, "meta" : { - "globalKey" : "9ca46f04" + "globalKey" : "3ec994" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "c9d95f07" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "3edeea" + } + }, + "meta" : { + "globalKey" : "9ca46f04" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX-NAIGHVOLS10.5Y" + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65B3BA0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX-NAIGHVOLS10.5Y" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX-NAIGHVOLS10.5Y" - }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "5018bf1c" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "5018bf1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ad90aaa9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "5102d0a6" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -387,7 +389,7 @@ } } ], "meta" : { - "globalKey" : "1123b8e0" + "globalKey" : "f8afd161" } }, "transferHistory" : [ { @@ -429,7 +431,7 @@ } } ], "meta" : { - "globalKey" : "9df2cb03" + "globalKey" : "c7b18344" } } } @@ -437,269 +439,271 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR3456", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:Index:CDX:CDXIG" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3eca41" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "5102d0a6" - } - } ], - "tradeDate" : { - "value" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:Index:CDX:CDXIG" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - } - }, - "meta" : { - "globalKey" : "3eca41" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-20", - "meta" : { - "globalKey" : "3ec994" - } - }, - "meta" : { - "globalKey" : "3ec994" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "c9d95f07" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-20", "meta" : { - "globalKey" : "3edeea" + "globalKey" : "3ec994" } }, "meta" : { - "globalKey" : "9ca46f04" + "globalKey" : "3ec994" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "c9d95f07" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "3edeea" + } + }, + "meta" : { + "globalKey" : "9ca46f04" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX-NAIGHVOLS10.5Y" + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65B3BA0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX-NAIGHVOLS10.5Y" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX-NAIGHVOLS10.5Y" - }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "5018bf1c" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "5018bf1c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ad90aaa9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "5102d0a6" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -820,7 +824,7 @@ } } ], "meta" : { - "globalKey" : "c5aca6ad" + "globalKey" : "91a42fee" } }, "state" : { @@ -865,15 +869,15 @@ } } ], "meta" : { - "globalKey" : "df5af1f3" + "globalKey" : "99eaeb4" } } ], "meta" : { - "globalKey" : "2a7208e5" + "globalKey" : "7f8b071f" } }, "previousWorkflowStep" : { - "globalReference" : "ad3abe23" + "globalReference" : "5f6cbd04" }, "messageInformation" : { "messageId" : { @@ -997,6 +1001,6 @@ } } ], "meta" : { - "globalKey" : "af563914" + "globalKey" : "7a23451a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation-func-output.json index abb71d83c3..d92b365a51 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation-func-output.json @@ -5,131 +5,52 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS2", - "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "5059ee62" - } - } ], - "tradeDate" : { - "value" : "2007-07-27", - "meta" : { - "globalKey" : "3eb9db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" - } - }, - "meta" : { - "globalKey" : "901eeebf" - } - }, - "meta" : { - "globalKey" : "901eeebf" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "99ecd50c", - "externalKey" : "BCT1" - } - }, - "meta" : { - "globalKey" : "706f885d" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -144,137 +65,141 @@ "globalKey" : "778e11e1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "31b6e8b4", - "externalKey" : "CALC1" + "globalKey" : "901eeebf" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "901eeebf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "a3ccd2d2" + "globalKey" : "99ecd50c", + "externalKey" : "BCT1" } }, "meta" : { - "globalKey" : "778e11e1" + "globalKey" : "706f885d" } }, "meta" : { - "globalKey" : "6ede1514" + "globalKey" : "9a6e183f" } }, "meta" : { - "globalKey" : "d9797f05" + "globalKey" : "9a6e183f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "a3ccd2d2" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "778e11e1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "31b6e8b4", + "externalKey" : "CALC1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "778e11e1" + } + }, + "meta" : { + "globalKey" : "6ede1514" + } + }, + "meta" : { + "globalKey" : "d9797f05" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "97243c03" - } - }, - "meta" : { - "globalKey" : "afb518e1" - } - }, - "meta" : { - "globalKey" : "afb518e1" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" - } - }, - "meta" : { - "globalKey" : "6637debf" - } - }, - "meta" : { - "globalKey" : "6637debf" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "99ecd50c", @@ -285,32 +210,21 @@ } }, "meta" : { - "globalKey" : "778e11e1" + "globalKey" : "97243c03" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "640a44b1", - "externalKey" : "CALC2" + "globalKey" : "afb518e1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "afb518e1" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -326,175 +240,270 @@ } }, "meta" : { - "globalKey" : "43fa7543" + "globalKey" : "6637debf" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "640a44b1", - "externalReference" : "CALC2" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "536cd230" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "35909c47", - "externalReference" : "RES2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" - } + "meta" : { + "globalKey" : "6637debf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "35909c47", - "externalKey" : "RES2" + "globalKey" : "a3ccd2d2" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "b03d8e45" + "globalKey" : "778e11e1" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "8ad6a9e0" + "globalKey" : "640a44b1", + "externalKey" : "CALC2" } - } - }, - "meta" : { - "globalKey" : "d411f351" - } - }, - "meta" : { - "globalKey" : "d411f351" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0987, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "43fa7543" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "640a44b1", + "externalReference" : "CALC2" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "536cd230" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "35909c47", + "externalReference" : "RES2" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" + } + }, + "meta" : { + "globalKey" : "35909c47", + "externalKey" : "RES2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "b03d8e45" } } ], "meta" : { - "globalKey" : "83890fee" + "globalKey" : "8ad6a9e0" } - }, { - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } + }, + "meta" : { + "globalKey" : "d411f351" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0987, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "JPY-BBSF-Bloomberg-15:00" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "globalKey" : "51c872d" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } }, "meta" : { - "globalKey" : "7ce2984e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" + } ], + "meta" : { + "globalKey" : "83890fee" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "98985a5b", - "externalReference" : "FIRST" + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "45b8ec09" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "98985a5b", + "externalReference" : "FIRST" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS2", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "5059ee62" + } + } ], + "tradeDate" : { + "value" : "2007-07-27", + "meta" : { + "globalKey" : "3eb9db" + } }, "party" : [ { "partyId" : [ { @@ -609,11 +618,11 @@ } } ], "meta" : { - "globalKey" : "314ee2c8" + "globalKey" : "f4fd2629" } }, "meta" : { - "globalKey" : "314ee2c8" + "globalKey" : "f4fd2629" } } } @@ -621,275 +630,52 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS2", - "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "5059ee62" - } - } ], - "tradeDate" : { - "value" : "2007-07-27", - "meta" : { - "globalKey" : "3eb9db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" - } - }, - "meta" : { - "globalKey" : "901eeebf" - } - }, - "meta" : { - "globalKey" : "901eeebf" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "99ecd50c", - "externalKey" : "BCT1" - } - }, - "meta" : { - "globalKey" : "706f885d" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, - "meta" : { - "globalKey" : "31b6e8b4", - "externalKey" : "CALC1" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "6ede1514" } }, "meta" : { - "globalKey" : "d9797f05" + "globalKey" : "0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "97243c03" - } - }, - "meta" : { - "globalKey" : "afb518e1" - } - }, - "meta" : { - "globalKey" : "afb518e1" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "a3ccd2d2" - } - }, - "meta" : { - "globalKey" : "778e11e1" - } - }, - "meta" : { - "globalKey" : "6637debf" - } - }, - "meta" : { - "globalKey" : "6637debf" - } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -904,30 +690,141 @@ "globalKey" : "778e11e1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "640a44b1", - "externalKey" : "CALC2" + "globalKey" : "901eeebf" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "901eeebf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "99ecd50c", + "externalKey" : "BCT1" + } + }, "meta" : { - "globalKey" : "78" + "globalKey" : "706f885d" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "9a6e183f" + } + }, + "meta" : { + "globalKey" : "9a6e183f" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "31b6e8b4", + "externalKey" : "CALC1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" + } + }, + "meta" : { + "globalKey" : "6ede1514" + } + }, + "meta" : { + "globalKey" : "d9797f05" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "99ecd50c", @@ -938,39 +835,21 @@ } }, "meta" : { - "globalKey" : "778e11e1" + "globalKey" : "97243c03" } }, "meta" : { - "globalKey" : "43fa7543" + "globalKey" : "afb518e1" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "640a44b1", - "externalReference" : "CALC2" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "536cd230" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "35909c47", - "externalReference" : "RES2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "afb518e1" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -986,131 +865,270 @@ } }, "meta" : { - "globalKey" : "35909c47", - "externalKey" : "RES2" + "globalKey" : "6637debf" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "b03d8e45" + "globalKey" : "6637debf" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "8ad6a9e0" + "globalKey" : "640a44b1", + "externalKey" : "CALC2" } - } - }, - "meta" : { - "globalKey" : "d411f351" - } - }, - "meta" : { - "globalKey" : "d411f351" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0987, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "43fa7543" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "640a44b1", + "externalReference" : "CALC2" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "536cd230" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "35909c47", + "externalReference" : "RES2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "a3ccd2d2" + } + }, + "meta" : { + "globalKey" : "778e11e1" + } + }, + "meta" : { + "globalKey" : "35909c47", + "externalKey" : "RES2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "b03d8e45" } } ], "meta" : { - "globalKey" : "83890fee" + "globalKey" : "8ad6a9e0" } - }, { - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } + }, + "meta" : { + "globalKey" : "d411f351" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0987, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "JPY-BBSF-Bloomberg-15:00" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "globalKey" : "51c872d" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } }, "meta" : { - "globalKey" : "7ce2984e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" + } ], + "meta" : { + "globalKey" : "83890fee" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "98985a5b", - "externalReference" : "FIRST" + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "45b8ec09" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "98985a5b", + "externalReference" : "FIRST" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS2", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "5059ee62" + } + } ], + "tradeDate" : { + "value" : "2007-07-27", + "meta" : { + "globalKey" : "3eb9db" + } }, "party" : [ { "partyId" : [ { @@ -1225,22 +1243,22 @@ } } ], "meta" : { - "globalKey" : "314ee2c8" + "globalKey" : "f4fd2629" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "95143d2b" + "globalKey" : "263f2c4c" } } ], "meta" : { - "globalKey" : "2607b997" + "globalKey" : "99f35d67" } }, "previousWorkflowStep" : { - "globalReference" : "b2882ce3" + "globalReference" : "fff64712" }, "messageInformation" : { "messageId" : { @@ -1384,6 +1402,6 @@ } } ], "meta" : { - "globalKey" : "44a59e01" + "globalKey" : "1351f1d1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada-func-output.json index a7143b5657..97ea316276 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada-func-output.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "meta" : { - "globalKey" : "1f7333" - } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -746,7 +729,7 @@ } } ], "meta" : { - "globalKey" : "43c48c54" + "globalKey" : "9460a261" } }, "transferHistory" : [ { @@ -797,7 +780,7 @@ } } ], "meta" : { - "globalKey" : "451e2a09" + "globalKey" : "1cc35816" } } } @@ -805,339 +788,322 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -1546,7 +1512,7 @@ } }, "meta" : { - "globalKey" : "cd4e47c7" + "globalKey" : "e7905194" } }, "state" : { @@ -1600,15 +1566,15 @@ } } ], "meta" : { - "globalKey" : "270c4c1f" + "globalKey" : "70182eac" } } ], "meta" : { - "globalKey" : "e1bbbbbb" + "globalKey" : "2765d9c7" } }, "previousWorkflowStep" : { - "globalReference" : "4960b8eb" + "globalReference" : "1c32d774" }, "messageInformation" : { "messageId" : { @@ -1932,6 +1898,6 @@ } } ], "meta" : { - "globalKey" : "c1850ae6" + "globalKey" : "b478225a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada-func-output.json index 193e0a2fef..96333870d6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada-func-output.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : 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"marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a3344cf2", + "externalReference" : "clearing-svc" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a3344cf2", - "externalReference" : "clearing-svc" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -1432,7 +1398,7 @@ } }, "meta" : { - "globalKey" : "e9e406e4" + "globalKey" : "c4df9e77" } }, "state" : { @@ -1486,15 +1452,15 @@ } } ], "meta" : { - "globalKey" : "495858b3" + "globalKey" : "610dd846" } } ], "meta" : { - "globalKey" : "1723c187" + "globalKey" : "acaf023" } }, "previousWorkflowStep" : { - "globalReference" : "519d285a" + "globalReference" : "a1261d59" }, "messageInformation" : { "messageId" : { @@ -1761,6 +1727,6 @@ } } ], "meta" : { - "globalKey" : "f886ded1" + "globalKey" : "b957586d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada-func-output.json index 1a22584eaa..5845a8af53 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada-func-output.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "meta" : { - "globalKey" : "1f7333" - } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -746,7 +729,7 @@ } } ], "meta" : { - "globalKey" : "43c48c54" + "globalKey" : "9460a261" } }, "transferHistory" : [ { @@ -797,7 +780,7 @@ } } ], "meta" : { - "globalKey" : "451e2a09" + "globalKey" : "1cc35816" } } } @@ -805,339 +788,322 @@ "eventQualifier" : "ContractFormation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "d03e938b" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "d03e938b" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "2e55900b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c96f7733", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c96f7733", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -1546,7 +1512,7 @@ } }, "meta" : { - "globalKey" : "cd4e47c7" + "globalKey" : "e7905194" } }, "state" : { @@ -1600,15 +1566,15 @@ } } ], "meta" : { - "globalKey" : "270c4c1f" + "globalKey" : "70182eac" } } ], "meta" : { - "globalKey" : "85ba44c3" + "globalKey" : "1e428ccf" } }, "previousWorkflowStep" : { - "globalReference" : "7ad32f5e" + "globalReference" : "c0d2a2d7" }, "messageInformation" : { "messageId" : { @@ -1932,6 +1898,6 @@ } } ], "meta" : { - "globalKey" : "a61fde09" + "globalKey" : "6100b7d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-clearing-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-clearing-func-output.json index e40d33ecb8..fc22fdcfba 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-clearing-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-new-trade-CFTC-clearing-func-output.json @@ -93,297 +93,290 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" } } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "globalKey" : "3ec8da" } - } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true + "transactedPrice" : { + "marketFixedRate" : 0.02 + }, + "meta" : { + "globalKey" : "c847dc2a" + } }, "meta" : { - "globalKey" : "67138a32" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "67138a32" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "67138a32" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "620de0a", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a3344cf2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "620de0a", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a3344cf2", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -618,7 +611,7 @@ } } ], "meta" : { - "globalKey" : "4fa65bae" + "globalKey" : "6f5eaf6e" } }, "transferHistory" : [ { @@ -660,23 +653,263 @@ } } }, - "transferExpression" : { - "priceTransfer" : "Upfront" + "transferExpression" : { + "priceTransfer" : "Upfront" + } + }, + "meta" : { + "globalKey" : "2947bd97" + } + } ], + "meta" : { + "globalKey" : "f3f3fd05" + } + } + } + } ], + "eventQualifier" : "ContractFormation", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" + } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" + } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" + }, + "meta" : { + "globalKey" : "54140007", + "externalKey" : "referenceEntity" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" + } + }, + "identifierType" : "Other" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "transactedPrice" : { + "marketFixedRate" : 0.02 + }, + "meta" : { + "globalKey" : "c847dc2a" + } + }, + "meta" : { + "globalKey" : "bd438fa6" + } + }, + "nonStandardisedTerms" : true + }, + "meta" : { + "globalKey" : "67138a32" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "globalKey" : "2947bd97" + "globalKey" : "280b774f" } - } ], - "meta" : { - "globalKey" : "30b9a945" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "620de0a", + "externalReference" : "party2" } - } - } - } ], - "eventQualifier" : "ContractFormation", - "after" : [ { - "trade" : { + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a3344cf2", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "FCHUXIINML", @@ -722,253 +955,6 @@ "globalKey" : "3ed88c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" - } - }, - "meta" : { - "globalKey" : "3ef194" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", - "meta" : { - "globalKey" : "3ede2a" - } - }, - "meta" : { - "globalKey" : "658f9704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" - }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" - } - }, - "nonStandardisedTerms" : true - }, - "meta" : { - "globalKey" : "67138a32" - } - }, - "meta" : { - "globalKey" : "67138a32" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "280b774f" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "620de0a", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a3344cf2", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -1290,7 +1276,7 @@ } } ], "meta" : { - "globalKey" : "940ac18a" + "globalKey" : "c5abc54a" } }, "state" : { @@ -1344,15 +1330,15 @@ } } ], "meta" : { - "globalKey" : "67094904" + "globalKey" : "41fa5cc4" } } ], "meta" : { - "globalKey" : "d294223" + "globalKey" : "a165a6e3" } }, "previousWorkflowStep" : { - "globalReference" : "f757cf0e" + "globalReference" : "7ad93a44" }, "messageInformation" : { "messageId" : { @@ -1614,6 +1600,6 @@ } } ], "meta" : { - "globalKey" : "4839ed25" + "globalKey" : "c77b01e5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-func-output.json index f4f7665ebf..5cd87c5e96 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-func-output.json @@ -80,325 +80,283 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", + "product" : { + "identifier" : [ { + "identifier" : { + "value" : "SWI-ST-USD-IRS" + }, + "source" : "Other", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "dff03671" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } ], + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "USLA" - } ], - "meta" : { - "globalKey" : "4fc9cca", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "9885f05b" - } - }, - "meta" : { - "globalKey" : "d306c6d3" - } - }, - "meta" : { - "globalKey" : "d306c6d3" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "7f7db7c1" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "93d926e3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ec0f7dc0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "USLA" + } ], "meta" : { - "globalKey" : "85aa00f2" + "globalKey" : "4fc9cca", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "7f7db7c1" + "globalKey" : "9885f05b" } }, "meta" : { - "globalKey" : "e9c1d831" + "globalKey" : "d306c6d3" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "93d926e3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "ab29de88", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" - } + "meta" : { + "globalKey" : "d306c6d3" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "ab29de88", - "externalKey" : "resetDates" + "globalKey" : "85aa00f2" } }, "meta" : { - "globalKey" : "2a902299" + "globalKey" : "7f7db7c1" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "93d926e3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "85aa00f2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "meta" : { + "globalKey" : "e9c1d831" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "93d926e3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "30E/360" + "dateRelativeTo" : { + "globalReference" : "ab29de88", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "85aa00f2" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "meta" : { + "globalKey" : "ab29de88", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2a902299" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" - } - }, - "meta" : { - "globalKey" : "967bae49" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "967bae49" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -413,186 +371,240 @@ "globalKey" : "7f7db7c1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "2b5e7f9c", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "967bae49" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" - } + "meta" : { + "globalKey" : "967bae49" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "b54aebb4" + "globalKey" : "85aa00f2" } }, "meta" : { - "globalKey" : "867ae62e" + "globalKey" : "7f7db7c1" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "54afd5b5" + "globalKey" : "2b5e7f9c", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "SWI-ST-USD-IRS" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "85aa00f2" + } + }, + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "meta" : { + "globalKey" : "b54aebb4" + } }, - "source" : "Other", "meta" : { - "globalKey" : "dff03671" + "globalKey" : "867ae62e" } } ], "meta" : { - "globalKey" : "d5af5344" + "globalKey" : "54afd5b5" } }, - "meta" : { - "globalKey" : "d5af5344" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 7500000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "680c2cc2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 7500000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "90ac0ddb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "ad39658b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 7500000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "37d33d23" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f08ad79f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "quantity" : [ { + "value" : { + "value" : 7500000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "37d33d23" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f08ad79f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -711,11 +723,11 @@ } } ], "meta" : { - "globalKey" : "96f3a1a3" + "globalKey" : "4bdee63" } }, "meta" : { - "globalKey" : "96f3a1a3" + "globalKey" : "4bdee63" } } } @@ -723,362 +735,283 @@ "eventQualifier" : "PartialTermination", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", + "product" : { + "identifier" : [ { + "identifier" : { + "value" : "SWI-ST-USD-IRS" + }, + "source" : "Other", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "dff03671" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } ], + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "USLA" - } ], - "meta" : { - "globalKey" : "4fc9cca", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "9885f05b" - } - }, - "meta" : { - "globalKey" : "d306c6d3" - } - }, - "meta" : { - "globalKey" : "d306c6d3" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "7f7db7c1" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "93d926e3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ec0f7dc0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" - } - }, - "meta" : { - "globalKey" : "e9c1d831" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "93d926e3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" + }, { + "value" : "USLA" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "4fc9cca", + "externalKey" : "primaryBusinessCenters" } }, - "dateRelativeTo" : { - "globalReference" : "ab29de88", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" + "globalKey" : "9885f05b" } }, "meta" : { - "globalKey" : "ab29de88", - "externalKey" : "resetDates" + "globalKey" : "d306c6d3" } }, "meta" : { - "globalKey" : "2a902299" + "globalKey" : "d306c6d3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "85aa00f2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" - } - }, - "meta" : { - "globalKey" : "967bae49" - } - }, - "meta" : { - "globalKey" : "967bae49" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "85aa00f2" - } - }, - "meta" : { - "globalKey" : "7f7db7c1" - } + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "93d926e3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" + "meta" : { + "globalKey" : "85aa00f2" + } + }, + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "meta" : { + "globalKey" : "e9c1d831" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "93d926e3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "ab29de88", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2b5e7f9c", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "85aa00f2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "meta" : { + "globalKey" : "ab29de88", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2a902299" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1094,148 +1027,239 @@ } }, "meta" : { - "globalKey" : "b54aebb4" + "globalKey" : "967bae49" } }, "meta" : { - "globalKey" : "867ae62e" + "globalKey" : "967bae49" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "85aa00f2" + } + }, + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "54afd5b5" + "globalKey" : "2b5e7f9c", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "SWI-ST-USD-IRS" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "85aa00f2" + } + }, + "meta" : { + "globalKey" : "7f7db7c1" + } + }, + "meta" : { + "globalKey" : "b54aebb4" + } }, - "source" : "Other", "meta" : { - "globalKey" : "dff03671" + "globalKey" : "867ae62e" } } ], "meta" : { - "globalKey" : "d5af5344" + "globalKey" : "54afd5b5" } }, - "meta" : { - "globalKey" : "d5af5344" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "680c2cc2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bd147858" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "a68477ae" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "489aa206" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f08ad79f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "489aa206" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f08ad79f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -1354,7 +1378,7 @@ } } ], "meta" : { - "globalKey" : "d933c3" + "globalKey" : "ce231ddd" } }, "transferHistory" : [ { @@ -1404,15 +1428,15 @@ } } ], "meta" : { - "globalKey" : "ba12b0c6" + "globalKey" : "bd7d3a6c" } } ], "meta" : { - "globalKey" : "dbc8f733" + "globalKey" : "e223de7f" } }, "previousWorkflowStep" : { - "globalReference" : "78362c0c" + "globalReference" : "34b4e774" }, "messageInformation" : { "messageId" : { @@ -1552,6 +1576,6 @@ } } ], "meta" : { - "globalKey" : "3526fee0" + "globalKey" : "f274d214" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-func-output.json index 7bbc8bdfb3..c84c3f964b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-func-output.json @@ -100,207 +100,180 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } ], + }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "0" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "fcfbcff5" - } - }, - "meta" : { - "globalKey" : "fcfbcff5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9, - "unit" : { - "currency" : { - "value" : "USD" + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - }, - "priceType" : "ExchangeRate" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "c600712a" } } ], - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "c600712a" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "30241f4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 18000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 18000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "EUR" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "22e959be" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f08ad79f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3b9fcdcf" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f08ad79f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -439,11 +412,11 @@ } } ], "meta" : { - "globalKey" : "14958631" + "globalKey" : "91c9ab91" } }, "meta" : { - "globalKey" : "14958631" + "globalKey" : "91c9ab91" } } } @@ -451,207 +424,180 @@ "eventQualifier" : "PartialTermination", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } ], + }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "0" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "fcfbcff5" - } - }, - "meta" : { - "globalKey" : "fcfbcff5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9, - "unit" : { - "currency" : { - "value" : "USD" + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - }, - "priceType" : "ExchangeRate" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "c600712a" } } ], - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "c600712a" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "30241f4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 13500000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 13500000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "EUR" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "97da0a7a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f08ad79f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "89b81593" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f08ad79f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -790,7 +736,7 @@ } } ], "meta" : { - "globalKey" : "53f5baf5" + "globalKey" : "d783d55" } }, "transferHistory" : [ { @@ -840,15 +786,15 @@ } } ], "meta" : { - "globalKey" : "cb345e54" + "globalKey" : "1a9c1ff4" } } ], "meta" : { - "globalKey" : "4527d4ad" + "globalKey" : "c878e4ad" } }, "previousWorkflowStep" : { - "globalReference" : "3308e255" + "globalReference" : "6a5b6e57" }, "messageInformation" : { "messageId" : { @@ -1008,6 +954,6 @@ } } ], "meta" : { - "globalKey" : "40f77331" + "globalKey" : "54cc8331" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-swap-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-swap-func-output.json index f014ca81ba..db95eccdf9 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-swap-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/fpml-5-10/processes/msg-partial-termination-xccy-swap-func-output.json @@ -190,331 +190,280 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789013", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f4e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notl1" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notl1" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec0f763e" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-02-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "814e2ae6", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "57d0de37" - } - }, - "meta" : { - "globalKey" : "c15a1c71" - } - }, - "meta" : { - "globalKey" : "c15a1c71" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-02-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "938a3656" + "globalKey" : "814e2ae6", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "674b7565" + "globalKey" : "57d0de37" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "60f2ad2f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "c15a1c71" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } + "meta" : { + "globalKey" : "c15a1c71" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5e9b7898" + "globalKey" : "938a3656" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "60f2ad2f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "b1534d7d", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } + "meta" : { + "globalKey" : "674b7565" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "60f2ad2f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "b1534d7d", - "externalKey" : "resetDates" + "globalKey" : "938a3656" } }, "meta" : { - "globalKey" : "43c3f388" + "globalKey" : "674b7565" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "5e9b7898" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "60f2ad2f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "notl2" + "globalKey" : "21479e" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "dateRelativeTo" : { + "globalReference" : "b1534d7d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "12a6f5" + "globalKey" : "938a3656" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "674b7565" + } + }, + "meta" : { + "globalKey" : "b1534d7d", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "43c3f388" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notl2" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } - }, - "meta" : { - "globalKey" : "609bb4eb" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "609bb4eb" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -529,165 +478,228 @@ "globalKey" : "674b7565" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "609bb4eb" + } + }, + "meta" : { + "globalKey" : "609bb4eb" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "11ed751c", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "938a3656" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } + "meta" : { + "globalKey" : "674b7565" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "11ed751c", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "33b7d8c7" + "globalKey" : "938a3656" } }, "meta" : { - "globalKey" : "14c0b0ac" + "globalKey" : "674b7565" } - } ], + }, "meta" : { - "globalKey" : "af19f024" + "globalKey" : "33b7d8c7" } }, - "nonStandardisedTerms" : false - }, + "meta" : { + "globalKey" : "14c0b0ac" + } + } ], "meta" : { - "globalKey" : "b28e2355" + "globalKey" : "af19f024" } }, - "meta" : { - "globalKey" : "b28e2355" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "b28e2355" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a0325171" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f90337b5" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "ce3ac9dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f08ad79f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "ce3ac9dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f08ad79f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789013", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f4e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -806,343 +818,292 @@ } } ], "meta" : { - "globalKey" : "652fd303" + "globalKey" : "c7266f2b" } }, "meta" : { - "globalKey" : "652fd303" + "globalKey" : "c7266f2b" } } - } - } ], - "eventQualifier" : "PartialTermination", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789013", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } - } ], - "meta" : { - "globalKey" : "88f03f4e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notl1" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + } + } ], + "eventQualifier" : "PartialTermination", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notl1" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-02-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "814e2ae6", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "57d0de37" - } - }, - "meta" : { - "globalKey" : "c15a1c71" - } - }, - "meta" : { - "globalKey" : "c15a1c71" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "674b7565" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "60f2ad2f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ec0f763e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-02-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } - }, - "meta" : { - "globalKey" : "5e9b7898" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "60f2ad2f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" + }, { + "value" : "JPTO" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "814e2ae6", + "externalKey" : "primaryBusinessCenters" } }, - "dateRelativeTo" : { - "globalReference" : "b1534d7d", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", "meta" : { - "globalKey" : "107" + "globalKey" : "57d0de37" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } + "meta" : { + "globalKey" : "c15a1c71" + } + }, + "meta" : { + "globalKey" : "c15a1c71" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "b1534d7d", - "externalKey" : "resetDates" + "globalKey" : "938a3656" } }, "meta" : { - "globalKey" : "43c3f388" + "globalKey" : "674b7565" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "60f2ad2f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0", - "externalKey" : "notl2" + "globalKey" : "938a3656" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "674b7565" + } + }, + "meta" : { + "globalKey" : "5e9b7898" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "60f2ad2f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "12a6f5" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "b1534d7d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "938a3656" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "meta" : { - "globalKey" : "ec0f763e" + "meta" : { + "globalKey" : "674b7565" + } + }, + "meta" : { + "globalKey" : "b1534d7d", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "43c3f388" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notl2" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } - }, - "meta" : { - "globalKey" : "609bb4eb" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "609bb4eb" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1157,165 +1118,228 @@ "globalKey" : "674b7565" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "11ed751c", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "609bb4eb" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "609bb4eb" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "938a3656" - } - }, - "meta" : { - "globalKey" : "674b7565" - } + "meta" : { + "globalKey" : "938a3656" + } + }, + "meta" : { + "globalKey" : "674b7565" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "11ed751c", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "33b7d8c7" + "globalKey" : "938a3656" } }, "meta" : { - "globalKey" : "14c0b0ac" + "globalKey" : "674b7565" } - } ], + }, "meta" : { - "globalKey" : "af19f024" + "globalKey" : "33b7d8c7" } }, - "nonStandardisedTerms" : false - }, + "meta" : { + "globalKey" : "14c0b0ac" + } + } ], "meta" : { - "globalKey" : "b28e2355" + "globalKey" : "af19f024" } }, - "meta" : { - "globalKey" : "b28e2355" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 4000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "b28e2355" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 4000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d572ad3c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "7d35f04a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 400000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 400000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "4cd34c72" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f08ad79f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "4cd34c72" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f08ad79f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789013", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f4e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -1434,7 +1458,7 @@ } } ], "meta" : { - "globalKey" : "b6f3dca3" + "globalKey" : "e1eb2981" } }, "transferHistory" : [ { @@ -1574,15 +1598,15 @@ } } ], "meta" : { - "globalKey" : "ac9674b2" + "globalKey" : "fc38a394" } } ], "meta" : { - "globalKey" : "f17330e7" + "globalKey" : "ed65b297" } }, "previousWorkflowStep" : { - "globalReference" : "b105783b" + "globalReference" : "d2d6bbbf" }, "messageInformation" : { "messageId" : { @@ -1722,6 +1746,6 @@ } } ], "meta" : { - "globalKey" : "7ae2eaac" + "globalKey" : "abcc42fc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-input.json index ec15a676fe..948a696980 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-input.json @@ -3,22 +3,63 @@ "primitiveInstruction" : { "execution" : { "product" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "TR30 4 3/4% TREASURY GILT 30" - }, - "identifierType" : "Name" - } ], - "securityType" : "Debt" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "transferSettlementType" : "DeliveryVersusPayment", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2020-09-24", + "meta" : { + "globalKey" : "3f2258" + } + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementCentre" : "EuroclearBank", + "meta" : { + "globalKey" : "1705659b" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "a314fba4" + } + } ], + "meta" : { + "globalKey" : "a314fba4" + } + } }, "meta" : { - "globalKey" : "5a41cbea" + "globalKey" : "a314fba4" } }, "priceQuantity" : [ { @@ -34,35 +75,20 @@ "currency" : { "value" : "GBP" } - } - } - }, { - "value" : { - "value" : 1.02, - "unit" : { - "currency" : { - "value" : "GBP" - } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - } - } - }, { - "value" : { - "value" : 40000, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CONTRACT" - } + "priceType" : "AssetPrice", + "composite" : { + "baseValue" : 1.02, + "operand" : 0.002, + "arithmeticOperator" : "Add", + "operandType" : "AccruedInterest" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { @@ -73,30 +99,57 @@ "value" : "GBP" } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } } ], - "settlementTerms" : { - "transferSettlementType" : "DeliveryVersusPayment", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2020-09-24", - "meta" : { - "globalKey" : "3f2258" + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "TR30 4 3/4% TREASURY GILT 30" + }, + "identifierType" : "Name" + } ], + "securityType" : "Debt" } } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementCentre" : "EuroclearBank", "meta" : { - "globalKey" : "1705659b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "fb2c5921" + "globalKey" : "4062b7ba" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e4de570", + "externalReference" : "MegaBank" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b1980aff", + "externalReference" : "GlobalBank" } } ], "parties" : [ { @@ -138,19 +191,6 @@ "externalKey" : "GlobalBank" } } ], - "partyRoles" : [ { - "partyReference" : { - "globalReference" : "2e4de570", - "externalReference" : "MegaBank" - }, - "role" : "Buyer" - }, { - "partyReference" : { - "globalReference" : "b1980aff", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - } ], "tradeDate" : { "value" : "2020-09-22", "meta" : { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-output.json index 6efa5f8d24..a669c6e0b0 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/bond-execution-func-output.json @@ -4,22 +4,67 @@ "primitiveInstruction" : { "execution" : { "product" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "TR30 4 3/4% TREASURY GILT 30" - }, - "identifierType" : "Name" - } ], - "securityType" : "Debt" + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Forward_Debt" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "transferSettlementType" : "DeliveryVersusPayment", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2020-09-24", + "meta" : { + "globalKey" : "3f2258" + } + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementCentre" : "EuroclearBank", + "meta" : { + "globalKey" : "1705659b" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "a314fba4" + } + } ], + "meta" : { + "globalKey" : "a314fba4" + } + } }, "meta" : { - "globalKey" : "5a41cbea" + "globalKey" : "a314fba4" } }, "priceQuantity" : [ { @@ -35,35 +80,20 @@ "currency" : { "value" : "GBP" } - } - } - }, { - "value" : { - "value" : 1.02, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - } - } - }, { - "value" : { - "value" : 40000, - "unit" : { - "currency" : { - "value" : "GBP" - } }, - "perUnitOf" : { - "currency" : { - "value" : "CONTRACT" - } + "priceType" : "AssetPrice", + "composite" : { + "baseValue" : 1.02, + "operand" : 0.002, + "arithmeticOperator" : "Add", + "operandType" : "AccruedInterest" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } } ], "quantity" : [ { @@ -74,30 +104,57 @@ "value" : "GBP" } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } } ], - "settlementTerms" : { - "transferSettlementType" : "DeliveryVersusPayment", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2020-09-24", - "meta" : { - "globalKey" : "3f2258" + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "TR30 4 3/4% TREASURY GILT 30" + }, + "identifierType" : "Name" + } ], + "securityType" : "Debt" } } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementCentre" : "EuroclearBank", "meta" : { - "globalKey" : "1705659b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "fb2c5921" + "globalKey" : "4062b7ba" + } + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e4de570", + "externalReference" : "MegaBank" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b1980aff", + "externalReference" : "GlobalBank" } } ], "parties" : [ { @@ -139,19 +196,6 @@ "externalKey" : "GlobalBank" } } ], - "partyRoles" : [ { - "partyReference" : { - "globalReference" : "2e4de570", - "externalReference" : "MegaBank" - }, - "role" : "Buyer" - }, { - "partyReference" : { - "globalReference" : "b1980aff", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - } ], "tradeDate" : { "value" : "2020-09-22", "meta" : { @@ -177,125 +221,180 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "GlobalBank" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Forward_Debt" } ], - "meta" : { - "globalKey" : "c2c1db0" - } - } ], - "tradeDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "tradableProduct" : { - "product" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "TR30 4 3/4% TREASURY GILT 30" - }, - "identifierType" : "Name" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "5a41cbea" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.022, - "unit" : { - "currency" : { - "value" : "GBP" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "0" } - } - }, { - "value" : { - "value" : 1.02, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "settlementTerms" : { + "transferSettlementType" : "DeliveryVersusPayment", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2020-09-24", + "meta" : { + "globalKey" : "3f2258" + } + } + }, + "meta" : { + "globalKey" : "0" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } + "settlementCentre" : "EuroclearBank", + "meta" : { + "globalKey" : "1705659b" } - } - }, { - "value" : { - "value" : 40000, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CONTRACT" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } + }, + "meta" : { + "globalKey" : "a314fba4" } } ], - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "a314fba4" + } + } + }, + "meta" : { + "globalKey" : "a314fba4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.022, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" } + }, + "priceType" : "AssetPrice", + "composite" : { + "baseValue" : 1.02, + "operand" : 0.002, + "arithmeticOperator" : "Add", + "operandType" : "AccruedInterest" } - } ], - "settlementTerms" : { - "transferSettlementType" : "DeliveryVersusPayment", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2020-09-24", - "meta" : { - "globalKey" : "3f2258" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "TR30 4 3/4% TREASURY GILT 30" + }, + "identifierType" : "Name" + } ], + "securityType" : "Debt" } - }, - "meta" : { - "globalKey" : "0" } - }, - "settlementCentre" : "EuroclearBank", - "meta" : { - "globalKey" : "1705659b" } }, "meta" : { - "globalKey" : "fb2c5921" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] + }, + "meta" : { + "globalKey" : "4062b7ba" + } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e4de570", + "externalReference" : "MegaBank" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b1980aff", + "externalReference" : "GlobalBank" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "GlobalBank" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "c2c1db0" + } + } ], + "tradeDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } }, "party" : [ { "partyId" : [ { @@ -336,31 +435,18 @@ "externalKey" : "GlobalBank" } } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "2e4de570", - "externalReference" : "MegaBank" - }, - "role" : "Buyer" - }, { - "partyReference" : { - "globalReference" : "b1980aff", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - } ], "meta" : { - "globalKey" : "2755a194" + "globalKey" : "33ca4620" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "50df7423" + "globalKey" : "12bd25af" } } ], "meta" : { - "globalKey" : "b12f8b0d" + "globalKey" : "c7015e9d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json index ef3b6c98e3..8936f43e75 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-input.json @@ -106,185 +106,204 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "direction" : "Replace" }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-21", - "meta" : { - "globalKey" : "3f28d5" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-21", "meta" : { "globalKey" : "3f28d5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -292,58 +311,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "a6ff4948" } }, "meta" : { - "globalKey" : "a6ff4948" + "globalKey" : "d25531df" } } } @@ -353,334 +357,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -695,37 +673,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -758,14 +764,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-output.json index 4124e5a254..b11515b04e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-output.json @@ -108,188 +108,207 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "direction" : "Replace" }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-21", - "meta" : { - "globalKey" : "3f28d5" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-21", "meta" : { "globalKey" : "3f28d5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -297,58 +316,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "a6ff4948" } }, "meta" : { - "globalKey" : "a6ff4948" + "globalKey" : "d25531df" } } } @@ -358,527 +362,80 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - } ], - "eventQualifier" : "Cancellation", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "globalKey" : "0" } } }, @@ -898,13 +455,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -964,43 +532,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -1015,524 +573,948 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - 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"AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1547,37 +1529,65 @@ } }, "meta" : { - "globalKey" : "d7c96d4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "6f5b6f18" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1610,14 +1620,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "e60adeea" + "globalKey" : "edb4cb65" } }, "meta" : { - "globalKey" : "e60adeea" + "globalKey" : "edb4cb65" } } ], "meta" : { - "globalKey" : "a4ca961f" + "globalKey" : "65623d19" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-novation-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-novation-output.json index 46a33a670a..26fa4140e0 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-novation-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-novation-output.json @@ -117,353 +117,6 @@ "globalKey" : "3f28d2" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" - } - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, - "meta" : { - "globalKey" : "8b13e718" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, "party" : [ { "name" : { "value" : "Global Bank Inc" @@ -509,21 +162,27 @@ "role" : "ClearingOrganization" } ], "meta" : { - "globalKey" : "3e1032c6" + "globalKey" : "f1ed3ee0" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "76c185a9" + "globalKey" : "a78bf343" } } } } ], - "eventQualifier" : "ClearedTrade", "after" : [ { "trade" : { + "counterparty" : [ { + "role" : "Party2", + "partyReference" : { + "globalReference" : "103f0", + "externalReference" : "ccp" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "CCP123" @@ -546,346 +205,6 @@ "globalKey" : "3f28d2" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" - } - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, - "meta" : { - "globalKey" : "8b13e718" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "103f0", - "externalReference" : "ccp" - } - } ] - }, "party" : [ { "name" : { "value" : "Global Bank Inc" @@ -894,6 +213,14 @@ "globalKey" : "296093b7", "externalKey" : "GlobalBank" } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } }, { "name" : { "value" : "CCP" @@ -923,17 +250,24 @@ "role" : "ClearingOrganization" } ], "meta" : { - "globalKey" : "c43cd0af" + "globalKey" : "efb448ba" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "243e4d52" + "globalKey" : "4fb7ee9d" } }, { "trade" : { + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "103f0", + "externalReference" : "ccp" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "CCP123" @@ -956,353 +290,13 @@ "globalKey" : "3f28d2" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" - } - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, - "meta" : { - "globalKey" : "8b13e718" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "103f0", - "externalReference" : "ccp" - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, "party" : [ { "name" : { - "value" : "CCP" + "value" : "Global Bank Inc" }, "meta" : { - "globalKey" : "103f0", - "externalKey" : "ccp" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } }, { "name" : { @@ -1312,6 +306,14 @@ "globalKey" : "1ef4886d", "externalKey" : "UkBank" } + }, { + "name" : { + "value" : "CCP" + }, + "meta" : { + "globalKey" : "103f0", + "externalKey" : "ccp" + } } ], "partyRole" : [ { "partyReference" : { @@ -1333,14 +335,14 @@ "role" : "ClearingOrganization" } ], "meta" : { - "globalKey" : "45c3a80e" + "globalKey" : "5c78e8a0" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "5f6cc8f1" + "globalKey" : "9dd42d03" } }, { "trade" : { @@ -1366,353 +368,6 @@ "globalKey" : "3f28d2" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" - } - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "28a6fdba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, - "meta" : { - "globalKey" : "235a7129" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, "party" : [ { "name" : { "value" : "Global Bank Inc" @@ -1758,20 +413,14 @@ "role" : "ClearingOrganization" } ], "meta" : { - "globalKey" : "ccba5697" + "globalKey" : "f1ed3ee0" } }, - "state" : { - "closedState" : { - "state" : "Terminated" - }, - "positionState" : "Closed" - }, "meta" : { - "globalKey" : "289052c0" + "globalKey" : "f1ed3ee0" } } ], "meta" : { - "globalKey" : "824bb5a9" + "globalKey" : "bb6a7e40" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-open-offer-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-open-offer-output.json index e9a51f4fa2..98c73ef95a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-open-offer-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-open-offer-output.json @@ -19,223 +19,6 @@ } ] }, "execution" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" - } - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, "priceQuantity" : [ { "price" : [ { "value" : { @@ -318,21 +101,8 @@ } ] } } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, "meta" : { - "globalKey" : "8b13e718" + "globalKey" : "e85b3d4e" } } ], "counterparty" : [ { @@ -440,223 +210,6 @@ } ] }, "execution" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" - } - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, - "meta" : { - "globalKey" : "4c6332f1" - } - }, "priceQuantity" : [ { "price" : [ { "value" : { @@ -739,21 +292,8 @@ } ] } } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, "meta" : { - "globalKey" : "8b13e718" + "globalKey" : "e85b3d4e" } } ], "counterparty" : [ { @@ -847,374 +387,142 @@ "eventQualifier" : "OpenOfferClearedTrade", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" } } }, "meta" : { - "globalKey" : "4c6332f1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "globalKey" : "4c6332f1" + "globalKey" : "57c65cba" } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" } ] + } + } ], + "meta" : { + "globalKey" : "e85b3d4e" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" }, "meta" : { - "globalKey" : "8b13e718" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" } } - } ] + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1271,385 +579,153 @@ } }, "meta" : { - "globalKey" : "1b2cd442" + "globalKey" : "c5e34a87" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "7f3bb825" + "globalKey" : "562db12a" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1ff493" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "c74a548a" - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - }, - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "meta" : { - "globalKey" : "c74a548a" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "e76a6c5b" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" } } }, "meta" : { - "globalKey" : "4c6332f1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "globalKey" : "4c6332f1" + "globalKey" : "57c65cba" } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" } ] + } + } ], + "meta" : { + "globalKey" : "e85b3d4e" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" }, "meta" : { - "globalKey" : "8b13e718" + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" } } - } ] + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1706,17 +782,17 @@ } }, "meta" : { - "globalKey" : "3f716212" + "globalKey" : "ea27d857" } }, "state" : { "positionState" : "Formed" }, "meta" : { - "globalKey" : "a49411f5" + "globalKey" : "7b860afa" } } ], "meta" : { - "globalKey" : "982b29e7" + "globalKey" : "4cc5e61d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json index 5c5592599d..13eeca2cb6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json @@ -3,8 +3,268 @@ "primitiveInstruction" : { "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "cashflow" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "value" : { + "value" : 2000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + }, + "meta" : { + "globalKey" : "a99b7d57" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2021-03-21" + }, + "meta" : { + "globalKey" : "3f28d5" + } + }, + "meta" : { + "globalKey" : "3f28d5" + } + }, + "cashflowType" : { + "cashflowType" : "NetInterest" + }, + "meta" : { + "globalKey" : "11ce29f7" + } + } ], + "meta" : { + "globalKey" : "d5d876ab" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } + } + } ], + "meta" : { + "globalKey" : "27d08997" + } + } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "f2af8849" + } + } + } + }, + "before" : { + "value" : { + "trade" : { + "product" : { + "taxonomy" : [ { "source" : "CFI", "value" : { "name" : { @@ -63,7 +323,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -84,48 +344,8 @@ "globalKey" : "69ca64cc" } } ], - "cashflow" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 2000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - } - }, - "meta" : { - "globalKey" : "a99b7d57" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2021-03-21" - }, - "meta" : { - "globalKey" : "3f28d5" - } - }, - "meta" : { - "globalKey" : "3f28d5" - } - }, - "cashflowType" : { - "cashflowType" : "NetInterest" - }, - "meta" : { - "globalKey" : "11ce29f7" - } - } ], "meta" : { - "globalKey" : "d5d876ab" + "globalKey" : "69ca64cc" } }, "collateral" : { @@ -133,13 +353,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -199,43 +430,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -250,351 +471,100 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "55cd3732" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "55cd3732" - } - } - } - }, - "before" : { - "value" : { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" } } }, "meta" : { - "globalKey" : "112ed167" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "globalKey" : "112ed167" + "globalKey" : "57c65cba" } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -609,37 +579,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -672,14 +670,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-output.json index 52bd7adb28..ef7a663f78 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-output.json @@ -5,14 +5,277 @@ "primitiveInstruction" : { "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "cashflow" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "value" : { + "value" : 2000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + }, + "meta" : { + "globalKey" : "a99b7d57" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2021-03-21" + }, + "meta" : { + "globalKey" : "3f28d5" + } + }, + "meta" : { + "globalKey" : "3f28d5" + } + }, + "cashflowType" : { + "cashflowType" : "NetInterest" + }, + "meta" : { + "globalKey" : "11ce29f7" + } + } ], + "meta" : { + "globalKey" : "d5d876ab" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } + } + } ], + "meta" : { + "globalKey" : "27d08997" + } + } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "f2af8849" + } + } + } + }, + "before" : { + "value" : { + "trade" : { + "product" : { + "taxonomy" : [ { "source" : "CFI", "value" : { "name" : { "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], "economicTerms" : { "effectiveDate" : { @@ -65,7 +328,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -86,48 +349,8 @@ "globalKey" : "69ca64cc" } } ], - "cashflow" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 2000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - } - }, - "meta" : { - "globalKey" : "a99b7d57" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2021-03-21" - }, - "meta" : { - "globalKey" : "3f28d5" - } - }, - "meta" : { - "globalKey" : "3f28d5" - } - }, - "cashflowType" : { - "cashflowType" : "NetInterest" - }, - "meta" : { - "globalKey" : "11ce29f7" - } - } ], "meta" : { - "globalKey" : "d5d876ab" + "globalKey" : "69ca64cc" } }, "collateral" : { @@ -135,13 +358,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -201,43 +435,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -252,23 +476,152 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "55cd3732" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "55cd3732" - } - } - } - }, - "before" : { - "value" : { - "trade" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "KTKLLEILLLLLLLLLLLLL" @@ -291,361 +644,6 @@ "globalKey" : "3f28d2" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, "party" : [ { "name" : { "value" : "Global Bank Inc" @@ -677,388 +675,362 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } } ], "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "cashflow" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 2000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - } - }, - "meta" : { - "globalKey" : "a99b7d57" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2021-03-21" - }, - "meta" : { - "globalKey" : "3f28d5" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "cashflow" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "value" : { + "value" : 2000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "globalKey" : "3f28d5" } - }, - "cashflowType" : { - "cashflowType" : "NetInterest" + } + }, + "meta" : { + "globalKey" : "a99b7d57" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2021-03-21" }, "meta" : { - "globalKey" : "11ce29f7" + "globalKey" : "3f28d5" } - } ], + }, "meta" : { - "globalKey" : "d5d876ab" + "globalKey" : "3f28d5" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "cashflowType" : { + "cashflowType" : "NetInterest" + }, + "meta" : { + "globalKey" : "11ce29f7" + } + } ], + "meta" : { + "globalKey" : "d5d876ab" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "55cd3732" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "55cd3732" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f2af8849" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1073,37 +1045,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1136,17 +1136,17 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "b7030615" + "globalKey" : "8c1139ec" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "aac5bc64" + "globalKey" : "7516567b" } } ], "meta" : { - "globalKey" : "9b8ae8c1" + "globalKey" : "201dbea" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json index bd7f678bb6..5b176b8020 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-input.json @@ -48,163 +48,174 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", "meta" : { "globalKey" : "3f28d4" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -212,58 +223,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "884e117f" } } } @@ -273,334 +269,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -615,37 +585,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -678,14 +676,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-output.json index 4a1457ced4..8946952afd 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-output.json @@ -50,166 +50,177 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", "meta" : { "globalKey" : "3f28d4" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -217,58 +228,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "884e117f" } } } @@ -278,527 +274,80 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" 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"value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - } ], - "eventQualifier" : "OnDemandRateChange", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "globalKey" : "0" } } }, @@ -818,13 +367,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -884,43 +444,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -935,103 +485,525 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57c65cba" } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } } } ], "meta" : { - "globalKey" : "28a6fdba" + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "a26abee6" + } + } + } + } ], + "eventQualifier" : "OnDemandRateChange", + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "69ca64cc" } } ], - "quantity" : [ { + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } } + } ], + "meta" : { + "globalKey" : "27d08997" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } } ], - "observable" : { - "asset" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28a6fdba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1046,37 +1018,65 @@ } }, "meta" : { - "globalKey" : "330dec4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "b7c2e18" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1109,7 +1109,7 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "abf1d0ab" + "globalKey" : "451766" } }, "state" : { @@ -1119,340 +1119,314 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "4c94a2d4" + "globalKey" : "2420140f" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", + "meta" : { + "globalKey" : "3f28d4" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, - "meta" : { - "globalKey" : "3f28d4" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.005, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "884e117f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.005, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "39583a99" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "39583a99" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1467,37 +1441,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1530,14 +1532,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "7924b35a" + "globalKey" : "ce4467d5" } }, "meta" : { - "globalKey" : "7924b35a" + "globalKey" : "ce4467d5" } } ], "meta" : { - "globalKey" : "f76faf08" + "globalKey" : "580c56e2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json index f30f466588..4d9025734e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-input.json @@ -3,164 +3,175 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -168,58 +179,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -305,22 +301,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -458,441 +462,21 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - }, { - "primitiveInstruction" : { - "execution" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } }, "meta" : { @@ -938,7 +522,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -968,13 +552,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -1034,43 +629,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -1085,41 +670,458 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "a26abee6" + } + } + } + }, { + "primitiveInstruction" : { + "execution" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } + } + } ], + "meta" : { + "globalKey" : "27d08997" + } + } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "549fe6be" + } + }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], "quantity" : [ { "value" : { "value" : 9974250, @@ -1180,22 +1182,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -1333,334 +1343,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1675,37 +1659,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1738,14 +1750,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-output.json index eb23933464..27f6c8d6a2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-output.json @@ -5,167 +5,178 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -173,58 +184,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -310,22 +306,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -463,440 +467,17 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - }, { - "primitiveInstruction" : { - "execution" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], "economicTerms" : { "effectiveDate" : { @@ -949,7 +530,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -979,13 +560,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -1045,43 +637,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -1096,33 +678,453 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, - "priceType" : "InterestRate" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "a26abee6" + } + } + } + }, { + "primitiveInstruction" : { + "execution" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } + } + } ], + "meta" : { + "globalKey" : "27d08997" + } + } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "549fe6be" + } + }, + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" }, "meta" : { "location" : [ { @@ -1191,22 +1193,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -1344,337 +1354,311 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1689,37 +1673,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1752,352 +1764,325 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } } ], - "eventQualifier" : "PairOff", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2112,37 +2097,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -2226,348 +2239,322 @@ } }, "meta" : { - "globalKey" : "a0c306c2" + "globalKey" : "44bb33bd" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "248845d1" + "globalKey" : "ab29200c" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2582,37 +2569,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -2696,17 +2711,17 @@ } }, "meta" : { - "globalKey" : "a0c306c2" + "globalKey" : "44bb33bd" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "248845d1" + "globalKey" : "ab29200c" } } ], "meta" : { - "globalKey" : "4d2769c2" + "globalKey" : "c70169d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-delivered-price-quantity.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-delivered-price-quantity.json index aa089632d4..fcbd096d70 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-delivered-price-quantity.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-delivered-price-quantity.json @@ -1,93 +1,90 @@ -[ - { - "meta": { - "globalKey": "b0764d1a" - }, - "price": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.004, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "INTEREST_RATE" - } - } - ], - "quantity": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 7480687.5 - } - } - ] - }, - { - "meta": { - "globalKey": "f6e7e886" - }, - "observable": { - "meta": { - "globalKey": "1ad6d034" - }, - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ] - }, - "price": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 1.0075, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "ASSET_PRICE", - "priceExpression": "PERCENTAGE_OF_NOTIONAL" - } - } - ], - "quantity": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 7500000 - } - } - ] - } -] \ No newline at end of file +[ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { } + } ], + "quantity" : [ { + "value" : { + "value" : 7480687.5, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { } + } ], + "meta" : { + "globalKey" : "47e4722d" + } +}, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + } + } ], + "quantity" : [ { + "value" : { + "value" : 7500000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097", + "meta" : { + "scheme" : "ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d5a30690" + } +} ] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-input.json index 02db596308..066bcde31a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-input.json @@ -63,20 +63,33 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097", + "meta" : { + "scheme" : "ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } }, "meta" : { - "globalKey" : "ecfc2db1" + "globalKey" : "d5a30690" } } ], "direction" : "Replace" @@ -87,334 +100,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -429,37 +416,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -492,14 +507,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-output.json index 2799b887e0..7e216b7859 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/partial-delivery-output.json @@ -65,366 +65,16 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" - } - } - } ] - }, - "meta" : { - "globalKey" : "ecfc2db1" - } - } ], - "direction" : "Replace" - } - } ] - } - }, - "before" : { - "value" : { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { "identifier" : { - "value" : "GB00B24FF097" + "value" : "GB00B24FF097", + "meta" : { + "scheme" : "ISIN" + } }, "identifierType" : "ISIN" } ], @@ -434,109 +84,26 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } + }, + "meta" : { + "globalKey" : "d5a30690" } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" + } ], + "direction" : "Replace" } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } + } ] } - } - } ], - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + }, + "before" : { + "value" : { + "trade" : { + "product" : { + "taxonomy" : [ { "source" : "CFI", "value" : { "name" : { @@ -545,7 +112,7 @@ } }, { "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" + "productQualifier" : "RepurchaseAgreement" } ], "economicTerms" : { "effectiveDate" : { @@ -598,7 +165,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -628,13 +195,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -694,43 +272,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -745,103 +313,524 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "priceType" : "InterestRate" - }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "57c65cba" } - } ], - "quantity" : [ { - "value" : { - "value" : 7480687.5, - "unit" : { - "currency" : { - "value" : "GBP" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } } } ], "meta" : { - "globalKey" : "29ca2d1" + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "a26abee6" + } + } + } + } ], + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "69ca64cc" } } ], - "quantity" : [ { + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { "value" : { - "value" : 7480687.5, - "unit" : { - "currency" : { - "value" : "GBP" + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } } + } ], + "meta" : { + "globalKey" : "27d08997" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } } ], - "observable" : { - "asset" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 7480687.5, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "29ca2d1" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 7480687.5, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -856,37 +845,65 @@ } }, "meta" : { - "globalKey" : "53b1113" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "6f344a1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -919,14 +936,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "346b220b" + "globalKey" : "408708c6" } }, "meta" : { - "globalKey" : "346b220b" + "globalKey" : "408708c6" } } ], "meta" : { - "globalKey" : "d3917110" + "globalKey" : "91500649" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-input.json index 2c1b85953b..15e493fe3b 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-input.json @@ -59,163 +59,174 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", "meta" : { "globalKey" : "3f28d4" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -223,58 +234,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "884e117f" } } } @@ -284,334 +280,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -626,37 +596,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -689,14 +687,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-output.json index 4a5d191890..60d622035c 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-adjustment-output.json @@ -61,166 +61,177 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", "meta" : { "globalKey" : "3f28d4" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -228,58 +239,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "884e117f" } } } @@ -289,526 +285,80 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - } ], - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "globalKey" : "0" } } }, @@ -828,13 +378,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -894,43 +455,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -945,103 +496,524 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } } } ], "meta" : { - "globalKey" : "28a6fdba" + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "a26abee6" + } + } + } + } ], + "after" : [ { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } + }, + "dayCountFraction" : { + "value" : "ACT/360" }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "69ca64cc" } } ], - "quantity" : [ { + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "ac013980" + } + } ], + "meta" : { + "globalKey" : "ac013980" + } + } + } + } } + } ], + "meta" : { + "globalKey" : "27d08997" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } } ], - "observable" : { - "asset" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28a6fdba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1056,37 +1028,65 @@ } }, "meta" : { - "globalKey" : "330dec4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "b7c2e18" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1119,7 +1119,7 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "abf1d0ab" + "globalKey" : "451766" } }, "state" : { @@ -1129,340 +1129,314 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "4c94a2d4" + "globalKey" : "2420140f" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", + "meta" : { + "globalKey" : "3f28d4" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, - "meta" : { - "globalKey" : "3f28d4" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "884e117f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10151134, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10151134, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "5a2d3f0e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 99.25, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "5a2d3f0e" + } + }, { + "price" : [ { + "value" : { + "value" : 99.25, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10151134, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10151134, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1477,37 +1451,65 @@ } }, "meta" : { - "globalKey" : "a08e9ae0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "1b8b8f2e" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1540,14 +1542,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "9cfedd34" + "globalKey" : "b02c17af" } }, "meta" : { - "globalKey" : "9cfedd34" + "globalKey" : "b02c17af" } } ], "meta" : { - "globalKey" : "84b11353" + "globalKey" : "c3bb9d2b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-input.json index 977eb0824f..e912b25c26 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-input.json @@ -3,164 +3,175 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -168,58 +179,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -305,22 +301,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-output.json index e7d55ac32c..56cf2a0ca8 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-output.json @@ -4,167 +4,178 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -172,58 +183,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -309,22 +305,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -412,337 +416,311 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -757,37 +735,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -820,17 +826,17 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } ], "meta" : { - "globalKey" : "ce85532b" + "globalKey" : "a5f5df05" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-input.json index f8ec19fa3b..3d7c22985f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-input.json @@ -59,163 +59,174 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", "meta" : { "globalKey" : "3f28d4" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -223,58 +234,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "884e117f" } } } @@ -284,334 +280,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -626,37 +596,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -689,14 +687,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-output.json index 9e7d270aa3..6e07b1567f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-reprice-output.json @@ -61,166 +61,177 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", "meta" : { "globalKey" : "3f28d4" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -228,58 +239,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "28060e8" } }, "meta" : { - "globalKey" : "28060e8" + "globalKey" : "884e117f" } } } @@ -289,526 +285,80 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - } ], - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "globalKey" : "0" } } }, @@ -828,13 +378,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -894,43 +455,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -945,103 +496,524 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } } } ], "meta" : { - "globalKey" : "28a6fdba" + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + 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"priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "38d84e9f" + } + }, { + "price" : [ { + "value" : { + "value" : 101.25, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9922500, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9922500, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1477,37 +1451,65 @@ } }, "meta" : { - "globalKey" : "6d7aa641" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "5da2464f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1540,14 +1542,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "42ef9ca6" + "globalKey" : "7b674521" } }, "meta" : { - "globalKey" : "42ef9ca6" + "globalKey" : "7b674521" } } ], "meta" : { - "globalKey" : "4e125de8" + "globalKey" : "da50681a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-collateral.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-collateral.json index 7c58307427..0cce97a94a 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-collateral.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-collateral.json @@ -1,119 +1,108 @@ { - "collateralPortfolio": [ - { - "value": { - "collateralPosition": [ - { - "product": { - "contractualProduct": { - "economicTerms": { - "payout": { - "assetPayout": [ - { - "meta": { - "globalKey": "f97918c" - }, - "assetLeg": [ - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "meta": { - "globalKey": "88c0a27e" - }, - "settlementDate": { - "meta": { - "globalKey": "75229c9e" - }, - "relativeDate": { - "meta": { - "globalKey": "75229c9e" - }, - "period": "D", - "periodMultiplier": 0, - "businessDayConvention": "NOT_APPLICABLE", - "dateRelativeTo": { - "externalReference": "PurchaseDate", - "globalReference": "3f28d3" - } - } - } - }, - { - "deliveryMethod": "DELIVERY_VERSUS_PAYMENT", - "meta": { - "globalKey": "f1b17431" - }, - "settlementDate": { - "meta": { - "globalKey": "de136e51" - }, - "relativeDate": { - "meta": { - "globalKey": "de136e51" - }, - "period": "D", - "periodMultiplier": 0, - "businessDayConvention": "NOT_APPLICABLE", - "dateRelativeTo": { - "externalReference": "RepurchaseDate", - "globalReference": "3f28d6" - } - } - } - } - ], - "payerReceiver": { - "payer": "PARTY_1", - "receiver": "PARTY_2" - }, - "durationType": { - "durationType": "TERM" - }, - "priceQuantity": { - "meta": { - "globalKey": "0" - }, - "quantitySchedule": { - "address": { - "scope": "DOCUMENT", - "value": "quantity-2" - } - } - }, - "principalPayment": { - "initialPayment": "True", - "finalPayment": "True", - "intermediatePayment": "False" - }, - "securityInformation": { - "meta": { - "globalKey": "40232adf" - }, - "security": { - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00BMGR2916" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ], - "securityType": "DEBT" - } - } - } - ] - } - } - } - } - } - ] - } - } - ] + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" + } + }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" + } + }, + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00BMGR2916" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + }, + "meta" : { + "globalKey" : "686cce76" + } + } ], + "meta" : { + "globalKey" : "686cce76" + } + } + }, + "meta" : { + "globalKey" : "686cce76" + } + } + } + } ], + "meta" : { + "globalKey" : "686cce76" + } + } + } ], + "meta" : { + "globalKey" : "686cce76" + } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-input.json index 5897f730e3..6e66d9b5a6 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-input.json @@ -6,8 +6,116 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", + "meta" : { + "globalKey" : "3f28d4" + } + }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "30132751" + } + } + }, + "meta" : { + "globalKey" : "b51b789a" + } + } + } + }, + "before" : { + "value" : { + "trade" : { + "product" : { + "taxonomy" : [ { "source" : "CFI", "value" : { "name" : { @@ -18,13 +126,14 @@ "economicTerms" : { "effectiveDate" : { "adjustableDate" : { - "unadjustedDate" : "2021-03-20", + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d4" + "globalKey" : "3f28d3" } }, "meta" : { - "globalKey" : "3f28d4" + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" } }, "terminationDate" : { @@ -65,7 +174,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -91,362 +200,222 @@ } }, "collateral" : { - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "30132751" - } - } - }, - "meta" : { - "globalKey" : "b51b789a" - } - }, - "meta" : { - "globalKey" : "b51b789a" - } - } - } - }, - "before" : { - "value" : { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", + "collateralPortfolio" : [ { "value" : { - "name" : { - "value" : "LRSTXD" - } - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -461,37 +430,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -524,14 +521,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-output.json index c75d43b326..fee947df18 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-output.json @@ -8,25 +8,137 @@ }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", + "meta" : { + "globalKey" : "3f28d4" + } + }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "30132751" + } + } + }, + "meta" : { + "globalKey" : "b51b789a" + } + } + } + }, + "before" : { + "value" : { + "trade" : { + "product" : { + "taxonomy" : [ { "source" : "CFI", "value" : { "name" : { "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], "economicTerms" : { "effectiveDate" : { "adjustableDate" : { - "unadjustedDate" : "2021-03-20", + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d4" + "globalKey" : "3f28d3" } }, "meta" : { - "globalKey" : "3f28d4" + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" } }, "terminationDate" : { @@ -67,7 +179,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -93,365 +205,222 @@ } }, "collateral" : { - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "30132751" - } - } - }, - "meta" : { - "globalKey" : "b51b789a" - } - }, - "meta" : { - "globalKey" : "b51b789a" - } - } - } - }, - "before" : { - "value" : { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", + "collateralPortfolio" : [ { "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -466,37 +435,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } + }, + "meta" : { + "globalKey" : "ce3a1589" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -529,14 +526,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } @@ -544,223 +541,196 @@ "eventQualifier" : "Renegotiation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-20", + "meta" : { + "globalKey" : "3f28d4" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-20", - "meta" : { - "globalKey" : "3f28d4" + }, + "meta" : { + "globalKey" : "3f28d4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d4" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "30132751" - } + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" } - }, + } ], "meta" : { - "globalKey" : "b51b789a" + "globalKey" : "69ca64cc" } }, - "meta" : { - "globalKey" : "b51b789a" + "collateral" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "30132751" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b51b789a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -775,37 +745,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -838,14 +836,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "6b3188ad" + "globalKey" : "20a89ebb" } }, "meta" : { - "globalKey" : "6b3188ad" + "globalKey" : "20a89ebb" } } ], "meta" : { - "globalKey" : "445b27de" + "globalKey" : "d7bc02cf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-price-quantity.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-price-quantity.json index fdc3acb284..adf7578930 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-price-quantity.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/repo-substitution-price-quantity.json @@ -1,192 +1,177 @@ -[ - { - "priceQuantity": [ - { - "meta": { - "globalKey": "b0764d1a" - }, - "price": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.004, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "INTEREST_RATE" - } - } - ], - "quantity": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 9974250.0 - } - } - ] - }, - { - "meta": { - "globalKey": "f6e7e886" - }, - "observable": { - "meta": { - "globalKey": "1ad6d034" - }, - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ] - }, - "price": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 98.5, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "ASSET_PRICE", - "priceExpression": "PERCENTAGE_OF_NOTIONAL" - } - } - ], - "quantity": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 10228426 - } - } - ] - } - ] - }, - { - "priceQuantity": [ - { - "meta": { - "globalKey": "b0764d1a" - }, - "price": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.004, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "INTEREST_RATE" - } - } - ], - "quantity": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 9974250.0 - } - } - ] - }, - { - "meta": { - "globalKey": "f6e7e886" - }, - "observable": { - "meta": { - "globalKey": "1ad6d034" - }, - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ] - }, - "price": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 98.5, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "ASSET_PRICE", - "priceExpression": "PERCENTAGE_OF_NOTIONAL" - } - } - ], - "quantity": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 10228426 - } - } - ] - } - ] - } -] \ No newline at end of file +[ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250.0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { } + } ], + "meta" : { + "globalKey" : "19175724" + } + }, { + "price" : [ { + "value" : { + "value" : 98.5, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + } + } ], + "quantity" : [ { + "value" : { + "value" : 10228426, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3de38cd2" + } + } ] +}, { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250.0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { } + } ], + "meta" : { + "globalKey" : "19175724" + } + }, { + "price" : [ { + "value" : { + "value" : 98.5, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + } + } ], + "quantity" : [ { + "value" : { + "value" : 10228426, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3de38cd2" + } + } ] +} ] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json index 1af05ac74f..3cae84f6b0 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-input.json @@ -106,185 +106,204 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "direction" : "Replace" }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-25", - "meta" : { - "globalKey" : "3f28d9" - } - }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-25", "meta" : { "globalKey" : "3f28d9" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d9" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -292,58 +311,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "23b21847" } }, "meta" : { - "globalKey" : "23b21847" + "globalKey" : "768a859e" } } } @@ -353,334 +357,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } + "globalKey" : "da741949" }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -695,37 +673,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -758,14 +764,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-output.json index 392994d73f..d5dd73efee 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-output.json @@ -108,188 +108,207 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "direction" : "Replace" }, "termsChange" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-25", - "meta" : { - "globalKey" : "3f28d9" - } - }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-25", "meta" : { "globalKey" : "3f28d9" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d9" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -297,58 +316,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "23b21847" } }, "meta" : { - "globalKey" : "23b21847" + "globalKey" : "768a859e" } } } @@ -358,526 +362,80 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - } ], - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "globalKey" : "0" } } }, @@ -897,13 +455,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -963,43 +532,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -1014,524 +573,947 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "57c65cba" } - } ], - "meta" : { - "globalKey" : "28a6fdba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } } }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "ce3a1589" } - } ], - "quantity" : [ { + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" - } + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], "meta" : { - "globalKey" : "330dec4a" + "globalKey" : "32cd87f2" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" + "state" : { + "positionState" : "Executed" }, "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" + "globalKey" : "a26abee6" } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "abf1d0ab" } - }, - "state" : { - "closedState" : { - "state" : "Terminated" - }, - "positionState" : "Closed" - }, - "meta" : { - "globalKey" : "4c94a2d4" } - }, { + } ], + "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-25", - "meta" : { - 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+ } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" + } + } + }, + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28a6fdba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" }, - "meta" : { - "globalKey" : "0" + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b7c2e18" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "451766" + } + }, + "state" : { + "closedState" : { + "state" : "Terminated" + }, + "positionState" : "Closed" + }, + "meta" : { + "globalKey" : "2420140f" + } + }, { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-25", + "meta" : { + "globalKey" : "3f28d9" + } + }, + "meta" : { + "globalKey" : "3f28d9" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "23b21847" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "23b21847" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "768a859e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1546,37 +1528,65 @@ } }, "meta" : { - "globalKey" : "d7c96d4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "6f5b6f18" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1609,14 +1619,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "f9b685cb" + "globalKey" : "fade5486" } }, "meta" : { - "globalKey" : "f9b685cb" + "globalKey" : "fade5486" } } ], "meta" : { - "globalKey" : "3207c05f" + "globalKey" : "66e43059" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json index 84c4310294..00adf49d33 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-input.json @@ -24,164 +24,175 @@ }, { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -189,58 +200,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -326,22 +322,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -504,20 +508,24 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + } }, "meta" : { - "globalKey" : "86fd80cf" + "globalKey" : "22607b8e" } } ], "direction" : "Replace" @@ -525,164 +533,175 @@ }, { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -690,58 +709,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -827,22 +831,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -1005,20 +1017,24 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + } }, "meta" : { - "globalKey" : "86fd80cf" + "globalKey" : "22607b8e" } } ], "direction" : "Replace" @@ -1026,164 +1042,175 @@ }, { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -1191,58 +1218,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -1328,22 +1340,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -1506,20 +1526,24 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + } }, "meta" : { - "globalKey" : "c3d9c511" + "globalKey" : "531cced0" } } ], "direction" : "Replace" @@ -1530,334 +1554,308 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, "meta" : { - "globalKey" : "69ca64cc" + "globalKey" : "0" } - } ], - "meta" : { - "globalKey" : "69ca64cc" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "meta" : { + "globalKey" : "69ca64cc" + } + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "0" + "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "57c65cba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "57c65cba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1872,37 +1870,65 @@ } }, "meta" : { - "globalKey" : "ba50fbfb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "ce3a1589" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -1935,14 +1961,14 @@ "role" : "Buyer" } ], "meta" : { - "globalKey" : "d290bb5c" + "globalKey" : "b9aac117" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "19bb3beb" + "globalKey" : "a26abee6" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-output.json index 6f0c3719b6..f5efb36678 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-output.json @@ -26,167 +26,178 @@ }, { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -194,58 +205,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -331,22 +327,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -509,20 +513,24 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + } }, "meta" : { - "globalKey" : "86fd80cf" + "globalKey" : "22607b8e" } } ], "direction" : "Replace" @@ -530,167 +538,178 @@ }, { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -698,58 +717,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -835,22 +839,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -1013,20 +1025,24 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + } }, "meta" : { - "globalKey" : "86fd80cf" + "globalKey" : "22607b8e" } } ], "direction" : "Replace" @@ -1034,167 +1050,178 @@ }, { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "3f28d3" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "3f28d6" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" } - } ], + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, "meta" : { "globalKey" : "69ca64cc" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + } ], + "meta" : { + "globalKey" : "69ca64cc" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, + "economicTerms" : { + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "71834796" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d3", + "externalReference" : "PurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, + "meta" : { + "globalKey" : "71834796" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "da741949" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { + "meta" : { + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { "identifier" : [ { "identifier" : { "value" : "GB00B24FF097" @@ -1202,58 +1229,43 @@ "identifierType" : "ISIN" } ], "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" } - } ], + }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } + } ], + "meta" : { + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + } ], + "meta" : { + "globalKey" : "27d08997" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] + }, + "meta" : { + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, "priceQuantity" : [ { @@ -1339,22 +1351,30 @@ } } ], "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ba50fbfb" + "globalKey" : "ce3a1589" } } ], "counterparty" : [ { @@ -1517,20 +1537,24 @@ } } ], "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "GB00B24FF097" - }, - "source" : "ISIN", - "meta" : { - "globalKey" : "98b45c4a" + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } } - } ] + } }, "meta" : { - "globalKey" : "c3d9c511" + "globalKey" : "531cced0" } } ], "direction" : "Replace" @@ -1541,471 +1565,24 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" - } - }, - "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, - "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "meta" : { - "globalKey" : "69ca64cc" - } - } ], - "meta" : { - "globalKey" : "69ca64cc" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" - } - }, - "assetLeg" : [ { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "71834796" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d3", - "externalReference" : "PurchaseDate" - } - }, - "meta" : { - "globalKey" : "71834796" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "da741949" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f28d6", - "externalReference" : "RepurchaseDate" - } - }, - "meta" : { - "globalKey" : "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" - } - }, - "durationType" : { - "durationType" : "Term" - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - }, - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "meta" : { - "globalKey" : "b0ccfe80" - } - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, - "meta" : { - "globalKey" : "f9c745d1" - } - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9974250, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57c65cba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } - } - }, - "meta" : { - "globalKey" : "ba50fbfb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } - } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "d290bb5c" - } - }, - "state" : { - "positionState" : "Executed" - }, - "meta" : { - "globalKey" : "19bb3beb" - } - } - } - } ], - "eventQualifier" : "Shaping", - "after" : [ { - "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" - } - } - } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } }, "meta" : { @@ -2051,7 +1628,7 @@ } }, "rateSpecification" : { - "fixedRate" : { + "FixedRateSpecification" : { "rateSchedule" : { "price" : { "address" : { @@ -2081,13 +1658,24 @@ "value" : { "collateralPosition" : [ { "product" : { - "contractualProduct" : { + "TransferableProduct" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + }, "economicTerms" : { "payout" : { "assetPayout" : [ { "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payer" : "Party2", + "receiver" : "Party1" }, "priceQuantity" : { "quantitySchedule" : { @@ -2147,43 +1735,33 @@ }, "deliveryMethod" : "DeliveryVersusPayment" } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "7df72189" + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } } - }, - "meta" : { - "globalKey" : "b0ccfe80" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "27d08997" } } } ], @@ -2198,198 +1776,581 @@ } ] }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "a565e3a8" } } }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "549fe6be" } }, - "meta" : { - "globalKey" : "112ed167" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9974250, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, + } ], "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "57c65cba" } - } ], - "meta" : { - "globalKey" : "28a6fdba" - } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } } }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "ce3a1589" } - } ], - "quantity" : [ { + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "GBP" - } + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], "meta" : { - "globalKey" : "330dec4a" + "globalKey" : "32cd87f2" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + }, + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "b9aac117" } - } ] - }, - "party" : [ { - "name" : { - "value" : "Global Bank Inc" }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } - }, { - "name" : { - "value" : "UK Bank plc" + "state" : { + "positionState" : "Executed" }, "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" + "globalKey" : "a26abee6" } - } ], - "partyRole" : [ { - "partyReference" : { - "globalReference" : "296093b7", - "externalReference" : "GlobalBank" - }, - "role" : "Seller" - }, { - "partyReference" : { - "globalReference" : "1ef4886d", - "externalReference" : "UkBank" - }, - "role" : "Buyer" - } ], - "meta" : { - "globalKey" : "abf1d0ab" } - }, - "state" : { - "closedState" : { - "state" : "Terminated" - }, - "positionState" : "Closed" - }, - "meta" : { - "globalKey" : "4c94a2d4" } - }, { + } ], + "eventQualifier" : "Shaping", + "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" + } + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + 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: { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b7c2e18" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, "assignedIdentifier" : [ { "identifier" : { "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", @@ -2408,315 +2369,356 @@ "globalKey" : "3f28d2" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "party" : [ { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" + } + }, { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" + } + } ], + "partyRole" : [ { + "partyReference" : { + "globalReference" : "296093b7", + "externalReference" : "GlobalBank" + }, + "role" : "Seller" + }, { + "partyReference" : { + "globalReference" : "1ef4886d", + "externalReference" : "UkBank" + }, + "role" : "Buyer" + } ], + "meta" : { + "globalKey" : "451766" + } + }, + "state" : { + "closedState" : { + "state" : "Terminated" + }, + "positionState" : "Closed" + }, + "meta" : { + "globalKey" : "2420140f" + } + }, { + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" : "3f28d3", + "externalKey" : "PurchaseDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-22", + "meta" : { + "globalKey" : "3f28d6" + } + }, + "meta" : { + "globalKey" : "3f28d6", + "externalKey" : "RepurchaseDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f28d3", - "externalKey" : "PurchaseDate" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-22", - "meta" : { - "globalKey" : "3f28d6" - } - }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, "meta" : { - "globalKey" : "3f28d6", - "externalKey" : "RepurchaseDate" + "globalKey" : "12a6f5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - 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"Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3989700, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3989700, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "760b68ba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "760b68ba" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3989700, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3989700, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2731,37 +2733,65 @@ } }, "meta" : { - "globalKey" : "6871e14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "77b6e318" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -2814,345 +2844,319 @@ } }, "meta" : { - "globalKey" : "c8dddb4d" + "globalKey" : "5b71e9c8" } }, "meta" : { - "globalKey" : "c8dddb4d" + "globalKey" : "5b71e9c8" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", - "meta" : { - "scheme" : "UnqTradIdr" + "product" : { + "taxonomy" : [ { + "source" : "CFI", + "value" : { + "name" : { + "value" : "LRSTXD" } } + }, { + "source" : "ISDA", + "productQualifier" : "RepurchaseAgreement" } ], - "meta" : { - "globalKey" : "32cd87f2" - } - } ], - "tradeDate" : { - "value" : "2021-03-18", - "meta" : { - "globalKey" : "3f28d2" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "CFI", - "value" : { - "name" : { - "value" : "LRSTXD" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-03-19", + "meta" : { + "globalKey" : "3f28d3" } - }, { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-03-19", - "meta" : { - "globalKey" : "3f28d3" + }, + "meta" : { + "globalKey" 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: "da741949" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "GB00B24FF097" - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "globalKey" : "da741949" }, - "meta" : { - "globalKey" : "7df72189" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f28d6", + "externalReference" : "RepurchaseDate" } }, - "durationType" : { - "durationType" : "Term" - }, "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "da741949" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } + }, + "meta" : { + "globalKey" : "ac013980" } - }, + } ], "meta" : { - "globalKey" : "b0ccfe80" + "globalKey" : "ac013980" } - }, - "meta" : { - "globalKey" : "b0ccfe80" } } - } ], - "meta" : { - "globalKey" : "b0ccfe80" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.99 - } - } - } ] - }, "meta" : { - "globalKey" : "f9c745d1" + "globalKey" : "27d08997" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.99 + } + } + } ] }, "meta" : { - "globalKey" : "112ed167" + "globalKey" : "a565e3a8" } - }, - "meta" : { - "globalKey" : "112ed167" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "549fe6be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 2000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "8f38113c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "AssetPrice", - "priceExpression" : "PercentageOfNotional" + } ], + "meta" : { + "globalKey" : "8f38113c" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 2000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -3603,37 +3609,65 @@ } }, "meta" : { - "globalKey" : "204dab08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "name" : { - "value" : "Global Bank Inc" - }, - "meta" : { - "globalKey" : "296093b7", - "externalKey" : "GlobalBank" - } + }, + "meta" : { + "globalKey" : "a7c73556" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "value" : { + "name" : { + "value" : "Global Bank Inc" + }, + "meta" : { + "globalKey" : "296093b7", + "externalKey" : "GlobalBank" } } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "UK Bank plc" - }, - "meta" : { - "globalKey" : "1ef4886d", - "externalKey" : "UkBank" - } + } + }, { + "role" : "Party2", + "partyReference" : { + "value" : { + "name" : { + "value" : "UK Bank plc" + }, + "meta" : { + "globalKey" : "1ef4886d", + "externalKey" : "UkBank" } } - } ] + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL-FISG1G1LENDFP0028303002", + "meta" : { + "scheme" : "UnqTradIdr" + } + } + } ], + "meta" : { + "globalKey" : "32cd87f2" + } + } ], + "tradeDate" : { + "value" : "2021-03-18", + "meta" : { + "globalKey" : "3f28d2" + } }, "party" : [ { "name" : { @@ -3686,14 +3720,14 @@ } }, "meta" : { - "globalKey" : "64f5e68d" + "globalKey" : "616ab508" } }, "meta" : { - "globalKey" : "64f5e68d" + "globalKey" : "616ab508" } } ], "meta" : { - "globalKey" : "3242c08e" + "globalKey" : "53e4e999" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-primitive-instruction-trade-lots.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-primitive-instruction-trade-lots.json index 9eec32b76e..fd241ee699 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-primitive-instruction-trade-lots.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/shaping-primitive-instruction-trade-lots.json @@ -1,287 +1,247 @@ -[ - { - "priceQuantity": [ - { - "meta": { - "globalKey": "b0764d1a" +[ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "price": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.004, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "INTEREST_RATE" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } - ], - "quantity": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 3989700 - } + }, + "priceType" : "InterestRate" + }, + "meta" : { } + } ], + "quantity" : [ { + "value" : { + "value" : 3989700, + "unit" : { + "currency" : { + "value" : "GBP" } - ] + } }, - { - "meta": { - "globalKey": "f6e7e886" + "meta" : { } + } ], + "meta" : { + "globalKey" : "d800cb24" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "observable": { - "meta": { - "globalKey": "1ad6d034" - }, - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } }, - "price": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 1.0075, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "ASSET_PRICE", - "priceExpression": "PERCENTAGE_OF_NOTIONAL" - } + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + } + } ], + "quantity" : [ { + "value" : { + "value" : 4000000, + "unit" : { + "currency" : { + "value" : "GBP" } - ], - "quantity": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 4000000 + } + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } } - ] + } } - ] - }, - { - "priceQuantity": [ - { - "meta": { - "globalKey": "b0764d1a" + }, + "meta" : { + "globalKey" : "22607b8e" + } + } ] +}, { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "price": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.004, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "INTEREST_RATE" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } - ], - "quantity": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 3989700 - } + }, + "priceType" : "InterestRate" + }, + "meta" : { } + } ], + "quantity" : [ { + "value" : { + "value" : 3989700, + "unit" : { + "currency" : { + "value" : "GBP" } - ] + } }, - { - "meta": { - "globalKey": "f6e7e886" + "meta" : { } + } ], + "meta" : { + "globalKey" : "d800cb24" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "observable": { - "meta": { - "globalKey": "1ad6d034" - }, - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } }, - "price": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 1.0075, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "ASSET_PRICE", - "priceExpression": "PERCENTAGE_OF_NOTIONAL" - } + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + } + } ], + "quantity" : [ { + "value" : { + "value" : 4000000, + "unit" : { + "currency" : { + "value" : "GBP" } - ], - "quantity": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 4000000 + } + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } } - ] + } } - ] - }, - { - "priceQuantity": [ - { - "meta": { - "globalKey": "b0764d1a" + }, + "meta" : { + "globalKey" : "22607b8e" + } + } ] +}, { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "price": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 0.004, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "INTEREST_RATE" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } - ], - "quantity": [ - { - "meta": {}, - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 1994850 - } + }, + "priceType" : "InterestRate" + }, + "meta" : { } + } ], + "quantity" : [ { + "value" : { + "value" : 1994850, + "unit" : { + "currency" : { + "value" : "GBP" } - ] + } }, - { - "meta": { - "globalKey": "f6e7e886" + "meta" : { } + } ], + "meta" : { + "globalKey" : "50cb3ba4" + } + }, { + "price" : [ { + "value" : { + "value" : 1.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "observable": { - "meta": { - "globalKey": "1ad6d034" - }, - "productIdentifier": [ - { - "value": { - "identifier": { - "value": "GB00B24FF097" - }, - "meta": { - "globalKey": "1ad6d034" - }, - "source": "ISIN" - } - } - ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } }, - "price": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 1.0075, - "perUnitOf": { - "currency": { - "value": "GBP" - } - }, - "priceType": "ASSET_PRICE", - "priceExpression": "PERCENTAGE_OF_NOTIONAL" - } + "priceType" : "AssetPrice", + "priceExpression" : "PercentageOfNotional" + } + } ], + "quantity" : [ { + "value" : { + "value" : 2000000, + "unit" : { + "currency" : { + "value" : "GBP" } - ], - "quantity": [ - { - "value": { - "unit": { - "currency": { - "value": "GBP" - } - }, - "value": 2000000 + } + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00B24FF097" + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" } } - ] + } } - ] - } -] \ No newline at end of file + }, + "meta" : { + "globalKey" : "531cced0" + } + } ] +} ] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json index 4287b8e134..478d7ffcae 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-input.json @@ -42,7 +42,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, @@ -66,11 +66,9 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 3000000.0, + "value" : 120000.0, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } }, "meta" : { @@ -80,9 +78,11 @@ } }, { "value" : { - "value" : 120000.0, + "value" : 3000000.0, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { @@ -92,7 +92,7 @@ } } ], "meta" : { - "globalKey" : "dafd8c33" + "globalKey" : "7b12773" } } ], "direction" : "Replace" @@ -137,7 +137,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, @@ -161,11 +161,9 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 2000000.0, + "value" : 80000.0, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } }, "meta" : { @@ -175,9 +173,11 @@ } }, { "value" : { - "value" : 80000.0, + "value" : 2000000.0, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { @@ -187,7 +187,7 @@ } } ], "meta" : { - "globalKey" : "546b8f6b" + "globalKey" : "9a7d57dd" } } ], "direction" : "Replace" @@ -234,475 +234,491 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "67022c4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + } ], + "observable" : { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } } - } ], - "name" : { - "value" : "KTKL(AgentLender)" - }, - "meta" : { - "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } + }, + "meta" : { + "globalKey" : "a1221f6f" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3a97bd6c", + "externalReference" : "AgentLender" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -718,7 +734,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -738,14 +754,14 @@ } } ], "meta" : { - "globalKey" : "35420110" + "globalKey" : "9a5883c6" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "9531e49f" + "globalKey" : "eb291d5" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-output.json index 3218d34a6d..c3ce55cc02 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/allocation/allocation-sec-lending-func-output.json @@ -44,7 +44,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, @@ -68,23 +68,23 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 3000000, + "value" : 120000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } } }, { "value" : { - "value" : 120000, + "value" : 3000000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } } } ], "meta" : { - "globalKey" : "dafd8c33" + "globalKey" : "7b12773" } } ], "direction" : "Replace" @@ -129,7 +129,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, @@ -153,23 +153,23 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 2000000, + "value" : 80000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } } }, { "value" : { - "value" : 80000, + "value" : 2000000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } } } ], "meta" : { - "globalKey" : "546b8f6b" + "globalKey" : "9a7d57dd" } } ], "direction" : "Replace" @@ -206,475 +206,491 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "67022c4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + } ], + "observable" : { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } } - } ], - "name" : { - "value" : "KTKL(AgentLender)" - }, - "meta" : { - "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } + }, + "meta" : { + "globalKey" : "a1221f6f" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3a97bd6c", + "externalReference" : "AgentLender" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -690,7 +706,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -710,14 +726,14 @@ } } ], "meta" : { - "globalKey" : "35420110" + "globalKey" : "9a5883c6" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "9531e49f" + "globalKey" : "eb291d5" } } } @@ -725,460 +741,491 @@ "eventQualifier" : "Allocation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-1" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "c76d61e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "0" + "globalKey" : "3f2296" } + }, + "meta" : { + "globalKey" : "24a738" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" }, - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "meta" : { + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "e742daa5" } }, - "adjustedDate" : { - "value" : 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"value" : 80000, - "unit" : { - "financialUnit" : "Share" + } + }, + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 80000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } } - } ] + } }, "meta" : { - "globalKey" : "e915b890" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d42859ae", - "externalReference" : "lender-2" + }, + "meta" : { + "globalKey" : "d0d94ee9" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2000000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "256d6242" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d42859ae", + "externalReference" : "lender-2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-2" + } + } ], + "meta" : { + "globalKey" : "c76d61e6" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1761,7 +1839,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } ], "partyRole" : [ { @@ -1780,490 +1858,506 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, "role" : "AgentLender" } ], "meta" : { - "globalKey" : "e2b1f3f7" + "globalKey" : "51b8e690" } }, "meta" : { - "globalKey" : "e2b1f3f7" + "globalKey" : "51b8e690" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2296" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "meta" : { + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "e742daa5" } }, - "adjustedDate" : { - "value" : "2020-10-22", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, "meta" : { - "globalKey" : "3f2296" + "globalKey" : "e743cae5" } }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "8b1de243" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "fa98fa5b" - } - }, - "meta" : { - "globalKey" : "98fd77d9" - } - } ], - "meta" : { - "globalKey" : "98fd77d9" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "bedc4ec0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "6bcfdf98" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + } ], + "observable" : { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - }, - "meta" : { - "globalKey" : "60098fe6" + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } } - } ], - "name" : { - "value" : "KTKL(AgentLender)" - }, - "meta" : { - "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } + }, + "meta" : { + "globalKey" : "8d064ce1" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "bedc4ec0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3a97bd6c", + "externalReference" : "AgentLender" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2279,7 +2373,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2299,7 +2393,7 @@ } } ], "meta" : { - "globalKey" : "da873499" + "globalKey" : "36788333" } }, "state" : { @@ -2309,10 +2403,10 @@ "positionState" : "Closed" }, "meta" : { - "globalKey" : "a8da5fc2" + "globalKey" : "f7eed15c" } } ], "meta" : { - "globalKey" : "62cafd70" + "globalKey" : "34fd1620" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json index e12e9cae8a..cb8387aaaa 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-instruction.json @@ -1,191 +1,216 @@ { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - } + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + } + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE" + }, + "adjustedDate" : { + "value" : "2020-09-22" } } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE" }, - "meta" : { - "globalKey" : "0" + "adjustedDate" : { + "value" : "2020-10-22" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - }, - "adjustedDate" : { - "value" : "2020-09-22" - }, - "meta" : { - "externalKey" : "Effective_Date" - } - } - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - }, - "adjustedDate" : { - "value" : "2020-10-22" + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" }, - "meta" : { - "externalKey" : "Termination_Date" - } - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "rollConvention" : "NONE" + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ] - } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } } - } ] - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE" - }, - "adjustedDate" : { - "value" : "2020-09-22" + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + } + } ] + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + } + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + } + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE" - }, - "adjustedDate" : { - "value" : "2020-10-22" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + }, + "adjustedDate" : { + "value" : "2020-09-22" + }, + "meta" : { + "externalKey" : "Effective_Date" } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + }, + "adjustedDate" : { + "value" : "2020-10-22" + }, + "meta" : { + "externalKey" : "Termination_Date" } } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "rollConvention" : "NONE" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ] } } - } ] - } + } + } ] } } } - } ] - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } } } ] } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] } } } @@ -193,122 +218,110 @@ "priceQuantity" : [ { "price" : [ { "value" : { - "value" : 0.01, + "value" : 25, "unit" : { "currency" : { "value" : "USD" } }, "perUnitOf" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" }, - "priceType" : "InterestRate" + "priceType" : "AssetPrice" }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-2" + "value" : "price-1" } ] } } ], "quantity" : [ { "value" : { - "value" : 5000000, + "value" : 200000, "unit" : { - "currency" : { - "value" : "USD" + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } } } }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-8" + "value" : "observable-1" } ] } - } ] + } }, { "price" : [ { "value" : { - "value" : 25, + "value" : 0.01, "unit" : { "currency" : { "value" : "USD" } }, "perUnitOf" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } }, - "priceType" : "AssetPrice" + "priceType" : "InterestRate" }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-1" + "value" : "price-2" } ] } } ], "quantity" : [ { "value" : { - "value" : 200000, + "value" : 5000000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-9" + "value" : "quantity-2" } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL" - } - } ] - } + } ] } ], "counterparty" : [ { "role" : "Party1", "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "KTKLLEILLLLLLLLLLLLL" - } - } ], - "name" : { - "value" : "KTKL(AgentLender)" - }, - "meta" : { - "externalKey" : "AGENT_LENDER" - } - } + "externalReference" : "AgentLender" } }, { "role" : "Party2", "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - } - } ], - "name" : { - "value" : "CP001(Borrower)" - }, - "meta" : { - "globalKey" : "7601b530", - "externalKey" : "Borrower" - } - } + "externalReference" : "Borrower" } } ], "parties" : [ { @@ -321,7 +334,7 @@ "value" : "KTKL(AgentLender)" }, "meta" : { - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-trade-state.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-trade-state.json new file mode 100644 index 0000000000..a59cb46cb2 --- /dev/null +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/block-execution-trade-state.json @@ -0,0 +1,532 @@ +{ + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "meta" : { + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, + "meta" : { + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" + } + }, + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" + } + }, + "meta" : { + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" + } + }, + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "fa98fa5b" + } + }, + "meta" : { + "globalKey" : "705a3ef7" + } + } ], + "meta" : { + "globalKey" : "705a3ef7" + } + } + } + } + } + } ], + "meta" : { + "globalKey" : "82e324cc" + } + } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] + }, + "meta" : { + "globalKey" : "448281ff" + } + } + }, + "meta" : { + "globalKey" : "9a28f67f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "e41b7a85" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3a97bd6c", + "externalReference" : "AgentLender" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "KTKLLEILLLLLLLLLLLLL" + }, + "meta" : { + "globalKey" : "60098fe6" + } + } ], + "name" : { + "value" : "KTKL(AgentLender)" + }, + "meta" : { + "globalKey" : "3a97bd6c", + "externalKey" : "AgentLender" + } + }, { + "partyId" : [ { + "identifier" : { + "value" : "CP001LEI111111111111" + }, + "meta" : { + "globalKey" : "12818f8c" + } + } ], + "name" : { + "value" : "CP001(Borrower)" + }, + "meta" : { + "globalKey" : "2e189ef", + "externalKey" : "Borrower" + } + } ], + "meta" : { + "globalKey" : "c8d23e5d" + } + }, + "state" : { + "positionState" : "Executed" + }, + "meta" : { + "globalKey" : "85a802ac" + } +} \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json index 85880d7aa1..47799570e3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-input.json @@ -39,416 +39,393 @@ "tradeState" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, - "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -456,59 +433,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -540,7 +555,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -560,7 +575,7 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { @@ -626,12 +641,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -703,16 +718,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "ec7a3336" + "globalKey" : "779bb817" } } }, @@ -988,416 +1003,393 @@ "tradeState" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" - } - }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "fa42f5cf" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1405,59 +1397,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1489,7 +1519,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1509,7 +1539,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "transferHistory" : [ { @@ -1572,12 +1602,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -1649,16 +1679,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "f2fc159d" + "globalKey" : "4891814a" } } }, @@ -1778,416 +1808,393 @@ "tradeState" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2195,59 +2202,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2279,7 +2324,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2299,7 +2344,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "transferHistory" : [ { @@ -2362,12 +2407,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -2439,12 +2484,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } }, { "transfer" : { @@ -2506,12 +2551,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "d0a7bdce" + "globalKey" : "69ea8e2" } }, { "transfer" : { @@ -2583,16 +2628,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "78c46c46" + "globalKey" : "aebb575a" } } ], "meta" : { - "globalKey" : "d073b6d5" + "globalKey" : "b0bf25c2" } } }, diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-output.json index 2669828b05..e5084a411e 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/create-security-lending-invoice-func-output.json @@ -39,416 +39,393 @@ "tradeState" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -456,59 +433,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -540,7 +555,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -560,7 +575,7 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { @@ -1020,12 +1035,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -1097,68 +1112,20 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "bfb4a3e1" + "globalKey" : "7a12aec2" } } }, "recordTransfer" : { - "quantity" : { - "value" : 69.428333333333333333333333333333329366000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "payerReceiver" : { - "payerPartyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ], - "name" : { - "value" : "StandardFund1" - }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } - } - }, - "receiverPartyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" - } - } - } - }, "settlementDate" : { "adjustedDate" : { "value" : "2020-11-10", @@ -1174,416 +1141,393 @@ "tradeState" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : 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} } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1591,59 +1535,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1675,7 +1657,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1695,7 +1677,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "resetHistory" : [ { @@ -1931,12 +1913,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -2008,68 +1990,20 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "d023caaa" + "globalKey" : "9e6caddd" } } }, "recordTransfer" : { - "quantity" : { - "value" : 18.70740740740740740740740740740740479592592592592592592592592592592600000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "payerReceiver" : { - "payerPartyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ], - "name" : { - "value" : "StandardFund1" - }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } - } - }, - "receiverPartyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" - } - } - } - }, "settlementDate" : { "adjustedDate" : { "value" : "2020-11-10", @@ -2085,416 +2019,393 @@ "tradeState" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2502,59 +2413,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2586,7 +2535,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2606,7 +2555,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "resetHistory" : [ { @@ -2910,12 +2859,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -2987,12 +2936,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } }, { "transfer" : { @@ -3054,12 +3003,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "d0a7bdce" + "globalKey" : "69ea8e2" } }, { "transfer" : { @@ -3131,68 +3080,20 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "78c46c46" + "globalKey" : "aebb575a" } } ], "meta" : { - "globalKey" : "18fc8e0a" + "globalKey" : "65a4f37d" } } }, "recordTransfer" : { - "quantity" : { - "value" : 30.92769230769230769230769230769230690723076923076923076923076923076900000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "payerReceiver" : { - "payerPartyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ], - "name" : { - "value" : "StandardFund1" - }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } - } - }, - "receiverPartyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" - } - } - } - }, "settlementDate" : { "adjustedDate" : { "value" : "2020-11-10", @@ -3206,6 +3107,6 @@ "recordEndDate" : "2020-10-22" } ], "meta" : { - "globalKey" : "1c15d931" + "globalKey" : "34f00ca8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-input.json index a881e5ea5c..b687fcd764 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-input.json @@ -1,416 +1,393 @@ { "tradeState" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, - "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -418,59 +395,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -502,7 +517,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -522,7 +537,7 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { @@ -588,12 +603,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -665,16 +680,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "ec7a3336" + "globalKey" : "779bb817" } }, "returnInstruction" : { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-output.json index b1b4541141..3643df86a3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/full-return-settlement-workflow-func-output.json @@ -4,416 +4,393 @@ "eventDate" : "2020-10-21", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "bedc4ec0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -421,59 +398,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "4fe9b558" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "8d064ce1" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "bedc4ec0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -505,7 +520,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -525,7 +540,7 @@ } } ], "meta" : { - "globalKey" : "5cb10415" + "globalKey" : "b39c721a" } }, "state" : { @@ -591,12 +606,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -668,20 +683,20 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "2deff1dc" + "globalKey" : "b8fac7e1" } } ], "meta" : { - "globalKey" : "731292b1" + "globalKey" : "5578bd76" } }, "messageInformation" : { @@ -705,7 +720,7 @@ } ], "action" : "New", "meta" : { - "globalKey" : "93226bc" + "globalKey" : "dbe1fed7" } }, { "proposedEvent" : { @@ -773,12 +788,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "15549de0" + "globalKey" : "4b4b88f4" } }, { "transfer" : { @@ -850,12 +865,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "b14faa4f" + "globalKey" : "e7469563" } } ] } @@ -863,416 +878,393 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "bedc4ec0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1280,59 +1272,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "4fe9b558" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "8d064ce1" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "bedc4ec0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1364,7 +1394,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1384,7 +1414,7 @@ } } ], "meta" : { - "globalKey" : "5cb10415" + "globalKey" : "b39c721a" } }, "state" : { @@ -1450,12 +1480,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -1527,23 +1557,23 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "2deff1dc" + "globalKey" : "b8fac7e1" } } } } ] }, "previousWorkflowStep" : { - "globalReference" : "382d35ce" + "globalReference" : "ea1890ce" }, "messageInformation" : { "messageId" : { @@ -1565,7 +1595,7 @@ } } ], "meta" : { - "globalKey" : "795a1f75" + "globalKey" : "92fa2d90" } }, { "businessEvent" : { @@ -1633,12 +1663,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "15549de0" + "globalKey" : "4b4b88f4" } }, { "transfer" : { @@ -1710,12 +1740,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "b14faa4f" + "globalKey" : "e7469563" } } ] } @@ -1723,416 +1753,393 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } - }, - "meta" : { - "globalKey" : "e2043d1" - } - }, - "meta" : { - "globalKey" : "e2043d1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + } ] + }, "meta" : { - "globalKey" : "bedc4ec0" + "globalKey" : "448281ff" } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "financialUnit" : "Share" + } + }, + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2140,59 +2147,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "4fe9b558" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "8d064ce1" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "bedc4ec0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2224,7 +2269,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2244,7 +2289,7 @@ } } ], "meta" : { - "globalKey" : "5cb10415" + "globalKey" : "b39c721a" } }, "state" : { @@ -2310,12 +2355,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -2387,16 +2432,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "2deff1dc" + "globalKey" : "b8fac7e1" } } } @@ -2404,416 +2449,393 @@ "eventQualifier" : "CashAndSecurityTransfer", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "bedc4ec0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 0, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 0, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2821,59 +2843,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "4fe9b558" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "8d064ce1" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "bedc4ec0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2905,7 +2965,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2925,7 +2985,7 @@ } } ], "meta" : { - "globalKey" : "5cb10415" + "globalKey" : "b39c721a" } }, "state" : { @@ -2994,12 +3054,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -3071,12 +3131,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } }, { "transfer" : { @@ -3138,12 +3198,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "15549de0" + "globalKey" : "4b4b88f4" } }, { "transfer" : { @@ -3215,24 +3275,24 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "b14faa4f" + "globalKey" : "e7469563" } } ], "meta" : { - "globalKey" : "bed83e88" + "globalKey" : "a8693c8d" } } ], "meta" : { - "globalKey" : "7c78e8b4" + "globalKey" : "88b94a14" } }, "previousWorkflowStep" : { - "globalReference" : "19cded0f" + "globalReference" : "bc2a5b2a" }, "messageInformation" : { "messageId" : { @@ -3254,7 +3314,7 @@ } } ], "meta" : { - "globalKey" : "8341d0d4" + "globalKey" : "8148d374" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json index 34ec0bd083..a60db0abbe 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json @@ -1,187 +1,222 @@ { "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - } + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" + "meta" : { + "globalKey" : "0" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE" + }, + "adjustedDate" : { + "value" : "2020-09-22" } } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE" }, - "meta" : { - "globalKey" : "0" + "adjustedDate" : { + "value" : "2020-10-22" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - }, - "adjustedDate" : { - "value" : "2020-09-22" - }, - "meta" : { - "externalKey" : "Effective_Date" - } - } - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING" - }, - "adjustedDate" : { - "value" : "2020-10-22" + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" }, - "meta" : { - "externalKey" : "Termination_Date" - } - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "rollConvention" : "NONE" + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ] - } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } } - } ] - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE" - }, - "adjustedDate" : { - "value" : "2020-09-22" + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + } + } ] + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + } + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + } + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE" - }, - "adjustedDate" : { - "value" : "2020-10-22" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + }, + "adjustedDate" : { + "value" : "2020-09-22" + }, + "meta" : { + "externalKey" : "Effective_Date" } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING" + }, + "adjustedDate" : { + "value" : "2020-10-22" + }, + "meta" : { + "externalKey" : "Termination_Date" } } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "rollConvention" : "NONE" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ] } } - } ] - } + } + } ] } } } - } ] - } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } } - } ] + } ], + "meta" : { + "globalKey" : "c4a17b46" + } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] } } } @@ -189,127 +224,113 @@ "priceQuantity" : [ { "price" : [ { "value" : { - "value" : 0.01, + "value" : 25, "unit" : { "currency" : { "value" : "USD" } }, "perUnitOf" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" }, - "priceType" : "InterestRate" + "priceType" : "AssetPrice" }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-2" + "value" : "price-1" } ] } } ], "quantity" : [ { "value" : { - "value" : 5000000, + "value" : 200000, "unit" : { - "currency" : { - "value" : "USD" + "financialUnit" : "Share" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } } } }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-8" + "value" : "observable-1" } ] } - } ] + } }, { "price" : [ { "value" : { - "value" : 25, + "value" : 0.01, "unit" : { "currency" : { "value" : "USD" } }, "perUnitOf" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } }, - "priceType" : "AssetPrice" + "priceType" : "InterestRate" }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-1" + "value" : "price-2" } ] } } ], "quantity" : [ { "value" : { - "value" : 200000, + "value" : 5000000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-9" + "value" : "quantity-2" } ] } } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ] - } - } - } + "meta" : { + "globalKey" : "e41b7a85" } } ], "counterparty" : [ { "role" : "Party1", "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - } - } ], - "name" : { - "value" : "StandardFund1" - }, - "meta" : { - "globalKey" : "ad04f7df", - "externalKey" : "Lender0" - } - } + "externalReference" : "Lender0" } }, { "role" : "Party2", "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7601b530", - "externalKey" : "Borrower" - } - } + "externalReference" : "Borrower" } } ], "parties" : [ { @@ -334,7 +355,7 @@ "value" : "KTKL" }, "meta" : { - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-output.json index 9b23db4d58..b0fd1fbda2 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-output.json @@ -6,451 +6,468 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, "meta" : { "globalKey" : "e742daa5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "fa42f5cf" } }, "meta" : { "globalKey" : "e743cae5" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" + "globalKey" : "24a738" } }, - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } - } ], + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "b78e4420" } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "171b36" + "globalKey" : "73" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } + } ], + "meta" : { + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } + } ], + "meta" : { + "globalKey" : "82e324cc" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, - "meta" : { - "globalKey" : "69ce863f" } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] + }, + "meta" : { + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "f3199a4b" } }, "priceQuantity" : [ { "price" : [ { "value" : { - "value" : 0.01, + "value" : 25, "unit" : { "currency" : { "value" : "USD" } }, "perUnitOf" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" }, - "priceType" : "InterestRate" + "priceType" : "AssetPrice" }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-2" + "value" : "price-1" } ] } } ], "quantity" : [ { "value" : { - "value" : 5000000, + "value" : 200000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-8" + "value" : "quantity-1" } ] } } ], - "meta" : { - "globalKey" : "e41b7a85" - } - }, { - "price" : [ { + "observable" : { "value" : { - "value" : 25, - "unit" : { - "currency" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { "value" : "USD" } }, "perUnitOf" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } }, - "priceType" : "AssetPrice" + "priceType" : "InterestRate" }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "price-1" + "value" : "price-2" } ] } } ], "quantity" : [ { "value" : { - "value" : 200000, + "value" : 5000000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-9" + "value" : "quantity-2" } ] } } ], - "observable" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ] - } - } - } - }, "meta" : { - "globalKey" : "47bb9d8a" + "globalKey" : "e41b7a85" } } ], "counterparty" : [ { "role" : "Party1", "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ], - "name" : { - "value" : "StandardFund1" - }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } - } + "globalReference" : "61517d75", + "externalReference" : "Lender0" } }, { "role" : "Party2", "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" - } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" - } - } + "globalReference" : "7c311b30", + "externalReference" : "Borrower" } } ], "parties" : [ { @@ -483,7 +500,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -527,416 +544,393 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -944,59 +938,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" } - } ] + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1028,7 +1060,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1048,18 +1080,18 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "cbe71e1b" + "globalKey" : "8ddff8bc" } } ], "meta" : { - "globalKey" : "a812b4da" + "globalKey" : "60403e68" } }, "messageInformation" : { @@ -1083,7 +1115,7 @@ } ], "action" : "New", "meta" : { - "globalKey" : "4e0d70b3" + "globalKey" : "fdca0265" } }, { "proposedEvent" : { @@ -1151,12 +1183,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -1228,12 +1260,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ] } @@ -1241,416 +1273,393 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" } }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" + } + }, + "meta" : { + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" + } + }, + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "171b36" - } - }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1658,59 +1667,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1742,7 +1789,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1762,21 +1809,21 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "cbe71e1b" + "globalKey" : "8ddff8bc" } } } } ] }, "previousWorkflowStep" : { - "globalReference" : "4e0d70b3" + "globalReference" : "fdca0265" }, "messageInformation" : { "messageId" : { @@ -1798,7 +1845,7 @@ } } ], "meta" : { - "globalKey" : "5ca9a882" + "globalKey" : "d5b7b581" } }, { "businessEvent" : { @@ -1866,12 +1913,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -1943,12 +1990,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ] } @@ -1956,416 +2003,393 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" - } - }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "fa42f5cf" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2373,59 +2397,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" - } - } ], - "name" : { - "value" : "StandardFund1" - }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } + }, + "meta" : { + "globalKey" : "a1221f6f" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2457,7 +2519,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2477,14 +2539,14 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "cbe71e1b" + "globalKey" : "8ddff8bc" } } } @@ -2492,416 +2554,393 @@ "eventQualifier" : "CashAndSecurityTransfer", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2909,59 +2948,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2993,7 +3070,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -3013,7 +3090,7 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { @@ -3079,12 +3156,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -3156,24 +3233,24 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "ec7a3336" + "globalKey" : "779bb817" } } ], "meta" : { - "globalKey" : "15a9882f" + "globalKey" : "bd77098f" } }, "previousWorkflowStep" : { - "globalReference" : "31c467b0" + "globalReference" : "d37537af" }, "messageInformation" : { "messageId" : { @@ -3195,7 +3272,7 @@ } } ], "meta" : { - "globalKey" : "9bc4bdb9" + "globalKey" : "68caa059" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json index f64ed54d23..e5a685ae2f 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-input.json @@ -1,416 +1,393 @@ { "tradeState" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, - "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 200000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 200000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -418,59 +395,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "47bb9d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "a1221f6f" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "e41b7a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -502,7 +517,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -522,7 +537,7 @@ } } ], "meta" : { - "globalKey" : "d1af698c" + "globalKey" : "fb0786d" } }, "state" : { @@ -588,12 +603,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -665,16 +680,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "ec7a3336" + "globalKey" : "779bb817" } }, "returnInstruction" : { diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-output.json index 5018a606d2..cc2ac1d6ed 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/part-return-settlement-workflow-func-output.json @@ -4,416 +4,393 @@ "eventDate" : "2020-10-08", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -421,59 +398,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -505,7 +520,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -525,7 +540,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "transferHistory" : [ { @@ -588,12 +603,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -665,20 +680,20 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "f2fc159d" + "globalKey" : "4891814a" } } ], "meta" : { - "globalKey" : "d9b8425" + "globalKey" : "11f55dd2" } }, "messageInformation" : { @@ -702,7 +717,7 @@ } ], "action" : "New", "meta" : { - "globalKey" : "d5c11ef5" + "globalKey" : "98026728" } }, { "proposedEvent" : { @@ -770,12 +785,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "d0a7bdce" + "globalKey" : "69ea8e2" } }, { "transfer" : { @@ -847,12 +862,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "78c46c46" + "globalKey" : "aebb575a" } } ] } @@ -860,416 +875,393 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -1277,59 +1269,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1361,7 +1391,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1381,7 +1411,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "transferHistory" : [ { @@ -1444,12 +1474,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -1521,23 +1551,23 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "f2fc159d" + "globalKey" : "4891814a" } } } } ] }, "previousWorkflowStep" : { - "globalReference" : "c062a107" + "globalReference" : "261ceb5f" }, "messageInformation" : { "messageId" : { @@ -1559,7 +1589,7 @@ } } ], "meta" : { - "globalKey" : "a2ae96f" + "globalKey" : "60cb7762" } }, { "businessEvent" : { @@ -1627,12 +1657,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "d0a7bdce" + "globalKey" : "69ea8e2" } }, { "transfer" : { @@ -1704,12 +1734,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "78c46c46" + "globalKey" : "aebb575a" } } ] } @@ -1717,416 +1747,393 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } - }, - "meta" : { - "globalKey" : "e2043d1" - } - }, - "meta" : { - "globalKey" : "e2043d1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + } ] + }, "meta" : { - "globalKey" : "4daa57e1" + "globalKey" : "448281ff" } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" + } + }, + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2134,59 +2141,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2218,7 +2263,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2238,7 +2283,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "transferHistory" : [ { @@ -2301,12 +2346,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -2378,16 +2423,16 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } } ], "meta" : { - "globalKey" : "f2fc159d" + "globalKey" : "4891814a" } } } @@ -2395,416 +2440,393 @@ "eventQualifier" : "CashAndSecurityTransfer", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "569d85e5" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3750000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] - } - } ], + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, "meta" : { - "globalKey" : "4daa57e1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -2812,59 +2834,97 @@ "value" : "ST001" }, "identifierType" : "SEDOL" - } ] + } ], + "securityType" : "Equity" } } } }, "meta" : { - "globalKey" : "5eeb14e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { + }, + "meta" : { + "globalKey" : "bdd431d5" + } + }, { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "FM1LEI11111111111111" - }, - "meta" : { - "globalKey" : "87c4d1c6" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "StandardFund1" }, - "meta" : { - "globalKey" : "61517d75", - "externalKey" : "Lender0" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] } - } - }, { - "role" : "Party2", - "partyReference" : { + } ], + "quantity" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 3750000, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001" - }, - "meta" : { - "globalKey" : "7c311b30", - "externalKey" : "Borrower" } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "4daa57e1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61517d75", + "externalReference" : "Lender0" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "569d85e5" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -2896,7 +2956,7 @@ }, "meta" : { "globalKey" : "84088af0", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -2916,7 +2976,7 @@ } } ], "meta" : { - "globalKey" : "a812c742" + "globalKey" : "699affaf" } }, "transferHistory" : [ { @@ -2979,12 +3039,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "44b93d0a" + "globalKey" : "7ab0281e" } }, { "transfer" : { @@ -3056,12 +3116,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "81eb0b25" + "globalKey" : "b7e1f639" } }, { "transfer" : { @@ -3123,12 +3183,12 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "d0a7bdce" + "globalKey" : "69ea8e2" } }, { "transfer" : { @@ -3200,24 +3260,24 @@ }, "settlementOrigin" : { "assetPayout" : { - "globalReference" : "8197590c" + "globalReference" : "b78e4420" } } }, "meta" : { - "globalKey" : "78c46c46" + "globalKey" : "aebb575a" } } ], "meta" : { - "globalKey" : "d073b6d5" + "globalKey" : "b0bf25c2" } } ], "meta" : { - "globalKey" : "897c4596" + "globalKey" : "4aeb0ff6" } }, "previousWorkflowStep" : { - "globalReference" : "14fe867b" + "globalReference" : "c217dbee" }, "messageInformation" : { "messageId" : { @@ -3239,7 +3299,7 @@ } } ], "meta" : { - "globalKey" : "134a1a39" + "globalKey" : "d03713d9" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json index e687a34524..c1ea9f8d47 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-input.json @@ -66,11 +66,9 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 500000.000, + "value" : 20000.000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } }, "meta" : { @@ -80,9 +78,11 @@ } }, { "value" : { - "value" : 20000.000, + "value" : 500000.000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { @@ -92,7 +92,7 @@ } } ], "meta" : { - "globalKey" : "a243eb5c" + "globalKey" : "9b518a9a" } } ], "direction" : "Replace" @@ -102,11 +102,9 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 1500000.000, + "value" : 60000.000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } }, "meta" : { @@ -116,9 +114,11 @@ } }, { "value" : { - "value" : 60000.000, + "value" : 1500000.000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } }, "meta" : { @@ -128,7 +128,7 @@ } } ], "meta" : { - "globalKey" : "b1506fcf" + "globalKey" : "7c26c705" } } ], "direction" : "Replace" @@ -139,460 +139,491 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-2" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "c76d61e6" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 2000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 80000.0, + "unit" : { + "financialUnit" : "Share" } - } ], + }, "meta" : { - "globalKey" : "256d6242" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 80000.0, - "unit" : { - "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "e915b890" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d42859ae", - "externalReference" : "lender-2" + }, + "meta" : { + "globalKey" : "d0d94ee9" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "256d6242" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d42859ae", + "externalReference" : "lender-2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-2" + } + } ], + "meta" : { + "globalKey" : "c76d61e6" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -640,7 +671,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } ], "partyRole" : [ { @@ -659,18 +690,18 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, "role" : "AgentLender" } ], "meta" : { - "globalKey" : "f9c7765" + "globalKey" : "f5ff42a2" } }, "meta" : { - "globalKey" : "f9c7765" + "globalKey" : "f5ff42a2" } } } diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-output.json index 9de9ed7a93..6b3c4777a3 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/sec-lending/reallocation/reallocation-pre-settled-func-output.json @@ -68,23 +68,23 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 500000, + "value" : 20000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } } }, { "value" : { - "value" : 20000, + "value" : 500000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } } } ], "meta" : { - "globalKey" : "a243eb5c" + "globalKey" : "9b518a9a" } } ], "direction" : "Replace" @@ -94,23 +94,23 @@ "change" : [ { "quantity" : [ { "value" : { - "value" : 1500000, + "value" : 60000, "unit" : { - "currency" : { - "value" : "USD" - } + "financialUnit" : "Share" } } }, { "value" : { - "value" : 60000, + "value" : 1500000, "unit" : { - "financialUnit" : "Share" + "currency" : { + "value" : "USD" + } } } } ], "meta" : { - "globalKey" : "b1506fcf" + "globalKey" : "7c26c705" } } ], "direction" : "Replace" @@ -121,460 +121,491 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-2" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "c76d61e6" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2256" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" + "globalKey" : "24a738" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "24a738" } - } ], + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, "meta" : { - "globalKey" : "98fd77d9" + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 } }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 2000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 80000, + "unit" : { + "financialUnit" : "Share" } - } ], + }, "meta" : { - "globalKey" : "256d6242" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 80000, - "unit" : { - "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "e915b890" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d42859ae", - "externalReference" : "lender-2" + }, + "meta" : { + "globalKey" : "d0d94ee9" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2000000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "256d6242" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d42859ae", + "externalReference" : "lender-2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-2" + } + } ], + "meta" : { + "globalKey" : "c76d61e6" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -622,7 +653,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } ], "partyRole" : [ { @@ -641,18 +672,18 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, "role" : "AgentLender" } ], "meta" : { - "globalKey" : "f9c7765" + "globalKey" : "f5ff42a2" } }, "meta" : { - "globalKey" : "f9c7765" + "globalKey" : "f5ff42a2" } } } @@ -660,460 +691,491 @@ "eventQualifier" : "Reallocation", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-2-allocation-lender-3" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "3a503368" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : 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"value" : "2020-10-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2296" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "8b1de243" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : 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"price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000, + "unit" : { + "financialUnit" : "Share" } - } ], + }, "meta" : { - "globalKey" : "d631ae2b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000, - "unit" : { - "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "9de2fed6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d4285d70", - "externalReference" : "lender-3" + }, + "meta" : { + "globalKey" : "fedb0463" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "d631ae2b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d4285d70", + "externalReference" : "lender-3" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-2-allocation-lender-3" + } + } ], + "meta" : { + "globalKey" : "3a503368" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1161,7 +1223,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } }, { "partyId" : [ { @@ -1196,7 +1258,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, @@ -1224,468 +1286,499 @@ "role" : "AgentLender" } ], "meta" : { - "globalKey" : "ea533feb" + "globalKey" : "18273346" } }, "meta" : { - "globalKey" : "ea533feb" + "globalKey" : "18273346" } }, { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "KTKL" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001-allocation-lender-2" - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "SecurityLending" } ], - "meta" : { - "globalKey" : "c76d61e6" - } - } ], - "tradeDate" : { - "value" : "2020-09-21", - "meta" : { - "globalKey" : "3f2255" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "fa42f5cf" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-10-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e743cae5" + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, + "payout" : { + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e743cae5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-8" + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + }, { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + }, + "adjustedDate" : { + "value" : "2020-10-22", "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "3f2296" } }, - "terminationDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" + } + } + }, + "minimumFee" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "meta" : { + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1 + } + }, + "meta" : { + "globalKey" : "b78e4420" + } + } ], + "meta" : { + "globalKey" : "b78e4420" + } + }, + "collateral" : { + "collateralPortfolio" : [ { + "value" : { + "collateralPosition" : [ { + "product" : { + "TransferableProduct" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, "meta" : { - "globalKey" : "fa42f5cf" + "globalKey" : "e742daa5" } }, - "adjustedDate" : { - "value" : "2020-10-22", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-10-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e743cae5" + } + }, "meta" : { - "globalKey" : "3f2296" + "globalKey" : "e743cae5" } }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Termination_Date" - } - }, - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "8b1de243" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "fa98fa5b" - } - }, - "meta" : { - "globalKey" : "98fd77d9" - } - } ], - "meta" : { - "globalKey" : "98fd77d9" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { - "globalKey" : "24a738" + "globalKey" : "fa42f5cf" } }, - "deliveryMethod" : "DeliveryVersusPayment" - }, { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-10-22", - "meta" : { - "globalKey" : "3f2296" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3f2256" } }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, "meta" : { - "globalKey" : "c4a17b46" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, - "durationType" : { - "durationType" : "Term" - }, - "minimumFee" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "terminationDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "adjustedDate" : { + "value" : "2020-10-22", + "meta" : { + "globalKey" : "3f2296" } }, "meta" : { - "globalKey" : "171b36" + "globalKey" : "fa42f5cf", + "externalKey" : "Termination_Date" } }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1 + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "8b1de243" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "8197590c" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "705a3ef7" } - }, + } ], "meta" : { - "globalKey" : "8197590c" + "globalKey" : "705a3ef7" } - }, - "meta" : { - "globalKey" : "8197590c" } } - } ], - "meta" : { - "globalKey" : "8197590c" } } } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 0.02 - } - } - } ] - }, "meta" : { - "globalKey" : "69ce863f" + "globalKey" : "82e324cc" } } + } ], + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 0.02 + } + } + } ] }, "meta" : { - "globalKey" : "e2043d1" + "globalKey" : "448281ff" } - }, - "meta" : { - "globalKey" : "e2043d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1500000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "f3199a4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 25, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-8" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 60000, + "unit" : { + "financialUnit" : "Share" } - } ], + }, "meta" : { - "globalKey" : "55f7e51c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 25, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 60000, - "unit" : { - "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-9" - } ] } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" - } - } - } ] }, "meta" : { - "globalKey" : "255a2552" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d42859ae", - "externalReference" : "lender-2" + }, + "meta" : { + "globalKey" : "35848b67" } }, { - "role" : "Party2", - "partyReference" : { + "price" : [ { "value" : { - "partyId" : [ { - "identifier" : { - "value" : "CP001LEI111111111111" - }, - "meta" : { - "globalKey" : "12818f8c" + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } - } ], - "name" : { - "value" : "CP001(Borrower)" }, - "meta" : { - "globalKey" : "2e189ef", - "externalKey" : "Borrower" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1500000, + "unit" : { + "currency" : { + "value" : "USD" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } + } ], + "meta" : { + "globalKey" : "55f7e51c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d42859ae", + "externalReference" : "lender-2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2e189ef", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "KTKL" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001-allocation-lender-2" + } + } ], + "meta" : { + "globalKey" : "c76d61e6" + } + } ], + "tradeDate" : { + "value" : "2020-09-21", + "meta" : { + "globalKey" : "3f2255" + } }, "party" : [ { "partyId" : [ { @@ -1733,7 +1826,7 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } ], "partyRole" : [ { @@ -1752,21 +1845,21 @@ }, "meta" : { "globalKey" : "3a97bd6c", - "externalKey" : "AGENT_LENDER" + "externalKey" : "AgentLender" } } }, "role" : "AgentLender" } ], "meta" : { - "globalKey" : "79729681" + "globalKey" : "c98a1dca" } }, "meta" : { - "globalKey" : "79729681" + "globalKey" : "c98a1dca" } } ], "meta" : { - "globalKey" : "a5bba868" + "globalKey" : "127f414b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json index 3460b30b28..cff07ec79c 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-input.json @@ -6,347 +6,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -369,34 +364,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ed98830f" + "globalKey" : "8956761b" } }, { "price" : [ { @@ -442,7 +456,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -531,344 +545,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365af8de" } + }, + "meta" : { + "globalKey" : "a8d53690" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ea1a6ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -884,142 +812,240 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "cc92cf9e" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "ed98830f" - } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "9fcd1c8" } } ], "meta" : { - "globalKey" : "aff6e628" + "globalKey" : "4fdef835" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" } - } ] + }, + "meta" : { + "globalKey" : "f475f1e6" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8956761b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "aff6e628" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { "value" : "PARTYAUS33", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" @@ -1056,18 +1082,18 @@ } } ], "meta" : { - "globalKey" : "3e7c942b" + "globalKey" : "55489cc3" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "3a141cfa" + "globalKey" : "ce005f92" } } ], "meta" : { - "globalKey" : "24217fa7" + "globalKey" : "2b4e9945" } }, "messageInformation" : { @@ -1129,11 +1155,11 @@ } } ], "meta" : { - "globalKey" : "5c6368bc" + "globalKey" : "42805d5e" } }, { "previousWorkflowStep" : { - "globalReference" : "5c6368bc" + "globalReference" : "42805d5e" }, "messageInformation" : { "messageId" : { @@ -1165,347 +1191,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -1528,34 +1549,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -1601,7 +1641,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -1690,307 +1730,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eef1b10f" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "cc92cf9e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -2005,176 +1996,237 @@ "globalKey" : "cc92cf9e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "abe45cac" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "cc92cf9e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "9fcd1c8" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -2215,18 +2267,18 @@ } } ], "meta" : { - "globalKey" : "981546eb" + "globalKey" : "d10a6887" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "904b1fba" + "globalKey" : "607e4a56" } } ], "meta" : { - "globalKey" : "f4ae27a7" + "globalKey" : "f17251cd" } }, "messageInformation" : { @@ -2288,7 +2340,7 @@ } } ], "meta" : { - "globalKey" : "5fd0b140" + "globalKey" : "f0387c5a" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-output.json index 1a2a591435..109c0a2b28 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/cancellation/cancellation-func-output.json @@ -6,347 +6,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -369,37 +364,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "2505dd46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ed98830f" + "globalKey" : "8956761b" } }, { "price" : [ { @@ -445,7 +456,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -534,344 +545,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365af8de" } + }, + "meta" : { + "globalKey" : "a8d53690" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ea1a6ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -887,147 +812,242 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "cc92cf9e" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "2505dd46" - } - }, - "meta" : { - "globalKey" : "ed98830f" - } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "9fcd1c8" } } ], "meta" : { - "globalKey" : "aff6e628" + "globalKey" : "4fdef835" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" } - } ] + }, + "meta" : { + "globalKey" : "f475f1e6" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8956761b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "aff6e628" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" } }, @@ -1062,18 +1082,18 @@ } } ], "meta" : { - "globalKey" : "3e7c942b" + "globalKey" : "55489cc3" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "3a141cfa" + "globalKey" : "ce005f92" } } ], "meta" : { - "globalKey" : "24217fa7" + "globalKey" : "2b4e9945" } }, "messageInformation" : { @@ -1135,11 +1155,11 @@ } } ], "meta" : { - "globalKey" : "f4324bde" + "globalKey" : "da4f4080" } }, { "previousWorkflowStep" : { - "globalReference" : "5c6368bc" + "globalReference" : "42805d5e" }, "messageInformation" : { "messageId" : { @@ -1171,347 +1191,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -1534,37 +1549,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "2505dd46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -1610,7 +1641,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -1699,344 +1730,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eef1b10f" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "cc92cf9e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ea1a6ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -2052,141 +1997,236 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "107" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "e6ec3400" } }, "meta" : { - "globalKey" : "2505dd46" + "globalKey" : "9fcd1c8" + } + } ], + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -2227,18 +2267,18 @@ } } ], "meta" : { - "globalKey" : "981546eb" + "globalKey" : "d10a6887" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "904b1fba" + "globalKey" : "607e4a56" } } ], "meta" : { - "globalKey" : "f4ae27a7" + "globalKey" : "f17251cd" } }, "messageInformation" : { @@ -2300,7 +2340,7 @@ } } ], "meta" : { - "globalKey" : "ce5b881a" + "globalKey" : "5ec35334" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json index 8834191ffd..573cd3ab06 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-input.json @@ -6,347 +6,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -369,34 +364,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ed98830f" + "globalKey" : "8956761b" } }, { "price" : [ { @@ -442,7 +456,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -531,344 +545,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365af8de" } + }, + "meta" : { + "globalKey" : "a8d53690" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ea1a6ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -884,142 +812,240 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "cc92cf9e" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "ed98830f" - } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "9fcd1c8" } } ], "meta" : { - "globalKey" : "aff6e628" + "globalKey" : "4fdef835" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" } - } ] + }, + "meta" : { + "globalKey" : "f475f1e6" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8956761b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "aff6e628" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { "value" : "PARTYAUS33", "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" @@ -1056,18 +1082,18 @@ } } ], "meta" : { - "globalKey" : "3e7c942b" + "globalKey" : "55489cc3" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "3a141cfa" + "globalKey" : "ce005f92" } } ], "meta" : { - "globalKey" : "24217fa7" + "globalKey" : "2b4e9945" } }, "messageInformation" : { @@ -1129,7 +1155,7 @@ } } ], "meta" : { - "globalKey" : "5c6368bc" + "globalKey" : "42805d5e" } }, { "businessEvent" : { @@ -1138,347 +1164,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -1501,34 +1522,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -1574,7 +1614,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -1663,307 +1703,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eef1b10f" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "cc92cf9e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -1978,176 +1969,237 @@ "globalKey" : "cc92cf9e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "abe45cac" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "cc92cf9e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "9fcd1c8" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -2188,22 +2240,22 @@ } } ], "meta" : { - "globalKey" : "981546eb" + "globalKey" : "d10a6887" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "904b1fba" + "globalKey" : "607e4a56" } } ], "meta" : { - "globalKey" : "f4ae27a7" + "globalKey" : "f17251cd" } }, "previousWorkflowStep" : { - "globalReference" : "5c6368bc" + "globalReference" : "42805d5e" }, "messageInformation" : { "messageId" : { @@ -2264,7 +2316,7 @@ } } ], "meta" : { - "globalKey" : "e5ae5018" + "globalKey" : "623fe83e" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-output.json index c15e0e5097..d5f05d3d99 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-output.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/functions/workflow-step/correction/correction-func-output.json @@ -6,347 +6,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -369,37 +364,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "2505dd46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ed98830f" + "globalKey" : "8956761b" } }, { "price" : [ { @@ -445,7 +456,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -534,344 +545,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "365af8de" } + }, + "meta" : { + "globalKey" : "a8d53690" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eef1b10f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "21479e" } }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ea1a6ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -887,147 +812,242 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "cc92cf9e" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "globalKey" : "2505dd46" - } - }, - "meta" : { - "globalKey" : "ed98830f" - } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 99999, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } + "meta" : { + "globalKey" : "e6ec3400" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "9fcd1c8" } } ], "meta" : { - "globalKey" : "aff6e628" + "globalKey" : "4fdef835" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" } - } ] + }, + "meta" : { + "globalKey" : "f475f1e6" + } }, - "party" : [ { - "partyId" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8956761b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 99999, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "aff6e628" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } + }, + "party" : [ { + "partyId" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { "scheme" : "http://www.fpml.org/coding-scheme/external/iso9362" } }, @@ -1062,18 +1082,18 @@ } } ], "meta" : { - "globalKey" : "3e7c942b" + "globalKey" : "55489cc3" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "3a141cfa" + "globalKey" : "ce005f92" } } ], "meta" : { - "globalKey" : "24217fa7" + "globalKey" : "2b4e9945" } }, "messageInformation" : { @@ -1135,7 +1155,7 @@ } } ], "meta" : { - "globalKey" : "f4324bde" + "globalKey" : "da4f4080" } }, { "businessEvent" : { @@ -1144,347 +1164,342 @@ "primitiveInstruction" : { "execution" : { "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ea1a6ec6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "365af8de" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "a8d53690" + "globalKey" : "365af8de" } }, "meta" : { "globalKey" : "a8d53690" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "cc92cf9e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ea1a6ec6" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "abe45cac" + "globalKey" : "cc92cf9e" } }, "meta" : { "globalKey" : "abe45cac" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "meta" : { + "globalKey" : "abe45cac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "cc92cf9e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "cc92cf9e" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "e6ec3400" } - } ], + }, "meta" : { - "globalKey" : "4fdef835" + "globalKey" : "9fcd1c8" } + } ], + "meta" : { + "globalKey" : "4fdef835" } - }, - "meta" : { - "globalKey" : "f475f1e6" } }, "meta" : { @@ -1507,37 +1522,53 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "quantity-2" } ] } } ], "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, "meta" : { - "globalKey" : "107" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } }, "meta" : { - "globalKey" : "2505dd46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c0d07bed" + "globalKey" : "614596fd" } }, { "price" : [ { @@ -1583,7 +1614,7 @@ "meta" : { "location" : [ { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "quantity-1" } ] } } ], @@ -1672,344 +1703,258 @@ "eventQualifier" : "Execution", "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "596a3734" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eef1b10f" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "d094898f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5bf26451" + "globalKey" : "eef1b10f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d094898f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "5c56ab56", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "d094898f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5c56ab56", - "externalKey" : "resetDates" + "globalKey" : "eef1b10f" } }, "meta" : { - "globalKey" : "25298ab3" + "globalKey" : "cc92cf9e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "5bf26451" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d094898f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "5c56ab56", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eef1b10f" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "cc92cf9e" + } + }, + "meta" : { + "globalKey" : "5c56ab56", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "25298ab3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, - "meta" : { - "globalKey" : "cc92cf9e" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "meta" : { - "globalKey" : "abe45cac" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eef1b10f" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "cc92cf9e" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "dac8570e", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ea1a6ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -2025,141 +1970,236 @@ } }, "meta" : { - "globalKey" : "e6ec3400" + "globalKey" : "abe45cac" } }, "meta" : { - "globalKey" : "9fcd1c8" + "globalKey" : "abe45cac" } - } ], - "meta" : { - "globalKey" : "4fdef835" - } - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "meta" : { - "globalKey" : "f475f1e6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "dac8570e", + "externalKey" : "fixedCalcPeriodDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "107" + "globalKey" : "eef1b10f" } + }, + "meta" : { + "globalKey" : "cc92cf9e" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "e6ec3400" } }, "meta" : { - "globalKey" : "2505dd46" + "globalKey" : "9fcd1c8" + } + } ], + "meta" : { + "globalKey" : "4fdef835" + } + } + }, + "meta" : { + "globalKey" : "f475f1e6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "596a3734" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -2200,22 +2240,22 @@ } } ], "meta" : { - "globalKey" : "981546eb" + "globalKey" : "d10a6887" } }, "state" : { "positionState" : "Executed" }, "meta" : { - "globalKey" : "904b1fba" + "globalKey" : "607e4a56" } } ], "meta" : { - "globalKey" : "f4ae27a7" + "globalKey" : "f17251cd" } }, "previousWorkflowStep" : { - "globalReference" : "5c6368bc" + "globalReference" : "42805d5e" }, "messageInformation" : { "messageId" : { @@ -2276,7 +2316,7 @@ } } ], "meta" : { - "globalKey" : "543926f2" + "globalKey" : "d0cabf18" } } ] } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/cdm-sample-files/ore-1-0-39/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/ore-1-0-39/expectations.json index 945393bc28..f2b38335b5 100644 --- a/rosetta-source/src/main/resources/cdm-sample-files/ore-1-0-39/expectations.json +++ b/rosetta-source/src/main/resources/cdm-sample-files/ore-1-0-39/expectations.json @@ -1,2 +1,2 @@ [ -{"fileName":"cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml","excludedPaths":0,"externalPaths":37,"outstandingMappings":27,"validationFailures":59,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}] \ No newline at end of file +{"fileName":"cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml","excludedPaths":0,"externalPaths":37,"outstandingMappings":27,"validationFailures":42,"qualificationExpectation":{"success":true,"qualifyResults":[{"qualifiedName":"InterestRate_IRSwap_FixedFloat","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":1}}] \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/dtcc-11-0-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/dtcc-11-0-failed-mappings-report.csv index 765c3e9b39..b43815c205 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/dtcc-11-0-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/dtcc-11-0-failed-mappings-report.csv @@ -1,7 +1,7 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.contractualMatrix.publicationDate","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.contractualMatrix.publicationDate",0,,Element with value 2005-03-07 could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme",0,,Element with value http://www.fpml.org/coding-scheme/master-agreement-version could not be mapped to a rosettaField -cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.generalTerms.additionalTerm[additionalTermScheme=http://derivserv.dtcc.com/coding-scheme/additional-term].additionalTermScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.generalTerms.additionalTerm[additionalTermScheme=http://derivserv.dtcc.com/coding-scheme/additional-term].additionalTermScheme",0,,Element with value http://derivserv.dtcc.com/coding-scheme/additional-term could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade1.xml,Fail_MappedNone,Header.OTC_RM.Manifest.TradeMsg.ProductType,Header.OTC_RM.Manifest.TradeMsg.ProductType,0,,Element with value CreditDefaultSwapShort could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.europeanExercise.earliestExerciseTime.businessCenter","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.europeanExercise.earliestExerciseTime.businessCenter",0,,Element with value NONE could not be mapped to a rosettaField @@ -10,7 +10,7 @@ cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedMultiple,"Body.OTC_Match WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party(1)[id=DTCC00005678].partyId(1)[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party[id=DTCC00005678].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme",2,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields -cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.europeanExercise.expirationTime.businessCenter","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwapOption.europeanExercise.expirationTime.businessCenter",0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade2.xml,Fail_MappedNone,Header.OTC_RM.Manifest.TradeMsg.ProductType,Header.OTC_RM.Manifest.TradeMsg.ProductType,0,,Element with value CreditDefaultSwapIndex could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade3.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme",0,,Element with value http://www.fpml.org/coding-scheme/master-agreement-version could not be mapped to a rosettaField @@ -18,14 +18,14 @@ cdm-sample-files/dtcc-11-0/DDL_NewTrade3.xml,Fail_MappedMultiple,"Body.OTC_Match WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade3.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party(1)[id=DTCC00001234].partyId(1)[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party[id=DTCC00001234].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme",2,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields -cdm-sample-files/dtcc-11-0/DDL_NewTrade3.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/dtcc-11-0/DDL_NewTrade3.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade3.xml,Fail_MappedNone,Header.OTC_RM.Manifest.TradeMsg.ProductType,Header.OTC_RM.Manifest.TradeMsg.ProductType,0,,Element with value CreditDefaultSwapIndex could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme",0,,Element with value http://www.fpml.org/coding-scheme/master-agreement-version could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party(0)[id=DTCC00001234].partyId(1)[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party[id=DTCC00001234].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme",2,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(1).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party(1)[id=DTCC00005678].partyId(1)[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party[id=DTCC00005678].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme",2,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields -cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade4.xml,Fail_MappedNone,Header.OTC_RM.Manifest.TradeMsg.ProductType,Header.OTC_RM.Manifest.TradeMsg.ProductType,0,,Element with value CreditDefaultSwapShort could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade5.xml,Fail_MappedNone,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.documentation.masterAgreement.masterAgreementVersion[masterAgreementVersionScheme=http://www.fpml.org/coding-scheme/master-agreement-version].masterAgreementVersionScheme",0,,Element with value http://www.fpml.org/coding-scheme/master-agreement-version could not be mapped to a rosettaField cdm-sample-files/dtcc-11-0/DDL_NewTrade5.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party(0)[id=DTCC00001234].partyId(1)[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party[id=DTCC00001234].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme",2,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(1).identifierType=[LEI] @@ -40,5 +40,5 @@ cdm-sample-files/dtcc-11-0/DDL_NewTrade6.xml,Fail_MappedMultiple,"Body.OTC_Match WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade6.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party(1)[id=DTCC00001234].partyId(1)[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].party[id=DTCC00001234].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme",2,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(1).identifier.meta.scheme=[DTCC, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields -cdm-sample-files/dtcc-11-0/DDL_NewTrade6.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/dtcc-11-0/DDL_NewTrade6.xml,Fail_MappedMultiple,"Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id","Body.OTC_Matching.Trade.FpML[schemaLocation=http://www.fpml.org/2010/FpML-4-9 ../../schemas/fpml-4-9/fpml-main-4-9.xsd http://www.w3.org/2000/09/xmldsig# ../../schemas/fpml-4-9/xmldsig-core-schema.xsd,type=RequestTradeConfirmation,version=4-9].trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id",2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/dtcc-11-0/DDL_NewTrade6.xml,Fail_MappedNone,Header.OTC_RM.Manifest.TradeMsg.ProductType,Header.OTC_RM.Manifest.TradeMsg.ProductType,0,,Element with value CreditDefaultSwapShort could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fis-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fis-aggregated-mapping-failure-report.csv index 7e74474794..220b1dadc5 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fis-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fis-aggregated-mapping-failure-report.csv @@ -1,7 +1,8 @@ -Mapping Coverage,84.17 +Mapping Coverage,80.00 Input Path,Failed Mapping Count Activity.Loan_Value_Currency,5 Activity.Loan_Value,5 Activity.Activity_Rate,4 -Activity.Own_Cpty_Stock_Clearer_LEI,5 \ No newline at end of file +Activity.Own_Cpty_Stock_Clearer_LEI,5 +Activity.Security_Sedol_Code,5 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fis-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fis-failed-mappings-report.csv index 1a0d6b4c3c..ca85148fcd 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fis-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fis-failed-mappings-report.csv @@ -1,19 +1,24 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(3).Own_Cpty_Stock_Clearer_LEI,Activity.Own_Cpty_Stock_Clearer_LEI,0,,Element with value KTKDELLEIDDDDDDDDDDD could not be mapped to a rosettaField +cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(2).Security_Sedol_Code,Activity.Security_Sedol_Code,0,,Element with value ST001 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(1).Loan_Value,Activity.Loan_Value,0,,Element with value 40000000.00 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(4).Activity_Rate,Activity.Activity_Rate,0,,Element with value 0.050000 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(2).Loan_Value_Currency,Activity.Loan_Value_Currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(0).Own_Cpty_Stock_Clearer_LEI,Activity.Own_Cpty_Stock_Clearer_LEI,0,,Element with value KTKDELLEIDDDDDDDDDDD could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(4).Own_Cpty_Stock_Clearer_LEI,Activity.Own_Cpty_Stock_Clearer_LEI,0,,Element with value KTKDELLEIDDDDDDDDDDD could not be mapped to a rosettaField +cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(3).Security_Sedol_Code,Activity.Security_Sedol_Code,0,,Element with value ST001 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(2).Loan_Value,Activity.Loan_Value,0,,Element with value 20000000.00 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(1).Activity_Rate,Activity.Activity_Rate,0,,Element with value 0.050000 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(1).Loan_Value_Currency,Activity.Loan_Value_Currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(1).Own_Cpty_Stock_Clearer_LEI,Activity.Own_Cpty_Stock_Clearer_LEI,0,,Element with value KTKDELLEIDDDDDDDDDDD could not be mapped to a rosettaField +cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(0).Security_Sedol_Code,Activity.Security_Sedol_Code,0,,Element with value ST001 could not be mapped to a rosettaField +cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(4).Security_Sedol_Code,Activity.Security_Sedol_Code,0,,Element with value ST001 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(2).Activity_Rate,Activity.Activity_Rate,0,,Element with value 0.050000 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(3).Loan_Value,Activity.Loan_Value,0,,Element with value 30000000.00 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(0).Loan_Value_Currency,Activity.Loan_Value_Currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(4).Loan_Value_Currency,Activity.Loan_Value_Currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(2).Own_Cpty_Stock_Clearer_LEI,Activity.Own_Cpty_Stock_Clearer_LEI,0,,Element with value KTKDELLEIDDDDDDDDDDD could not be mapped to a rosettaField +cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(1).Security_Sedol_Code,Activity.Security_Sedol_Code,0,,Element with value ST001 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(4).Loan_Value,Activity.Loan_Value,0,,Element with value 10000000.00 could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(3).Loan_Value_Currency,Activity.Loan_Value_Currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fis/isla1.xml,Fail_MappedNone,Activity(0).Loan_Value,Activity.Loan_Value,0,,Element with value 100000000.00 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-processes-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-processes-failed-mappings-report.csv index 7cbe529fb3..f497f03088 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-processes-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-processes-failed-mappings-report.csv @@ -124,7 +124,7 @@ cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade- cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,0,,Element with value _fund could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 4600.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,0,,Element with value 2009-05-22 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,party(1)[id=_broker].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_broker].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -143,7 +143,7 @@ cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade- cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,0,,Element with value _fund could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 4600.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,0,,Element with value 2009-05-22 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-processes/msg-ex61-execution-advice-trade-change-F03-00.xml,Fail_MappedNone,change.trade.creditDefaultSwap.generalTerms.indexReferenceInformation.excludedReferenceEntity.entityId[entityIdScheme=http://www.fpml.org/spec/2003/instrument-id-RED-1-0].entityIdScheme,change.trade.creditDefaultSwap.generalTerms.indexReferenceInformation.excludedReferenceEntity.entityId[entityIdScheme=http://www.fpml.org/spec/2003/instrument-id-RED-1-0].entityIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-RED-1-0 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-commodity-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-commodity-derivatives-failed-mappings-report.csv index 4818291e2f..237422c8aa 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-commodity-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-commodity-derivatives-failed-mappings-report.csv @@ -830,7 +830,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-ga cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.commodity.commodityDetails,trade.commodityOption.commodity.commodityDetails,0,,Element with value Louisiana (Henry Hub) could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],0,,Element with value NATURAL GAS-S. LOUISIANA (HENRY HUB)-INSIDE FERC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.marketDisruptionEvents,trade.commodityOption.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.publication.rateSourcePageHeading,trade.commodityOption.floatingStrikePricePerUnit.commodity.publication.rateSourcePageHeading,0,,Element with value Henry Hub could not be mapped to a rosettaField @@ -854,7 +854,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-ca cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].applicableDay(0),trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].applicableDay,0,,Element with value MON could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],0,,Element with value NATURAL GAS-SOCAL-GAS DAILY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MW],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MW],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].endTime.time.hourMinuteTime,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].endTime.time.hourMinuteTime,0,,Element with value 22:00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].duration,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].duration,0,,Element with value 1Hour could not be mapped to a rosettaField @@ -882,7 +882,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-ga cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.spread.amount,trade.commodityOption.floatingStrikePricePerUnit.spread.amount,0,,Element with value 0.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyB.com/coding-scheme/commodity-reference-price],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyB.com/coding-scheme/commodity-reference-price],0,,Element with value NATURAL GAS-NYMEX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.marketDisruptionEvents,trade.commodityOption.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].dayDistribution,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].dayDistribution,0,,Element with value First could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-credit-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-credit-derivatives-failed-mappings-report.csv index ad5c4d1b40..0d381ffa3e 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-credit-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-credit-derivatives-failed-mappings-report.csv @@ -12,14 +12,14 @@ cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short- cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2004-01-26 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.02 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(3),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(3),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2010-11-17 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(4),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(4),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(1),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(5),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(1),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(5),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.guarantorReference[href=referenceEntity].href,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.guarantorReference[href=referenceEntity].href,0,,Element with value referenceEntity could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(2),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(2),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.06375 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -111,7 +111,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-in cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 2342342 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2007/01/02/2342322 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2011-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.06 could not be mapped to a rosettaField @@ -146,7 +146,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex03-i cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex04-iBoxx.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex04-iBoxx.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCCPty2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -155,7 +155,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-Refe cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.messageId[messageIdScheme=www.dtcc.com].messageIdScheme,header.messageId[messageIdScheme=www.dtcc.com].messageIdScheme,0,,Element with value www.dtcc.com could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.messageId[messageIdScheme=www.dtcc.com],header.messageId[messageIdScheme=www.dtcc.com],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2007/10/30/002400000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket-tranche.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2005/01/24/0EB30A0q could not be mapped to a rosettaField @@ -194,9 +194,9 @@ cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket.xml cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,"trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1].id","trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1].id",0,,Element with value lid1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(0)[id=settlementTermsOne].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsOne].id,0,,Element with value settlementTermsOne could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"TradeState.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"TradeState.trade.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] +TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] +TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID].messageIdScheme,header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID].messageIdScheme,0,,Element with value http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID],header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID],0,,Element with value GW:0EB40A0q could not be mapped to a rosettaField @@ -216,9 +216,9 @@ cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-bas cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.maturity,0,,Element with value 2017-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.couponRate,0,,Element with value 0.077 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"TradeState.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field +cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +TradeState.trade.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.xml,Success,"trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1]","trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1]",0,,no destination cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-ReferenceObligation.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-ReferenceObligation.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-options-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-options-aggregated-mapping-failure-report.csv index 7130f66ccf..a2f75da240 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-options-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-options-aggregated-mapping-failure-report.csv @@ -1,215 +1,157 @@ -Mapping Coverage,51.12 +Mapping Coverage,65.32 Input Path,Failed Mapping Count trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationEndDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.equityOption.fxFeature.quanto.fxRate.quotedCurrencyPair.currency2,1 +trade.equityOptionTransactionSupplement.feature.asian.averagingInOut,2 trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,2 trade.brokerEquityOption.spotPrice,3 trade.equityOption.fxFeature.quanto.fxRate.quotedCurrencyPair.currency1,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId.instrumentIdScheme,2 -trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,8 +trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,15 +trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,12 +trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,1 trade.equityOption.feature.dividendAdjustment.dividendPeriod.unadjustedStartDate,2 trade.equityOption.underlyer.basket.basketConstituent.equity.id,2 trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.businessCenter,1 +trade.brokerEquityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,3 trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.futureId,4 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId,6 trade.equityOptionTransactionSupplement.spotPrice,1 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,6 +trade.equityOption.equityExercise.equityValuation.valuationTimeType,16 correlationId.correlationIdScheme,21 +sequenceNumber,21 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.adjustableDates.id,2 +trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency,1 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.instrumentId.instrumentIdScheme,2 -trade.equityOptionTransactionSupplement.optionEntitlement,1 trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTimeType,5 +trade.equityOption.feature.asian.averagingPeriodOut.marketDisruption,1 trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,11 -trade.equityOptionTransactionSupplement.numberOfOptions,8 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.hourMinuteTime,1 +trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency.currencyScheme,5 trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,6 +trade.equityOption.optionEntitlement,2 +trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationEndDate.adjustableDate.unadjustedDate,1 +trade.equityOption.fxFeature.referenceCurrency,3 trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,15 +trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.adjustableDates.dateAdjustments.businessCenters.businessCenter,2 header.messageId,21 trade.equityOptionTransactionSupplement.equityExercise.settlementPriceSource,1 +trade.equityOption.equityEffectiveDate,1 +trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,15 +trade.brokerEquityOption.equityExercise.equityValuation.valuationTimeType,3 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,1 -trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency.currencyScheme,1 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,1 -trade.equityOptionTransactionSupplement.id,4 +trade.equityOption.equityExercise.equityBermudaExercise.bermudaExerciseDates.date,3 +trade.equityOption.feature.dividendAdjustment.dividendPeriod.unadjustedEndDate,2 +trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,2 trade.equityOption.underlyer.basket.basketConstituent.equity.currency,6 trade.equityOption.equityExercise.equityBermudaExercise.commencementDate.adjustableDate.unadjustedDate,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId.exchangeIdScheme,2 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,2 +trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.initialStockLoanRate,1 trade.equityOption.extraordinaryEvents.failureToDeliver,1 +trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,15 +trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,10 +trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,8 trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,8 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId.exchangeIdScheme,6 +trade.equityOption.feature.passThrough.passThroughItem.underlyerReference.href,3 +trade.equityOption.equityExercise.settlementPriceSource,12 correlationId,21 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,5 -trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo.href,7 trade.equityOptionTransactionSupplement.multiplier,1 trade.brokerEquityOption.brokerNotes,3 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.period,1 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a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-options-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-options-failed-mappings-report.csv @@ -1,40 +1,38 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],0,,Element with value EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.msdw.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOffer,trade.equityOption.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],0,,Element with value EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2000/08/01/EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField @@ -47,9 +45,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar- cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.partyA.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.spotPrice,trade.brokerEquityOption.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.amount,trade.brokerEquityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.deltaCrossed,trade.brokerEquityOption.deltaCrossed,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.currency,trade.brokerEquityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityExercise.settlementPriceSource,trade.brokerEquityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.brokerageFee.currency,trade.brokerEquityOption.brokerageFee.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -67,9 +63,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-p cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.partyA.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.spotPrice,trade.brokerEquityOption.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.amount,trade.brokerEquityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.deltaCrossed,trade.brokerEquityOption.deltaCrossed,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.currency,trade.brokerEquityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityExercise.settlementPriceSource,trade.brokerEquityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.brokerageFee.currency,trade.brokerEquityOption.brokerageFee.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -83,7 +77,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european- cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[Swiss Market Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[Swiss Market Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -113,12 +106,10 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-lon cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 9 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime(5),trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,0,,Element with value 2001-01-04T08:57:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[NIKKEI 225 INDEX] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[NIKKEI 225 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime(1),trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,0,,Element with value 2000-09-01T08:57:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-04-02T15:38:00Z could not be mapped to a rosettaField @@ -129,7 +120,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-lon cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime(0),trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,0,,Element with value 2000-08-01T08:57:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.referenceCurrency,trade.equityOption.fxFeature.referenceCurrency,0,,Element with value JPY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField @@ -154,11 +144,9 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime(0),trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,0,,Element with value 2000-08-01T08:57:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime(4),trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,0,,Element with value 2000-12-01T08:57:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[NIKKEI 225 INDEX] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[NIKKEI 225 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-04-02T15:38:00Z could not be mapped to a rosettaField @@ -169,7 +157,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.referenceCurrency,trade.equityOption.fxFeature.referenceCurrency,0,,Element with value JPY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime(2),trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,0,,Element with value 2000-10-01T08:57:00 could not be mapped to a rosettaField @@ -200,7 +187,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-k cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[STOXX 50 Euro] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[STOXX 50 Euro],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2006/04/02/32-05 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField @@ -230,7 +216,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-lo cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value abc could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField @@ -241,7 +226,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-lo cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.abc.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField @@ -287,7 +271,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-l cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField @@ -295,7 +278,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-l cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-04-02T15:38:00Z could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/02/15-12 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value AlternativeObligation could not be mapped to a rosettaField @@ -303,7 +285,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-ba cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[S and P 500] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[S and P 500],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -348,7 +329,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-lo cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.quanto.fxSpotRateSource.primaryRateSource.rateSource,trade.equityOption.fxFeature.quanto.fxSpotRateSource.primaryRateSource.rateSource,0,,Element with value Reuters could not be mapped to a rosettaField @@ -361,7 +341,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-lo cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOffer,trade.equityOption.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.quanto.fxRate.rate,trade.equityOption.fxFeature.quanto.fxRate.rate,0,,Element with value 0.95 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField @@ -372,9 +351,7 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-s cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.PartyA.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.PartyA.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.PartyA.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.spotPrice,trade.brokerEquityOption.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.amount,trade.brokerEquityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.deltaCrossed,trade.brokerEquityOption.deltaCrossed,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.currency,trade.brokerEquityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityExercise.settlementPriceSource,trade.brokerEquityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.brokerageFee.currency,trade.brokerEquityOption.brokerageFee.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -388,12 +365,10 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-amer cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.feature.passThrough.passThroughItem.underlyerReference[href=STMicroEquity].href,trade.equityOption.feature.passThrough.passThroughItem.underlyerReference[href=STMicroEquity].href,0,,Element with value STMicroEquity could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.underlyer.singleUnderlyer.equity[id=STMicroEquity].id,trade.equityOption.underlyer.singleUnderlyer.equity[id=STMicroEquity].id,0,,Element with value STMicroEquity could not be mapped to a rosettaField @@ -416,13 +391,11 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american- cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.msdw.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -456,13 +429,11 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-pa cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value abc could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.feature.passThrough.passThroughItem(1).underlyerReference[href=RoyalDutchEquity].href,trade.equityOption.feature.passThrough.passThroughItem.underlyerReference[href=RoyalDutchEquity].href,0,,Element with value RoyalDutchEquity could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.abc.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -473,103 +444,24 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-pa cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CORR/2000/08/01/BasketOption987 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId].exchangeIdScheme,0,,Element with value http://www.fpml.org/schemes/4.1/exchangeId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId],0,,Element with value XNSE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party2].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party1].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementPriceSource,trade.equityOptionTransactionSupplement.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.spotPrice,trade.equityOptionTransactionSupplement.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2005-07-13 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Put could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId].instrumentIdScheme,0,,Element with value http://www.fpml.org/schemes/4.1/instrumentId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2005-09-27 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 10000 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.hourMinuteTime,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.hourMinuteTime,0,,Element with value 17:15:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Physical could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 32.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.productType,trade.equityOptionTransactionSupplement.productType,0,,Element with value Equity:Option:PriceReturnBasicPerformance:SingleName could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId],0,,Element with value STM-FP could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,0,,Element with value STMicroelectronics N.V. ordinary shares could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.businessCenter,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.businessCenter,0,,Element with value GBLO could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value TAI could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.methodOfAdjustment,trade.equityOptionTransactionSupplement.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,0,,Element with value AsSpecifiedInMasterConfirmation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,0,,Element with value CurrencyBusiness could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.hourMinuteTime,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.hourMinuteTime,0,,Element with value 14:15:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value All Exchanges could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0].rateSourcePageScheme,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0].rateSourcePageScheme,0,,Element with value http://www.example.com/rate-source-page-1-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.localJurisdiction,trade.equityOptionTransactionSupplement.localJurisdiction,0,,Element with value TW could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.businessCenter,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.businessCenter,0,,Element with value TWTA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0],trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0],0,,Element with value TAIFX1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 1.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSource,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSource,0,,Element with value Reuters could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 1000000.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2006-12-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,0,,Element with value TWD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 33.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0],0,,Element with value 3045.TW could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionEntitlement,trade.equityOptionTransactionSupplement.optionEntitlement,0,,Element with value 1.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.currency,trade.equityOptionTransactionSupplement.strike.currency,0,,Element with value TWD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,0,,Element with value TAIWAN MOBILE ORD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value AsSpecifiedInMasterConfirmation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value KSC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,0,,Element with value KOREA SE KOSPI 50 INDEX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2006-02-09 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,0,,Element with value CurrencyBusiness could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0],0,,Element with value .KS50 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.multiplier,trade.equityOptionTransactionSupplement.multiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2006-09-18 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 0.75 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 1000000.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,0,,Element with value KRW could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 1000000 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 1325.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value All Exchanges could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(0).underlyerReference[href=ud892].href,trade.equityOption.feature.dividendAdjustment.dividendPeriod.underlyerReference[href=ud892].href,0,,Element with value ud892 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(0).multiplier,trade.equityOption.feature.dividendAdjustment.dividendPeriod.multiplier,0,,Element with value 0.91 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -598,7 +490,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend- cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-08-13T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(1).unadjustedStartDate,trade.equityOption.feature.dividendAdjustment.dividendPeriod.unadjustedStartDate,0,,Element with value 2007-08-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=jb2890].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=jb2890].href,0,,Element with value jb2890 could not be mapped to a rosettaField @@ -606,7 +497,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend- cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=jb2890].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=jb2890].href,0,,Element with value jb2890 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(1).multiplier,trade.equityOption.feature.dividendAdjustment.dividendPeriod.multiplier,0,,Element with value 0.91 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2008-06-14 could not be mapped to a rosettaField @@ -648,10 +538,8 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-ba cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedMultiple,trade.equityOption.underlyer.basket.basketConstituent(0).index.description,trade.equityOption.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index] TradeState.trade.tradableProduct.tradeLot(2).priceQuantity(0).observable.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value PARTYAC0902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.underlyer.basket.basketConstituent(1).basket.basketConstituent(0).constituentWeight.basketPercentage,trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.constituentWeight.basketPercentage,0,,Element with value 0.50 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField @@ -659,7 +547,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-ba cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.underlyer.basket.basketConstituent(1).basket.basketConstituent(0).equity.description,trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.description,0,,Element with value HYUNDAI MOTOR COMPANY could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -694,16 +581,13 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weig cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedMultiple,trade.equityOption.underlyer.basket.basketConstituent(0).index.description,trade.equityOption.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index] TradeState.trade.tradableProduct.tradeLot(2).priceQuantity(0).observable.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value PARTYAC0902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -716,36 +600,22 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weig cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2000/08/01/2342340029 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(8).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-03-01T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,0,,Element with value Out could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(4).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-01-01T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(0).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-11-01T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(6),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(8).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(4).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(5),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(9).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-03-15T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(5).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-01-15T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(1).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-11-15T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(4),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(0).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(9).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,0,,Element with value 1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(5).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value CHF could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(11),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField @@ -758,231 +628,117 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOpt cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(1),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(6).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-02-01T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,0,,Element with value Postponement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(2).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-12-01T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(10),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(2),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(1).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(6).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,0,,Element with value NYSE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,0,,Element with value 23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(2).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(0),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(10).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,0,,Element with value 1.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(9),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(11).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-04-15T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(7).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-02-15T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(3).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-12-15T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(8),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(7).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(3).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(11).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/02/24/123488 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(7),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.barrier.barrierCap.trigger.level,trade.equityOptionTransactionSupplement[id=equityOption].feature.barrier.barrierCap.trigger.level,0,,Element with value 30 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,0,,Element with value 2345 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,0,,Element with value 12 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123476-002700000005656 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.unadjustedDate,0,,Element with value 2002-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,0,,Element with value 23 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessCenters.businessCenter,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessCenters.businessCenter,0,,Element with value NYSE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,0,,Element with value EOM could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,0,,Element with value 1.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,0,,Element with value 12 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123476-002700000005656 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/02/24/123476 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,0,,Element with value Postponement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,0,,Element with value Out could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.endDate,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.endDate,0,,Element with value 2003-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value CHF could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123466-002700000000022 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,0,,Element with value Postponement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.rollConvention,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.rollConvention,0,,Element with value EOM could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,0,,Element with value EOM could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.startDate,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.startDate,0,,Element with value 2002-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123466-002700000000022 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/02/24/123466 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(6),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(5),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(4),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,0,,Element with value 1234 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value CHF could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(11),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,0,,Element with value averagingDates could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(3),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(1),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.level,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.level,0,,Element with value 12 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(10),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(2),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(6),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,0,,Element with value NYSE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,0,,Element with value 23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(0),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(5),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,0,,Element with value 1.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(9),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerTimeType,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerTimeType,0,,Element with value Anytime could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(4),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(8),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerType,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerType,0,,Element with value Greater could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(11),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-15 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,0,,Element with value averagingDates could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(3),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-15 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(7),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -1003,16 +759,13 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-ass cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedMultiple,trade.equityOption.underlyer.basket.basketConstituent(0).index.description,trade.equityOption.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index] TradeState.trade.tradableProduct.tradeLot(2).priceQuantity(0).observable.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value PARTYAC0902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -1025,42 +778,16 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-ass cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId],0,,Element with value XWAR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=partyA].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=partyA].href,0,,Element with value partyA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=partyB].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=partyB].href,0,,Element with value partyB could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15],trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15],0,,Element with value PLN could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,0,,Element with value WIG20 INDEX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15],0,,Element with value PLN could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,0,,Element with value valuationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.foreignOwnershipEvent,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.foreignOwnershipEvent,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.initialStockLoanRate,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.initialStockLoanRate,0,,Element with value 0.09 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,0,,Element with value OSP could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,0,,Element with value CurrencyBusiness could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15],trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15],0,,Element with value PLN could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Call could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.multipleExchangeIndexAnnexFallback,trade.equityOptionTransactionSupplement.multipleExchangeIndexAnnexFallback,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,0,,Element with value http://www.example.com/exchangeId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,0,,Element with value http://www.example.com/instrument-id-Reuters-RIC-1-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.exchangeTradedContractNearest,trade.equityOptionTransactionSupplement.exchangeTradedContractNearest,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0],0,,Element with value .WIG20 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 50 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,0,,Element with value http://www.example.com/exchangeId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 1000 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2012-11-16 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 100 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,0,,Element with value 0.11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId],0,,Element with value XWAR could not be mapped to a rosettaField \ No newline at end of file +cdm-sample-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,0,,Element with value 0.11 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv index 08c0774cd9..1809a3b094 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,70.09 +Mapping Coverage,71.72 Input Path,Failed Mapping Count trade.returnSwap.returnLeg.rateOfReturn.initialPrice.grossPrice.priceExpression,1 @@ -61,7 +61,6 @@ trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEv trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,8 trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.dayType,1 trade.equitySwapTransactionSupplement.returnLeg.amount.currency.currencyScheme,2 -trade.returnSwap.returnLeg.notional.notionalAmount.amount,9 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.dividendPayout.dividendPayment.amount.amount,2 trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.receiverPartyReference.href,1 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.period,2 @@ -81,7 +80,6 @@ trade.returnSwap.earlyTermination.startingDate.adjustableDate.unadjustedDate,4 trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,1 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,8 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,6 -trade.returnSwap.interestLeg.notional.notionalAmount.amount,3 trade.returnSwap.additionalPayment.additionalPaymentDate.relativeDate.periodMultiplier,1 trade.returnSwap.interestLeg.interestLegCalculationPeriodDates.interestLegPaymentDates.adjustableDates.dateAdjustments.businessCenters.businessCenter.businessCenterScheme,1 trade.returnSwap.interestLeg.interestAmount.currencyReference.href,7 @@ -93,7 +91,6 @@ trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.quotedC trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.stubStartDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.returnSwap.interestLeg.interestAmount.referenceAmount,9 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,1 -trade.returnSwap.returnLeg.notional.notionalAmount.currency,8 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.dividendPayout.dividendPayment.accruedInterest.amount,2 trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.dividendDateReference,1 trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,2 @@ -173,7 +170,6 @@ trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissio trade.returnSwap.interestLeg.interestCalculation.fixedRate,1 trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.equity.currency,2 trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,4 -trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,4 header.inReplyTo,2 trade.returnSwap.principalExchangeFeatures.principalExchanges.finalExchange,1 trade.otherPartyPayment.paymentDate.unadjustedDate.id,1 @@ -181,18 +177,15 @@ trade.equitySwapTransactionSupplement.returnLeg.strikeDate.adjustableDate.unadju trade.returnSwap.earlyTermination.startingDate.adjustableDate.dateAdjustments.businessDayConvention,4 trade.returnSwap.returnLeg.underlyer.singleUnderlyer.couponPayment.accruedInterest.currency,1 trade.equitySwapTransactionSupplement.optionalEarlyTermination,2 -trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule.initialValue,5 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.valuationPriceInterim.valuationRules.fPVFinalPriceElectionFallback,1 trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.math.mi,1 trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubEndDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.returnSwap.returnLeg.underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,1 trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,1 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.currency,1 trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.math.mn,3 trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.math.mo,7 trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule.id,6 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerPrice.accruedInterestPrice,2 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.amount,3 trade.equitySwapTransactionSupplement.breakFeeElection,2 trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,4 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,6 @@ -216,7 +209,6 @@ trade.returnSwap.returnLeg.underlyer.singleUnderlyer.equity.id,1 trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,6 trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeAmount.principalAmount.currency,1 trade.returnSwap.returnLeg.amount.referenceAmount,9 -trade.returnSwap.interestLeg.notional.notionalAmount.currency,3 trade.returnSwap.interestLeg.interestLegCalculationPeriodDates.interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,11 trade.returnSwap.returnLeg.amount.currency.id,4 trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeAmount.principalAmount.amount,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-failed-mappings-report.csv index 831b65e380..5432382127 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-equity-swaps-failed-mappings-report.csv @@ -3,17 +3,10 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quant cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.referenceAmount,trade.returnSwap.returnLeg.amount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 8 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(0).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(0).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 5591987.41] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[5591987.41]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).index.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(2).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(2).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(2).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -30,8 +23,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quant cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currencyReference[href=ReferenceCurrency].href,trade.returnSwap.returnLeg.amount.currencyReference[href=ReferenceCurrency].href,0,,Element with value ReferenceCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(1).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(1).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.nonReliance,trade.returnSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField @@ -41,7 +32,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quant cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2006/07/02/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeDate.relativeDate.dateRelativeTo[href=EffectiveDate].href,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeDate.relativeDate.dateRelativeTo[href=EffectiveDate].href,0,,Element with value EffectiveDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount.currency,trade.returnSwap.returnLeg.notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,0,,Element with value false could not be mapped to a rosettaField @@ -54,8 +44,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.payerPartyReference[href=party2].href,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount.amount,trade.returnSwap.returnLeg.notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[31000, 55911.60] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[55911.60]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField @@ -175,8 +163,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-w cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.periodMultiplier,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.stubEndDate.relativeDate.dateRelativeTo[href=TerminationDate].href,trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.stubEndDate.relativeDate.dateRelativeTo[href=TerminationDate].href,0,,Element with value TerminationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).bond.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 10500000.00] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[10500000.00]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(3).bond.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.description,0,,Element with value Telefonica de Espana could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(0).bond.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -194,11 +180,9 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-w cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00+05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(6).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(6).index.EquityIndex.name=[MSCI World Government Bond Index.] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(6).index.EquityIndex.name=[MSCI World Government Bond Index.],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.period,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateRelativeTo[href=EffectiveDate].href,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateRelativeTo[href=EffectiveDate].href,0,,Element with value EffectiveDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.businessDayConvention,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).bond.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.description,0,,Element with value Nokya Oyj could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubEndDate.adjustableDate.dateAdjustments.businessDayConvention,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubEndDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField @@ -226,10 +210,8 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-b cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).underlyerSpread[href=US_NOKIV.HE].href,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerSpread[href=US_NOKIV.HE].href,0,,Element with value US_NOKIV.HE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(1)[id=US_NOKIV.HE].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_NOKIV.HE].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(1).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField @@ -244,7 +226,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-b cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(1)[id=US_NOKIV.HE].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_NOKIV.HE].id,0,,Element with value US_NOKIV.HE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(3)[id=US_TEF.MC].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TEF.MC].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(3).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.nonReliance,trade.returnSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField @@ -252,20 +233,15 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-b cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(0)[id=US_TIT.ME].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TIT.ME].id,0,,Element with value US_TIT.ME could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(2).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(2)[id=US_TIM.MI].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TIM.MI].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(2).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(0).startingDate.dateRelativeTo[href=TradeDate].href,trade.returnSwap.earlyTermination.startingDate.dateRelativeTo[href=TradeDate].href,0,,Element with value TradeDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.referenceAmount,trade.returnSwap.returnLeg.amount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(5)[id=US_VOD.L].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_VOD.L].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(5).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(4).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(3)[id=US_TEF.MC].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TEF.MC].id,0,,Element with value US_TEF.MC could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(4).underlyerSpread[href=US_PTCO.IN].href,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerSpread[href=US_PTCO.IN].href,0,,Element with value US_PTCO.IN could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(4)[id=US_PTCO.IN].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_PTCO.IN].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(4).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(2)[id=US_TIM.MI].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TIM.MI].id,0,,Element with value US_TIM.MI could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField @@ -326,8 +302,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-sta cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter[businessCenterScheme=http://www.example.com/exchange-holiday-calendars],trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter[businessCenterScheme=http://www.example.com/exchange-holiday-calendars],0,,Element with value GER could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 1000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 0.1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -355,10 +329,8 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-sta cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,0,,Element with value InitialAndFinal could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2009/09/09/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Success,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.currency,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].id,trade.returnSwap.interestLeg[id=FI__CFD123456789].id,0,,Element with value FI__CFD123456789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestLegCalculationPeriodDates[id=InterestLegPeriodDates-1].interestLegPaymentDates.adjustableDates.dateAdjustments.businessCenters.businessCenter[businessCenterScheme=http://www.example.com/cfd-calendars],trade.returnSwap.interestLeg[id=FI__CFD123456789].interestLegCalculationPeriodDates[id=InterestLegPeriodDates-1].interestLegPaymentDates.adjustableDates.dateAdjustments.businessCenters.businessCenter[businessCenterScheme=http://www.example.com/cfd-calendars],0,,Element with value ZA-JNBE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,0,,Element with value USD could not be mapped to a rosettaField @@ -367,8 +339,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fai cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.currency[id=settlementCurrency].id,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.currency[id=settlementCurrency].id,0,,Element with value settlementCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.referenceAmount,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.currency,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Success,trade.returnSwap.returnLeg[id=EQ__CFD123456789].notional.notionalAmount.amount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[48000, 3840000.000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[3840000.000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.referenceAmount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.paymentDates.paymentDateFinal.adjustableDate.dateAdjustments.businessCenters.businessCenter[businessCenterScheme=http://www.example.com/cfd-calendars].businessCenterScheme,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.paymentDates.paymentDateFinal.adjustableDate.dateAdjustments.businessCenters.businessCenter[businessCenterScheme=http://www.example.com/cfd-calendars].businessCenterScheme,0,,Element with value http://www.example.com/cfd-calendars could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.rate,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.rate,0,,Element with value 1.0 could not be mapped to a rosettaField @@ -376,8 +346,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fai cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionDenomination,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionDenomination,0,,Element with value BPS could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value PercentageOfNotional could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.quoteBasis,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.quoteBasis,0,,Element with value Currency1PerCurrency2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Success,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.amount,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[48000, 3840000.000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[3840000.000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionAmount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionAmount,0,,Element with value 0.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.commission.currency,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.commission.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.grossPrice.priceExpression,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.grossPrice.priceExpression,0,,Element with value PercentageOfNotional could not be mapped to a rosettaField @@ -390,8 +358,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-in cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,"trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme","trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme",0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party2].href,trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -422,8 +388,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-in cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId[exchangeIdScheme=http://www.example.com/exchange-id],trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId[exchangeIdScheme=http://www.example.com/exchange-id],0,,Element with value RE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,"trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme","trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15].currencyScheme",0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId].instrumentIdScheme,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId].instrumentIdScheme,0,,Element with value MonthYearId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId],trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId],0,,Element with value 1005 could not be mapped to a rosettaField @@ -445,7 +409,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-in cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value ES/2009/09/10/15-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].dividendPayout.dividendPayment.accruedInterest.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].dividendPayout.dividendPayment.accruedInterest.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.currency,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].underlyerPrice.netPrice.priceExpression,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].underlyerPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField @@ -459,7 +422,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.currencyReference[href=r15].href,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.currencyReference[href=r15].href,0,,Element with value r15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(0)[id=r4].equity.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r4].equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].amount.currency[id=r9].id,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].amount.currency[id=r9].id,0,,Element with value r9 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.referenceAmount,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].id,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].id,0,,Element with value r5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].dividendPayout.dividendPayment.amount.amount,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].dividendPayout.dividendPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField @@ -476,8 +438,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].underlyerPrice.quotationCharacteristics.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].underlyerPrice.quotationCharacteristics.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceInterim.commission.commissionPerTrade,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceInterim.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.amount,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).quantity(0).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.initialPrice.commission.commissionDenomination,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.initialPrice.commission.commissionDenomination,0,,Element with value BPS could not be mapped to a rosettaField @@ -497,8 +457,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(0)[id=r4].underlyerPrice.quotationCharacteristics.timing,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r4].underlyerPrice.quotationCharacteristics.timing,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].underlyerPrice.accruedInterestPrice,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].underlyerPrice.accruedInterestPrice,0,,Element with value 1234.56 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.amount,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.sellerPartyReference[href=party1].href,trade[id=trs-eqbasket-trade].returnSwap.sellerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].dividendPayout.dividendPayment.amount.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].dividendPayout.dividendPayment.amount.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -523,8 +481,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.buyerPartyReference[href=party2].href,trade[id=trs-eqbasket-trade].returnSwap.buyerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.currency,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,0,,Element with value 123.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 12345 could not be mapped to a rosettaField @@ -537,8 +493,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equi cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.earlyTermination(1).startingDate.adjustableDate.dateAdjustments.businessDayConvention,trade[id=trs-eq1-trade].returnSwap.earlyTermination.startingDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.currencyReference[href=trs-eq1-EquityPaymentCurrency].href,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.currencyReference[href=trs-eq1-EquityPaymentCurrency].href,0,,Element with value trs-eq1-EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].amount.currency[id=trs-eq1-EquityPaymentCurrency].id,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].amount.currency[id=trs-eq1-EquityPaymentCurrency].id,0,,Element with value trs-eq1-EquityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.currency,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.referenceAmount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.accruedInterest.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.accruedInterest.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -549,8 +503,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equi cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.amount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.paymentDate,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.paymentDate,0,,Element with value 2004-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[760400, 19785157.16, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 56789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField @@ -567,8 +519,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equi cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 19785157.16, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.equity[id=trs-eq1-equity-asset].currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.equity[id=trs-eq1-equity-asset].currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -595,7 +545,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stoc cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(7),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2002-05-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Success,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.currency,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.period,trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(8),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2002-06-13 could not be mapped to a rosettaField @@ -622,8 +571,6 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stoc cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(0),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-10-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(1),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-11-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Success,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.amount,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.returnLeg.legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade.returnSwap.returnLeg.legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(2),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-12-13 could not be mapped to a rosettaField @@ -652,12 +599,10 @@ cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stoc cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(0)[name=UpfrontPrice].componentDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=UpfrontPrice].componentDescription,0,,Element with value (Coupon * Day Count (30/360)) - (LIBOR * Commencing Index Price * Day Count (ACT/360)) + (Traded Price - Commencing Index Price) could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].formula.formulaDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].formula.formulaDescription,0,,Element with value 31000000.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateRelativeTo[href=interestCalculationDates].href,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateRelativeTo[href=interestCalculationDates].href,0,,Element with value interestCalculationDates could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Success,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.currency,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.referenceAmount,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestCalculation.fixedRate,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestCalculation.fixedRate,0,,Element with value 0.065 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(0)[name=UpfrontPrice].formula.formulaDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=UpfrontPrice].formula.formulaDescription,0,,Element with value 0.00259535084 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].componentDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].componentDescription,0,,Element with value Notional could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Success,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.amount,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[31000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[31000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.periodMultiplier,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].name,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].name,0,,Element with value Notional could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.sellerPartyReference[href=party2].href,trade[id=trs-ex4-trade].returnSwap.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv index ae946b4963..d197d18089 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv @@ -1,8 +1,9 @@ -Mapping Coverage,24.16 +Mapping Coverage,23.84 Input Path,Failed Mapping Count trade.fxAccrualOption.buyerPartyReference.href,3 trade.fxAccrualOption.averageRate.informationSource.rateSource,1 +trade.fxSwap.nearLeg.tenorPeriod.period,1 trade.fxAccrualOption.accrual.accrualRegion.lowerBound.averageStrikeReference.href,1 trade.fxAccrualForward.linearPayoffRegion.counterCurrencyAmount.currency,10 trade.fxFlexibleForward.latestExecutionTime.businessCenter,1 @@ -50,6 +51,7 @@ trade.fxAccrualOption.averageStrike.fixingSchedule.startDate,1 trade.strategy.fxAccrualOption.expiryDate.expiryTime.hourMinuteTime,1 trade.fxAccrualDigitalOption.trigger.quotedCurrencyPair.currency2,1 trade.fxTargetKnockoutForward.constantPayoffRegion.lowerBound.strikeReference.href,7 +trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference.href,2 trade.fxDigitalOption.payout.currency,6 trade.fxAccrualForward.accrual.fixingSchedule.businessCenters.businessCenter,10 trade.strategy.fxAccrualOption.sellerPartyReference.href,1 @@ -105,6 +107,7 @@ trade.fxAccrualOption.averageRate.quotedCurrencyPair.currency2,1 trade.fxAccrualForward.accrual.fixingSchedule.fixingDate,124 trade.fxForwardVolatilityAgreement.quotedCurrencyPair.quoteBasis,1 trade.fxAccrualForward.linearPayoffRegion.lowerBound.level.initialValue,1 +trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference.href,2 header.creationTimestamp,52 trade.fxAccrualOption.premium.receiverPartyReference.href,2 trade.fxRangeAccrual.accrual.accrualRegion.upperBound.level.initialValue,2 @@ -122,6 +125,7 @@ trade.fxAccrualForward.accrual.observable.informationSource.rateSource,11 trade.fxFlexibleForward.additionalPayment.paymentDate.adjustedDate,1 trade.fxSwap.farLeg.dealtCurrency,1 trade.fxAccrualForward.barrier.scope,3 +trade.fxSwap.farLeg.tenorPeriod.periodMultiplier,1 trade.fxAccrualDigitalOption.accrual.observable.informationSource.fixingTime.hourMinuteTime,1 trade.fxAccrualOption.settlementDate.dateAdjustments.businessCenters.businessCenter,6 trade.fxAccrualForward.settlementDate.dateAdjustments.businessCenters.businessCenter,12 @@ -147,6 +151,7 @@ trade.strategy.fxSingleLeg.exchangedCurrency1.receiverPartyReference.href,1 trade.strategy.fxAccrualOption.barrier.accrualRetention,1 trade.fxAccrualForward.accrual.fixingSchedule.numberOfFixings,8 trade.fxRangeAccrual.accrual.fixingSchedule.startDate,2 +trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference.href,2 header.sendTo,52 trade.fxAccrualDigitalOption.barrier.style,1 trade.fxAccrualDigitalOption.trigger.quotedCurrencyPair.quoteBasis,1 @@ -281,6 +286,7 @@ trade.strategy.fxOption.europeanExercise.expiryDate,6 trade.fxFlexibleForward.earliestExecutionTime.businessCenter,1 trade.fxAccrualForward.barrier.condition,3 trade.fxTargetKnockoutForward.linearPayoffRegion.leverage.level.initialValue,1 +trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference.href,2 trade.fxTargetKnockoutForward.expirySchedule.finalExpiryDate,11 trade.fxAccrualForward.accrual.observable.quotedCurrencyPair.currency2,11 trade.fxTargetKnockoutForward.barrier.scope,7 @@ -298,6 +304,7 @@ trade.strategy.fxOption.premium.quote.quoteBasis,5 trade.fxAccrualOption.averageRate.fixingSchedule.dayType,1 trade.fxAccrualOption.averageStrike.precision,1 trade.fxTargetKnockoutForward.quotedCurrencyPair.currency1,15 +trade.fxSwap.nearLeg.tenorPeriod.periodMultiplier,1 trade.fxTargetKnockoutForward.productType,2 trade.fxTargetKnockoutForward.quotedCurrencyPair.currency2,15 trade.fxAccrualOption.accrual.observable.id,3 @@ -508,6 +515,7 @@ trade.fxAccrualForward.linearPayoffRegion.leverage.notionalAmount.initialValue,1 trade.fxRangeAccrual.payerPartyReference.href,2 trade.strategy.fxAccrualOption.accrual.fixingSchedule.numberOfFixings,1 trade.fxAccrualOption.premium.paymentAmount.amount,2 +trade.fxSwap.farLeg.tenorPeriod.period,1 trade.fxAccrualOption.accrual.accrualRegion.upperBound.condition,3 trade.fxForwardVolatilityAgreement.additionalPayment.paymentAmount.amount,1 trade.fxAccrualForward.linearPayoffRegion.lowerBound.condition,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-failed-mappings-report.csv index 72a29b3c25..5222262f90 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-incomplete-products-fx-derivatives-failed-mappings-report.csv @@ -472,10 +472,14 @@ cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-mul cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-01-05T15:38:00-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLegId].href,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLegId].href,0,,Element with value nearLegId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLegId].href,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLegId].href,0,,Element with value farLegId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -519,7 +523,9 @@ cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex27-flexible-t cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,correlationId[correlationIdScheme=MarkitSERV],correlationId[correlationIdScheme=MarkitSERV],0,,Element with value CORRELATIONID could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2013-01-01T00:00:00.000Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,correlationId[correlationIdScheme=MarkitSERV].correlationIdScheme,correlationId[correlationIdScheme=MarkitSERV].correlationIdScheme,0,,Element with value MarkitSERV could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tenorPeriod.period,trade.fxSwap.farLeg.tenorPeriod.period,0,,Element with value Y could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.dealtCurrency,trade.fxSwap.farLeg.dealtCurrency,0,,Element with value ExchangedCurrency2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tenorPeriod.periodMultiplier,trade.fxSwap.nearLeg.tenorPeriod.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.dealtCurrency,trade.fxSwap.nearLeg.dealtCurrency,0,,Element with value ExchangedCurrency1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tradeIdentifierReference(1)[href=farLeg2].href,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLeg2].href,0,,Element with value farLeg2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value STP_Client could not be mapped to a rosettaField @@ -527,12 +533,18 @@ cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-wi cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangeRate.pointValue,trade.fxSwap.farLeg.exchangeRate.pointValue,0,,Element with value 0.001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tradeIdentifierReference(1)[href=nearLeg2].href,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLeg2].href,0,,Element with value nearLeg2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=Counterparty].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=Counterparty].href,0,,Element with value Counterparty could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=ExecutingParty].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=ExecutingParty].href,0,,Element with value ExecutingParty could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=Counterparty].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=Counterparty].href,0,,Element with value Counterparty could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangeRate.pointValue,trade.fxSwap.nearLeg.exchangeRate.pointValue,0,,Element with value 0.001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.messageId[messageIdScheme=MarkitSERV].messageIdScheme,header.messageId[messageIdScheme=MarkitSERV].messageIdScheme,0,,Element with value MarkitSERV could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.messageId[messageIdScheme=MarkitSERV],header.messageId[messageIdScheme=MarkitSERV],0,,Element with value MESSAGEID could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tradeIdentifierReference(0)[href=nearLeg].href,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLeg].href,0,,Element with value nearLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tradeIdentifierReference(0)[href=farLeg].href,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLeg].href,0,,Element with value farLeg could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tenorPeriod.period,trade.fxSwap.nearLeg.tenorPeriod.period,0,,Element with value Y could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tenorPeriod.periodMultiplier,trade.fxSwap.farLeg.tenorPeriod.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=ExecutingParty].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=ExecutingParty].href,0,,Element with value ExecutingParty could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2011-03-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.executionnotificationservice.com/partyId],header.sendTo[messageAddressScheme=http://www.executionnotificationservice.com/partyId],0,,Element with value PARTYA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.executionnotificationservice.com/partyId],header.sentBy[messageAddressScheme=http://www.executionnotificationservice.com/partyId],0,,Element with value EXECSRV could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-invalid-products-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-invalid-products-failed-mappings-report.csv index 80f9d1c709..20db3fc566 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-invalid-products-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-invalid-products-failed-mappings-report.csv @@ -25,12 +25,12 @@ cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_41.xml,Fail_MappedMultiple,p cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_41.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_42.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_42.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"TradeState.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field -cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"TradeState.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field +cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +TradeState.trade.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field +cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"TradeState.trade.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] +TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] +TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(0)[id=settlementTermsOne].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsOne].id,0,,Element with value settlementTermsOne could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/invalid-products/FpML_cd_44.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(1)[id=settlementTermsTwo].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsTwo].id,0,,Element with value settlementTermsTwo could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-aggregated-mapping-failure-report.csv index 4b966d5001..7a44477540 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,66.48 +Mapping Coverage,66.24 Input Path,Failed Mapping Count onBehalfOf.partyReference.href,8 @@ -48,6 +48,7 @@ trade.tradeHeader.partyTradeIdentifier.originatingTradeId.issuer.issuerIdScheme, quote.currency,5 trade.tradeHeader.partyTradeInformation.collateralPortfolio.portfolioNameScheme,5 novation.remainingParty.href,2 +termination.originalTrade.fxSingleLeg.exchangedCurrency1.receiverPartyReference.href,1 quote.value,5 trade.tradeHeader.partyTradeIdentifier.originatingTradeId.tradeId.tradeIdScheme,3 trade.tradeHeader.partyTradeInformation.timestamps.nonpublicReportUpdated,4 @@ -56,6 +57,7 @@ trade.tradeHeader.partyTradeInformation.reportingRegime.preEnactmentTrade,4 termination.originalTrade.tradeHeader.partyTradeInformation.largeSizeTrade,3 paymentDetails.paymentReference.href,2 termination.resultingTrade.tradeHeader.partyTradeInformation.relatedPerson.personReference.href,1 +termination.originalTrade.fxSingleLeg.exchangedCurrency1.payerPartyReference.href,1 correlationId,13 trade.tradeHeader.tradeSummary.isPackageTrade,4 termination.changeInNotionalAmount.amount,3 @@ -67,6 +69,7 @@ termination.resultingTrade.fxSingleLeg.exchangeRate.rate,1 termination.resultingTrade.tradeHeader.partyTradeInformation.relatedBusinessUnit.businessUnitReference.href,1 trade.tradeHeader.partyTradeInformation.reportingRegime.name,20 termination.originalTrade.tradeHeader.partyTradeInformation.relatedParty.partyReference.href,3 +trade.tradeHeader.productSummary.settlementType,4 trade.tradeHeader.partyTradeInformation.relatedParty.role,47 termination.resultingTrade.tradeHeader.partyTradeInformation.executionDateTime,1 termination.changeInNotionalAmount.currency,3 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-failed-mappings-report.csv index d287b6b0ae..bfb5b602bd 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-processes-failed-mappings-report.csv @@ -96,6 +96,7 @@ cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,onBehalfOf.partyReference[href=party1].href,onBehalfOf.partyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(1).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,0,,Element with value http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(2).supervisorRegistration.supervisoryBody,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,0,,Element with value UKFSA could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.productSummary.settlementType,trade.tradeHeader.productSummary.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(0).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],0,,Element with value Dealer could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(7).role,trade.tradeHeader.partyTradeInformation.relatedParty.role,1,WorkflowStep.proposedEvent.instruction(0).before.value.trade.partyRole(0).role=[ReportingParty],Element mapped to already populated field cdm-sample-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedMultiple,party(11)[id=original_sdr].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=original_sdr].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(11).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(11).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -155,7 +156,7 @@ cdm-sample-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation- cdm-sample-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,novation.remainingParty[href=_broker].href,novation.remainingParty[href=_broker].href,0,,Element with value _broker could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.paymentReference[href=NOVATION_FEE].href,paymentDetails.paymentReference[href=NOVATION_FEE].href,0,,Element with value NOVATION_FEE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowId[cashflowIdScheme=http://www.imgr.com/schemes/cashflow-id].cashflowIdScheme,paymentDetails.grossCashflow.cashflowId[cashflowIdScheme=http://www.imgr.com/schemes/cashflow-id].cashflowIdScheme,0,,Element with value http://www.imgr.com/schemes/cashflow-id could not be mapped to a rosettaField @@ -165,7 +166,7 @@ cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-nov cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],0,,Element with value IM/C002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,0,,Element with value http://www.fpml.org/coding-scheme/cashflow-type could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],0,,Element with value Fee could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 38555.00 could not be mapped to a rosettaField @@ -185,7 +186,7 @@ cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-nov cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],0,,Element with value IM/C002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,0,,Element with value http://www.fpml.org/coding-scheme/cashflow-type could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 3 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],0,,Element with value Fee could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 53555.00 could not be mapped to a rosettaField @@ -202,7 +203,7 @@ cdm-sample-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation- cdm-sample-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 4 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.xml,Fail_MappedMultiple,party(0)[id=AMAG].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=AMAG].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],0,,Element with value CORR002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -302,6 +303,7 @@ cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,onBehalfOf.partyReference[href=party1].href,onBehalfOf.partyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(1).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,0,,Element with value http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(2).supervisorRegistration.supervisoryBody,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,0,,Element with value UKFSA could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.productSummary.settlementType,trade.tradeHeader.productSummary.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(0).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],0,,Element with value Dealer could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(7).role,trade.tradeHeader.partyTradeInformation.relatedParty.role,1,WorkflowStep.proposedEvent.instruction(0).before.value.trade.partyRole(0).role=[ReportingParty],Element mapped to already populated field cdm-sample-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.xml,Fail_MappedMultiple,party(11)[id=original_sdr].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=original_sdr].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(11).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(11).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -427,6 +429,7 @@ cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml, cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,onBehalfOf.partyReference[href=party1].href,onBehalfOf.partyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(1).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,0,,Element with value http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(2).supervisorRegistration.supervisoryBody,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,0,,Element with value UKFSA could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.productSummary.settlementType,trade.tradeHeader.productSummary.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(0).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],0,,Element with value Dealer could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).mandatorilyClearable,trade.tradeHeader.partyTradeInformation.reportingRegime.mandatorilyClearable,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(1).partyEntityClassification(2).partyReference[href=party1].href,trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.partyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField @@ -566,6 +569,7 @@ cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Succe cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,onBehalfOf.partyReference[href=party1].href,onBehalfOf.partyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(1).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification].entityClassificationScheme,0,,Element with value http://www.fpml.org/coding-scheme/csa-local-party-status-entity-classification could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(2).supervisorRegistration.supervisoryBody,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,0,,Element with value UKFSA could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.productSummary.settlementType,trade.tradeHeader.productSummary.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime(3).partyEntityClassification(0).entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],trade.tradeHeader.partyTradeInformation.reportingRegime.partyEntityClassification.entityClassification[entityClassificationScheme=http://www.fpml.org/coding-scheme/csa-dealer-status-entity-classification],0,,Element with value Dealer could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(7).role,trade.tradeHeader.partyTradeInformation.relatedParty.role,1,WorkflowStep.proposedEvent.instruction(0).before.value.trade.partyRole(0).role=[ReportingParty],Element mapped to already populated field cdm-sample-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.xml,Fail_MappedMultiple,party(11)[id=original_sdr].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=original_sdr].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(11).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(11).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -761,6 +765,7 @@ cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_Mappe cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.resultingTrade.tradeHeader.partyTradeInformation.confirmationMethod,termination.resultingTrade.tradeHeader.partyTradeInformation.confirmationMethod,0,,Element with value Electronic could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.resultingTrade.tradeHeader.partyTradeInformation.relatedBusinessUnit.businessUnitReference[href=desk1].href,termination.resultingTrade.tradeHeader.partyTradeInformation.relatedBusinessUnit.businessUnitReference[href=desk1].href,0,,Element with value desk1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.originalTrade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,termination.originalTrade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.originalTrade.tradeHeader.partyTradeInformation.executionVenueType,termination.originalTrade.tradeHeader.partyTradeInformation.executionVenueType,0,,Element with value SEF could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.resultingTrade.tradeHeader.partyTradeIdentifier.tradeId[tradeIdScheme=http://www.fpml.org/coding-scheme/external/unique-transaction-identifier].tradeIdScheme,termination.resultingTrade.tradeHeader.partyTradeIdentifier.tradeId[tradeIdScheme=http://www.fpml.org/coding-scheme/external/unique-transaction-identifier].tradeIdScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/unique-transaction-identifier could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://fpml.org/submitter_event_id],correlationId[correlationIdScheme=http://fpml.org/submitter_event_id],0,,Element with value TW19235-002 could not be mapped to a rosettaField @@ -797,6 +802,7 @@ cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_Mappe cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedMultiple,party(4)[id=clearing-svc].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=clearing-svc].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(4).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(4).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.resultingTrade.fxSingleLeg.exchangedCurrency1.paymentAmount.currency,termination.resultingTrade.fxSingleLeg.exchangedCurrency1.paymentAmount.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Success,termination.originalTrade.tradeHeader.partyTradeInformation.relatedParty(1).partyReference[href=broker1].href,termination.originalTrade.tradeHeader.partyTradeInformation.relatedParty.partyReference[href=broker1].href,1,WorkflowStep.proposedEvent.instruction(0).before.value.trade.partyRole(0).partyReference.externalReference=[clearing-svc],Element mapped to already populated field +cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.originalTrade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,termination.originalTrade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.changeInNotionalAmount(1).currency,termination.changeInNotionalAmount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.changeInNotionalAmount(0).amount,termination.changeInNotionalAmount.amount,0,,Element with value 5000000 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/processes/msg-partial-termination-xccy.xml,Fail_MappedNone,termination.resultingTrade.fxSingleLeg.valueDate,termination.resultingTrade.fxSingleLeg.valueDate,0,,Element with value 2001-12-21 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-aggregated-mapping-failure-report.csv index ead048ff02..b0466b2aba 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,80.62 +Mapping Coverage,80.79 Input Path,Failed Mapping Count trade.commodityOption.barrier.trigger.levelPrice.price,1 @@ -6,7 +6,6 @@ trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,6 trade.commodityBasketOption.terminationDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.commoditySwap.floatingLeg.calculation.pricingDates.dayCount,1 trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsScheduleReference.href,2 -trade.commodityOption.commodity.deliveryNearby.deliveryNearbyMultiplier,1 trade.commodityBasketOption.notionalQuantityBasket.underlying.commodity.specifiedPrice,3 trade.commoditySwap.marketDisruption.marketDisruptionEvents,6 trade.commoditySwap.floatingLeg.calculation.pricingDates.calendarSource,1 @@ -87,7 +86,6 @@ trade.commodityBasketOption.notionalQuantityBasket.underlying.pricingDates.busin trade.commodityBasketOption.primaryAssetClass,1 trade.commoditySwap.assetClass,1 trade.commodityBasketOption.exercise.europeanExercise.expirationDate.relativeDate.dateRelativeTo.href,1 -trade.commodityOption.commodity.deliveryNearby.deliveryNearbyType,1 trade.commodityOption.floatingStrikePricePerUnit.pricingDates.calculationPeriodsScheduleReference.href,1 trade.commodityOption.commodity.commodityDetails,1 trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayDistribution,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-failed-mappings-report.csv index cda3a5f0e8..e4a9e7b17a 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-commodity-failed-mappings-report.csv @@ -1,34 +1,34 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.calculation.pricingDates.dayCount,trade.commoditySwap.floatingLeg.calculation.pricingDates.dayCount,0,,Element with value 3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex03-gas-swap-prices-last-three-days.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex04-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.xml,Success,trade.commoditySwap.floatingLeg(1).notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.xml,Success,trade.commoditySwap.floatingLeg(1).notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.xml,Fail_MappedNone,trade.commodityOption.premium.premiumPerUnit.currency,trade.commodityOption.premium.premiumPerUnit.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.disruptionFallbacks,trade.commodityOption.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.xml,Fail_MappedNone,trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsScheduleReference[href=CalculationPeriods].href,trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsScheduleReference[href=CalculationPeriods].href,0,,Element with value CalculationPeriods could not be mapped to a rosettaField @@ -79,11 +79,11 @@ cdm-sample-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-list cdm-sample-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-listedoption-date.xml,Fail_MappedNone,trade.commodityOption.assetClass,trade.commodityOption.assetClass,0,,Element with value Commodity could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-listedoption-date.xml,Fail_MappedNone,trade.commodityOption.pricingDates.calculationPeriodsReference[href=CalculationPeriods].href,trade.commodityOption.pricingDates.calculationPeriodsReference[href=CalculationPeriods].href,0,,Element with value CalculationPeriods could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.calculation.pricingDates.calendarSource,trade.commoditySwap.floatingLeg.calculation.pricingDates.calendarSource,0,,Element with value ListedOption could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.assetClass,trade.commoditySwap.assetClass,0,,Element with value Commodity could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex39-basket-option-confirmation.xml,Fail_MappedNone,trade.commodityBasketOption.notionalQuantityBasket[id=Basket].underlying(0)[id=Component1].pricingDates.lag.lagDuration.period,trade.commodityBasketOption.notionalQuantityBasket[id=Basket].underlying[id=Component1].pricingDates.lag.lagDuration.period,0,,Element with value M could not be mapped to a rosettaField @@ -190,16 +190,14 @@ cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option- cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0].instrumentIdScheme,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0].instrumentIdScheme,0,,Element with value http://www.fpml.org/coding-scheme/commodity-reference-price-3-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,party(0)[id=PartyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=PartyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayType,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayType,0,,Element with value CommodityBusiness could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyMultiplier,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyMultiplier,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.asset.Commodity.deliveryDateReference.deliveryNearby.periodMultiplier=[1] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.commodity.deliveryDateReference.deliveryNearby.periodMultiplier=[1],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.premium.premiumPerUnit.amount,trade.commodityOption.premium.premiumPerUnit.amount,0,,Element with value 1.00000 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.pricingDates.dayCount,trade.commodityOption.pricingDates.dayCount,0,,Element with value 5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyType,trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyType,0,,Element with value NearbyMonth could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.exercise.europeanExercise.exerciseFrequency.periodMultiplier,trade.commodityOption.exercise.europeanExercise.exerciseFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyType,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyType,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.commodity.deliveryDateReference.deliveryNearby.period=[M] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.asset.Commodity.deliveryDateReference.deliveryNearby.period=[M],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.barrier.trigger.levelPrice.priceCurrency,trade.commodityOption.barrier.trigger.levelPrice.priceCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,party(1)[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0],0,,Element with value OIL-BRENT-IPE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[BBL],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[BBL],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.calculationPeriodsScheduleReference[href=CalculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.calculationPeriodsScheduleReference[href=CalculationPeriodsSchedule].href,0,,Element with value CalculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,party(0)[id=PartyA].organizationType,party[id=PartyA].organizationType,0,,Element with value SwapDealer could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.barrier.trigger.levelPrice.priceUnit,trade.commodityOption.barrier.trigger.levelPrice.priceUnit,0,,Element with value BBL could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-aggregated-mapping-failure-report.csv index 2e62b3f93b..e4fb67ac81 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-aggregated-mapping-failure-report.csv @@ -1,11 +1,10 @@ -Mapping Coverage,72.49 +Mapping Coverage,73.74 Input Path,Failed Mapping Count trade.correlationSwap.extraordinaryEvents.representations.agreementsRegardingHedging,2 trade.correlationSwap.extraordinaryEvents.failureToDeliver,2 trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForCombined,3 trade.correlationSwap.extraordinaryEvents.representations.nonReliance,2 -trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,4 trade.correlationSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,1 trade.correlationSwap.correlationLeg.amount.correlation.closingLevel,4 trade.correlationSwap.extraordinaryEvents.tenderOffer,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-failed-mappings-report.csv index d096566b07..855f18d2d6 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-correlation-swaps-failed-mappings-report.csv @@ -8,7 +8,6 @@ cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent(2).equity.currency,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent.equity.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent(1).equity.currency,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent.equity.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].id,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].id,0,,Element with value SP500Top3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent(0).equity.currency,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent.equity.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -31,7 +30,6 @@ cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234234923420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CORR/2007/05/02/234234923419 could not be mapped to a rosettaField @@ -50,7 +48,6 @@ cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.correlationSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[15000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[15000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField @@ -89,7 +86,6 @@ cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOffer,trade.correlationSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[15000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[15000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CORR/2007/05/02/234233413420 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-credit-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-credit-failed-mappings-report.csv index 024118480b..79346689ce 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-credit-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-credit-failed-mappings-report.csv @@ -6,7 +6,7 @@ cdm-sample-files/fpml-5-10/products/credit/cd-ex02-2003-short-asia-corp-fixreg-v cdm-sample-files/fpml-5-10/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor-versioned.xml,Fail_MappedMultiple,party(1)[id=u6789r].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=u6789r].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor-versioned.xml,Fail_MappedMultiple,party(0)[id=rt4563].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=rt4563].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.xml,Fail_MappedMultiple,party(1)[id=nf4f5].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=nf4f5].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.xml,Fail_MappedMultiple,party(0)[id=koy4rt1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=koy4rt1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cd-swaption-usi.xml,Fail_MappedNone,trade.creditDefaultSwapOption.premium.premiumType,trade.creditDefaultSwapOption.premium.premiumType,0,,Element with value Fixed could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/credit/cd-swaption-usi.xml,Fail_MappedMultiple,party(0)[id=aot89re].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=aot89re].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields @@ -33,7 +33,7 @@ cdm-sample-files/fpml-5-10/products/credit/cdm-cds-mortgage-CMBS-single-payment- cdm-sample-files/fpml-5-10/products/credit/cdm-cds-mortgage-CMBS-single-payment-versioned.xml,Fail_MappedMultiple,party(1)[id=zx456j].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=zx456j].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cdm-cds-ref-ob-versioned.xml,Fail_MappedMultiple,party(0)[id=g4789].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=g4789].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cdm-cds-ref-ob-versioned.xml,Fail_MappedMultiple,party(1)[id=xdf45].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=xdf45].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/credit/cds-ELCDS-ReferenceObligation-collateral-versioned.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=gu5gh].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=gu5gh].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[gu5gh] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[gu5gh],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/credit/cds-ELCDS-ReferenceObligation-collateral-versioned.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=gu5gh].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=gu5gh].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[gu5gh] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[gu5gh],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cds-basket-tranche-versioned.xml,Fail_MappedMultiple,party(0)[id=tif563d].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=tif563d].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cds-basket-tranche-versioned.xml,Fail_MappedMultiple,party(1)[id=fyure4].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=fyure4].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/credit/cds-basket-uti.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-aggregated-mapping-failure-report.csv index 70fb4aaa15..7e72978203 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-aggregated-mapping-failure-report.csv @@ -1,7 +1,6 @@ -Mapping Coverage,70.03 +Mapping Coverage,71.09 Input Path,Failed Mapping Count -trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,3 trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,6 trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod.paymentDate.relativeDate.businessDayConvention,6 header.inReplyTo,3 @@ -36,5 +35,4 @@ trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExerc trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod.unadjustedEndDate.id,6 header.messageId,6 trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,6 -party.partyId.partyIdScheme,2 -trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,3 \ No newline at end of file +party.partyId.partyIdScheme,2 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-failed-mappings-report.csv index e82fcea611..7537c35ba9 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-dividend-swaps-failed-mappings-report.csv @@ -3,23 +3,22 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fa cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2006/07/02/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/07/04/15-99 could not be mapped to a rosettaField @@ -33,24 +32,23 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collat cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2006/07/02/133 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedStartDate[id=s2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedStartDate[id=s2].id,0,,Element with value s2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -61,23 +59,22 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short- cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value JPY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[NIKKEI 225 INDEX] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[NIKKEI 225 INDEX],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2006/07/02/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/07/02/15-99 could not be mapped to a rosettaField @@ -85,13 +82,12 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short- cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].unadjustedEndDate[id=e1].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].unadjustedEndDate[id=e1].id,0,,Element with value e1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField @@ -100,7 +96,7 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value BIC16C could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value BIC1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2009-01-27T15:38:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField @@ -109,19 +105,18 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[STOXX 50 Euro] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[STOXX 50 Euro],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].unadjustedEndDate[id=e1].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].unadjustedEndDate[id=e1].id,0,,Element with value e1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField @@ -132,7 +127,7 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/dummy-party-id, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value CPTY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value GS could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2012-01-27T15:38:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField @@ -144,19 +139,18 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,0,,Element with value EUTA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2012/01/27/123 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[STOXX 50 Euro] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[STOXX 50 Euro],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].unadjustedEndDate[id=e1].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].unadjustedEndDate[id=e1].id,0,,Element with value e1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField @@ -165,7 +159,7 @@ cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value CPTY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value GS could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2012-01-27T15:38:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField @@ -179,8 +173,8 @@ TradeState.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,0,,Element with value EUTA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2012/01/27/123 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-aggregated-mapping-failure-report.csv index 7de1ce03af..cb65b5c2c5 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,79.78 +Mapping Coverage,81.50 Input Path,Failed Mapping Count trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference.href,6 @@ -33,7 +33,6 @@ trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.determiningParty trade.equityOption.equityExercise.settlementPriceSource,2 correlationId,4 trade.equitySwapTransactionSupplement.returnLeg.effectiveDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,2 -trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,1 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,3 isCorrection,3 @@ -48,29 +47,24 @@ trade.returnSwap.earlyTermination.partyReference.href,4 trade.equityOption.extraordinaryEvents.representations.indexDisclaimer,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference.href,2 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.valuationPriceFinal.valuationRules.valuationDate.adjustableDate.dateAdjustments.businessCenters.businessCenter.businessCenterScheme,2 -trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.index.description,1 trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,1 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.valuationPriceFinal.valuationRules.valuationDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,2 trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.equity.currency,3 trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,4 -trade.equityOption.equityPremium.pricePerOption.amount,1 trade.equitySwapTransactionSupplement.breakFeeRate,2 header.inReplyTo,1 trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,3 trade.equityOption.methodOfAdjustment,2 trade.equityOption.extraordinaryEvents.tenderOffer,1 -trade.returnSwap.returnLeg.notional.notionalAmount.amount,3 trade.equitySwapTransactionSupplement.optionalEarlyTermination,4 trade.equitySwapTransactionSupplement.returnLeg.terminationDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,2 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,2 header.inReplyTo.messageIdScheme,1 trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,1 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.currency,5 header.creationTimestamp,4 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.valuationPriceInterim.valuationRules.valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessCenters.businessCenter,2 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.amount,6 trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,1 trade.equityOption.equityExercise.equityValuation.id,1 trade.equitySwapTransactionSupplement.breakFeeElection,2 @@ -85,8 +79,6 @@ trade.documentation.masterConfirmation.masterConfirmationAnnexDate,2 trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,2 trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationPeriod,1 trade.returnSwap.interestLeg.interestAmount.referenceAmount,3 -trade.returnSwap.returnLeg.notional.notionalAmount.currency,3 -trade.equityOption.equityPremium.pricePerOption.currency,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,3 trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.dayType,1 trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,2 @@ -102,7 +94,6 @@ header.messageId.messageIdScheme,4 trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,1 trade.returnSwap.returnLeg.amount.currency.id,3 header.sendTo,4 -trade.equityOption.underlyer.singleUnderlyer.index.description,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,2 trade.equitySwapTransactionSupplement.breakFundingRecovery,2 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,6 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-failed-mappings-report.csv index ac203c3629..262dcabe21 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-equity-failed-mappings-report.csv @@ -13,7 +13,6 @@ cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-for cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField @@ -26,7 +25,6 @@ cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-for cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOffer,trade.equityOption.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField @@ -36,7 +34,6 @@ cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-for cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[Swiss Market Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[Swiss Market Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField @@ -59,11 +56,8 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-l cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,trade.returnSwap.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).startingDate.dateRelativeTo[href=TradeDate].href,trade.returnSwap.earlyTermination.startingDate.dateRelativeTo[href=TradeDate].href,0,,Element with value TradeDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.nonReliance,trade.returnSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -90,11 +84,8 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-l cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,trade.returnSwap.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).startingDate.dateRelativeTo[href=TradeDate].href,trade.returnSwap.earlyTermination.startingDate.dateRelativeTo[href=TradeDate].href,0,,Element with value TradeDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.nonReliance,trade.returnSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -110,18 +101,15 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-l cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.currency,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[5591987.41] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[5591987.41],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -151,21 +139,16 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.xml,Fail_Ma cdm-sample-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compounding.compoundingSpread,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compounding.compoundingSpread,0,,Element with value .05 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=equityPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=equityPaymentCurrency].id,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].currency,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[300000.0] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[300000.0],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFundingRecovery,trade.equitySwapTransactionSupplement.breakFundingRecovery,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2008/04/07/15-99 could not be mapped to a rosettaField @@ -179,15 +162,10 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-und cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2008/07/02/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.currency[id=equityPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.currency[id=equityPaymentCurrency].id,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedMultiple,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.index.description,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[GERMAN SE XETRA DAX INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.index.EquityIndex.name=[GERMAN SE XETRA DAX INDEX],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.valuationPriceFinal.valuationRules.futuresPriceValuation,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.valuationPriceFinal.valuationRules.futuresPriceValuation,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[10000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 10000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField @@ -200,8 +178,6 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-s cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[300000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[60000, 300000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 1.2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -229,15 +205,12 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-s cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.localJurisdiction,trade.equitySwapTransactionSupplement.localJurisdiction,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2009/09/01/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 1000000]",Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 0.1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.equity.currency[id=equityIssuerPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.equity.currency[id=equityIssuerPaymentCurrency].id,0,,Element with value equityIssuerPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -263,5 +236,4 @@ cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-s cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,0,,Element with value InitialAndFinal could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2009/09/09/32-09 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-aggregated-mapping-failure-report.csv index 38194ffa39..c2f2e54df6 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-aggregated-mapping-failure-report.csv @@ -1,7 +1,8 @@ -Mapping Coverage,79.83 +Mapping Coverage,76.33 Input Path,Failed Mapping Count trade.fxOption.europeanExercise.expiryTime.businessCenter.id,1 +trade.fxSingleLeg.exchangedCurrency1.payerPartyReference.href,8 trade.fxOption.premium.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId,2 trade.fxSingleLeg.exchangeRate.pointValue,1 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.percentage,1 @@ -16,7 +17,6 @@ trade.fxSingleLeg.disruption.referenceCurrency,1 trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId,2 trade.fxOption.features.barrier.observationEndTime.hourMinuteTime,1 correlationId.correlationIdScheme,1 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,1 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId,2 sequenceNumber,1 trade.fxOption.features.asian.rateObservation.rate,5 @@ -27,10 +27,13 @@ trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,2 trade.fxSingleLeg.disruption.baseCurrency,1 header.creationTimestamp,1 +trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference.href,1 +trade.fxSingleLeg.tenorPeriod.period,1 trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId.routingIdCodeScheme,2 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,3 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.standardSettlementStyle,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId,3 +trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference.href,8 header.messageId,1 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingAccountNumber,2 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId.routingIdCodeScheme,1 @@ -40,12 +43,15 @@ trade.fxOption.features.barrier.informationSource.rateSource,1 party.partyId.partyIdScheme,28 trade.fxSingleLeg.disruption.provisions.applicableTerms,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.amount,3 +trade.fxSingleLeg.tenorPeriod.periodMultiplier,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId,3 +trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference.href,1 trade.fxOption.features.barrier.observationEndTime.businessCenter,1 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.primaryRateSource,1 trade.fxOption.features.barrier.quotedCurrencyPair.quoteBasis,1 trade.fxOption.premium.quote.value,2 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,1 +trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference.href,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId.routingIdCodeScheme,2 trade.fxOption.features.asian.rateObservationQuoteBasis,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId,2 @@ -59,13 +65,12 @@ header.messageId.messageIdScheme,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId,1 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId.routingIdCodeScheme,2 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId.routingIdCodeScheme,2 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId.routingIdCodeScheme,3 isCorrection,1 +trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference.href,1 header.sendTo,1 trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,1 trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.secondaryRateSource,1 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,1 trade.fxSingleLeg.exchangeRate.crossRate.rate,2 trade.fxOption.features.barrier.barrierType,1 trade.fxSingleLeg.exchangeRate.crossRate.quoteBasis,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-failed-mappings-report.csv index c6ba7cce8b..1eff7d1f9c 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-fx-failed-mappings-report.csv @@ -1,7 +1,11 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure +cdm-sample-files/fpml-5-10/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex01-fx-spot.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex01-fx-spot.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(1).rate,trade.fxSingleLeg.exchangeRate.crossRate.rate,0,,Element with value 0.9325 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(0).rate,trade.fxSingleLeg.exchangeRate.crossRate.rate,0,,Element with value 1.4800 could not be mapped to a rosettaField @@ -11,7 +15,9 @@ cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_ cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(1).currency1,trade.fxSingleLeg.exchangeRate.crossRate.currency1,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(0).currency2,trade.fxSingleLeg.exchangeRate.crossRate.currency2,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(0).currency1,trade.fxSingleLeg.exchangeRate.crossRate.currency1,0,,Element with value GBP could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value CITIUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.settlementMethod,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.settlementMethod,0,,Element with value SWIFT could not be mapped to a rosettaField @@ -21,14 +27,18 @@ cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_Mapp cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value UBSWGB2L could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value CITIGB2L could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,0,,Element with value Citibank could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingAccountNumber,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingAccountNumber,0,,Element with value /C/1234567788 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value CITIUS33 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.standardSettlementStyle,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.standardSettlementStyle,0,,Element with value Standard could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.standardSettlementStyle,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.standardSettlementStyle,0,,Element with value Standard could not be mapped to a rosettaField @@ -50,8 +60,10 @@ cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNo cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(1).splitSettlementAmount.currency,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,0,,Element with value DeutscheBank could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).splitSettlementAmount.amount,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.amount,0,,Element with value 3000000 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(2).beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value ABNANL2A could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(2).splitSettlementAmount.currency,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -64,13 +76,16 @@ cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNo cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(1).beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value ABNAUS4C could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value ABNAUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,3,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.quoteBasis=[Currency2PerCurrency1] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.quoteBasis=[Currency2PerCurrency1] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.assetClass=[ForeignExchange],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.currency2.value=[INR] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.currency2.value=[INR],Element mapped to already populated field -cdm-sample-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.currency1.value=[USD] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.currency1.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/fx/fx-ex08-fx-swap.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex08-fx-swap.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex09-euro-opt.xml,Fail_MappedNone,trade.fxOption.premium.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxOption.premium.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex09-euro-opt.xml,Fail_MappedMultiple,party(0)[id=partyX].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyX].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/fx/fx-ex09-euro-opt.xml,Fail_MappedNone,trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField @@ -133,5 +148,9 @@ cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml, cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.referenceCurrency,trade.fxSingleLeg.disruption.referenceCurrency,0,,Element with value BRL could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,0,,Element with value BRL09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.percentage,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.percentage,0,,Element with value 0.03 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.baseCurrency,trade.fxSingleLeg.disruption.baseCurrency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,0,,Element with value BRL12 could not be mapped to a rosettaField \ No newline at end of file +cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.tenorPeriod.period,trade.fxSingleLeg.tenorPeriod.period,0,,Element with value M could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,0,,Element with value BRL12 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.tenorPeriod.periodMultiplier,trade.fxSingleLeg.tenorPeriod.periodMultiplier,0,,Element with value 6 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-aggregated-mapping-failure-report.csv index 91307cdd6b..ea2d1bfd0e 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-aggregated-mapping-failure-report.csv @@ -1,9 +1,10 @@ -Mapping Coverage,95.54 +Mapping Coverage,95.11 Input Path,Failed Mapping Count onBehalfOf.partyReference.href,2 trade.swap.swapStream.id,46 trade.tradeHeader.partyTradeInformation.category,19 +trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters.businessCenter,2 trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedRelevantSwapEffectiveDate,1 trade.tradeHeader.partyTradeInformation.verificationMethod,2 quote.measureType,8 @@ -37,6 +38,7 @@ trade.tradeHeader.partyTradeIdentifier.blockTradeId.issuer,1 trade.tradeHeader.partyTradeInformation.intentToClear,3 trade.tradeHeader.partyTradeInformation.relatedBusinessUnit.role,1 trade.tradeHeader.partyTradeInformation.executionVenueType,3 +trade.bulletPayment.payment.receiverPartyReference.href,1 header.messageId,3 trade.tradeHeader.partyTradeIdentifier.blockTradeId.tradeId,1 trade.tradeHeader.partyTradeInformation.relatedParty.partyReference.href,8 @@ -49,6 +51,7 @@ quote.quoteUnits,2 quote.time,2 trade.genericProduct.underlyer.bond.maturity,2 trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,4 +trade.bulletPayment.payment.payerPartyReference.href,1 quote.value,6 trade.tradeHeader.partyTradeIdentifier.partyReference.href,3 trade.tradeHeader.partyTradeInformation.executionType,1 @@ -61,7 +64,9 @@ trade.tradeHeader.partyTradeInformation.reportingRegime.actionType,2 trade.genericProduct.underlyer.bond.description,2 trade.tradeHeader.partyTradeIdentifier.blockTradeId.tradeId.tradeIdScheme,1 trade.swap.swapStream.settlementProvision.nonDeliverableSettlement.priceSourceDisruption.fallbackReferencePrice.valuationPostponement.maximumDaysOfPostponement,1 +trade.bulletPayment.payment.paymentDate.dateAdjustments.businessDayConvention,1 party.region,4 +trade.bulletPayment.payment.paymentDate.unadjustedDate,1 trade.tradeHeader.partyTradeInformation.timestamps.timestamp.value,2 correlationId,1 trade.tradeHeader.partyTradeIdentifier.blockTradeId.issuer.issuerIdScheme,1 @@ -74,6 +79,7 @@ trade.genericProduct.paymentFrequency.period,2 isCorrection,3 trade.tradeHeader.partyTradeInformation.intentToAllocate,3 trade.tradeHeader.partyTradeInformation.reportingRegime.mandatorilyClearable,2 +trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters.id,1 trade.genericProduct.underlyer.fixedRate.initialValue,2 trade.genericProduct.paymentFrequency.periodMultiplier,2 trade.swap.swapStream.settlementProvision.nonDeliverableSettlement.priceSourceDisruption.fallbackReferencePrice.fallbackSettlementRateOption,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-failed-mappings-report.csv index c81bdbfdfb..a4d9298328 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-rates-failed-mappings-report.csv @@ -126,7 +126,7 @@ cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Fail_MappedN cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(2).partyReference[href=ExecutionFacility].href,trade.tradeHeader.partyTradeInformation.relatedParty.partyReference[href=ExecutionFacility].href,1,TradeState.trade.partyRole(0).partyReference.externalReference=[partyA],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(1).role,trade.tradeHeader.partyTradeInformation.relatedParty.role,1,TradeState.trade.partyRole(0).role=[ReportingParty],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.timestamps.timestamp.value,trade.tradeHeader.partyTradeInformation.timestamps.timestamp.value,0,,Element with value 2023-11-20T00:24:20.000000Z could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Success,quote(0).value,quote.value,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity.price(0).value=[null],had no destination +cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Success,quote(0).value,quote.value,1,TradeState.trade.tradeLot(0).priceQuantity.price(0).value=[null],had no destination cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Fail_MappedNone,quote(0).measureType,quote.measureType,0,,Element with value PriceNotation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.category(3)[categoryScheme=http://www.dtcc.com/coding-scheme/external/report-details/emir-level],trade.tradeHeader.partyTradeInformation.category[categoryScheme=http://www.dtcc.com/coding-scheme/external/report-details/emir-level],0,,Element with value T could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.intentToClear,trade.tradeHeader.partyTradeInformation.intentToClear,0,,Element with value false could not be mapped to a rosettaField @@ -212,7 +212,7 @@ cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Fail_MappedN cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(2).partyReference[href=ExecutionFacility].href,trade.tradeHeader.partyTradeInformation.relatedParty.partyReference[href=ExecutionFacility].href,1,TradeState.trade.partyRole(0).partyReference.externalReference=[partyA],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Success,trade.tradeHeader.partyTradeInformation.relatedParty(1).role,trade.tradeHeader.partyTradeInformation.relatedParty.role,1,TradeState.trade.partyRole(0).role=[ReportingParty],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.timestamps.timestamp.value,trade.tradeHeader.partyTradeInformation.timestamps.timestamp.value,0,,Element with value 2023-11-15T01:48:47.000000Z could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Success,quote(0).value,quote.value,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity.price(0).value=[null],had no destination +cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Success,quote(0).value,quote.value,1,TradeState.trade.tradeLot(0).priceQuantity.price(0).value=[null],had no destination cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Fail_MappedNone,quote(0).measureType,quote.measureType,0,,Element with value PriceNotation could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.category(3)[categoryScheme=http://www.dtcc.com/coding-scheme/external/party-roles/emir-nature-of-reporting-partyB],trade.tradeHeader.partyTradeInformation.category[categoryScheme=http://www.dtcc.com/coding-scheme/external/party-roles/emir-nature-of-reporting-partyB],0,,Element with value F could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.intentToClear,trade.tradeHeader.partyTradeInformation.intentToClear,0,,Element with value false could not be mapped to a rosettaField @@ -324,7 +324,7 @@ cdm-sample-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-physic cdm-sample-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-physical-exercise.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-versioned.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-versioned.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/rates/ird-ex11-euro-swaption-partial-auto-ex.xml,Success,trade.swaption.europeanExercise.partialExercise.notionalReference(1)[href=notional1].href,trade.swaption.europeanExercise.partialExercise.notionalReference[href=notional1].href,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).exerciseTerms.partialExercise.notionaReference.externalReference=[notional0],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/rates/ird-ex11-euro-swaption-partial-auto-ex.xml,Success,trade.swaption.europeanExercise.partialExercise.notionalReference(1)[href=notional1].href,trade.swaption.europeanExercise.partialExercise.notionalReference[href=notional1].href,1,TradeState.trade.product.economicTerms.payout.optionPayout(0).exerciseTerms.partialExercise.notionaReference.externalReference=[notional0],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.xml,Fail_MappedMultiple,party(2)[id=party3].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=party3].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(2).partyId(0).identifierType=[BIC] TradeState.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[BIC] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso9362].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[BIC] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso9362],Element mapped to multiple rosettaFields @@ -343,6 +343,13 @@ cdm-sample-files/fpml-5-10/products/rates/ird-ex20-euro-cancel-swap.xml,Success, cdm-sample-files/fpml-5-10/products/rates/ird-ex21-euro-extend-swap.xml,Success,trade.swap.extendibleProvision.exerciseNotice.partyReference[href=party1].href,trade.swap.extendibleProvision.exerciseNotice.partyReference[href=party1].href,0,,no destination cdm-sample-files/fpml-5-10/products/rates/ird-ex25-fxnotional-swap-usi-uti.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex25-fxnotional-swap-usi-uti.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter(1),trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter,0,,Element with value USNY could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessDayConvention,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessDayConvention,0,,Element with value MODFOLLOWING could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].id,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].id,0,,Element with value businessCenters0 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.receiverPartyReference[href=party2].href,trade.bulletPayment.payment.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter(0),trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter,0,,Element with value GBLO could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.unadjustedDate,trade.bulletPayment.payment.paymentDate.unadjustedDate,0,,Element with value 2001-07-27 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.payerPartyReference[href=party1].href,trade.bulletPayment.payment.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/rates/ird-ex29-non-deliverable-settlement-swap-uti.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex29-non-deliverable-settlement-swap-uti.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/rates/ird-ex30-swap-comp-avg-relative-date-uti.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=swapStream_0_0].id,trade.swap.swapStream[id=swapStream_0_0].id,0,,Element with value swapStream_0_0 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-aggregated-mapping-failure-report.csv index e3f159d126..85d2cfff97 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,71.41 +Mapping Coverage,74.02 Input Path,Failed Mapping Count trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,2 @@ -17,9 +17,7 @@ trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.vari trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,1 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,1 header.creationTimestamp,7 -trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.description,1 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,1 -trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,2 trade.varianceSwap.extraordinaryEvents.tenderOffer,1 trade.varianceOptionTransactionSupplement.equityExercise.equityValuation.futuresPriceValuation,2 header.messageId,7 @@ -36,10 +34,8 @@ trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.exp trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.version,3 trade.varianceSwap.extraordinaryEvents.representations.nonReliance,1 trade.varianceSwap.extraordinaryEvents.compositionOfCombinedConsideration,1 -trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,6 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,1 trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.equity.currency,2 -trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,3 trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId.legIdScheme,3 trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,1 trade.varianceSwap.extraordinaryEvents.representations.agreementsRegardingHedging,1 @@ -58,7 +54,6 @@ trade.varianceSwap.extraordinaryEvents.nationalisationOrInsolvency,1 trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.currency,3 trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForShare,1 trade.varianceSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,1 -trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,2 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,1 trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForOther,1 trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,1 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-failed-mappings-report.csv index eed513d078..54d53c8a9a 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-variance-swaps-failed-mappings-report.csv @@ -5,8 +5,6 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedMultiple,trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.description,trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[SP 500 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[SP 500 Index],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -23,7 +21,6 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-singl cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -33,14 +30,13 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-singl cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value PA/2007/05/02/234234923420 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1388.889] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[50000],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[1388.889] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[50000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value 23902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1388.889] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1388.889],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -56,14 +52,12 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(0).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 234234234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(1).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,0,,Element with value http://www.xyz.com/coding-scheme/leg-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Success,trade.varianceSwap.varianceLeg(0).amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.varianceSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.varianceSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(2).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,0,,Element with value http://www.xyz.com/coding-scheme/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(2).underlyer.singleUnderlyer.equity.currency,trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.representations.nonReliance,trade.varianceSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Success,trade.varianceSwap.varianceLeg(1).amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(1).priceQuantity.quantitySchedule.value.value=[1000000] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(1).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 93949033 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value RelatedExchange could not be mapped to a rosettaField @@ -74,7 +68,6 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.abc.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.abc.com/coding-scheme/message-id],0,,Element with value 283920 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.abc.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Success,trade.varianceSwap.varianceLeg(2).amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(2).priceQuantity.quantitySchedule.value.value=[1000000] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).quantity(1).value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id],0,,Element with value ABC290 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField @@ -109,10 +102,7 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,0,,Element with value http://www.xyz.com/coding-scheme/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 92902092 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(1).legIdentifier.version,trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.version,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Success,trade.varianceSwapTransactionSupplement.varianceLeg(0).amount.variance.varianceAmount.amount,trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Success,trade.varianceSwapTransactionSupplement.varianceLeg(2).amount.variance.varianceAmount.amount,trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(2).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Success,trade.varianceSwapTransactionSupplement.varianceLeg(1).amount.variance.varianceAmount.amount,trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(1).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).legIdentifier.version,trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.version,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).underlyer.singleUnderlyer.equity.currency,trade.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField @@ -120,28 +110,25 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(0).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 92002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value 234239 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value BIC16C could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[33333.33],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value BIC1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2009-01-27T15:38:00-00:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,0,,Element with value http://www.fpml.org/msg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.documentation.masterConfirmation.masterConfirmationAnnexDate,trade.documentation.masterConfirmation.masterConfirmationAnnexDate,0,,Element with value 2009-01-07 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedMultiple,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[FTSE 100 INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[FTSE 100 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value BIC16C could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[33333.33],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value BIC1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2009-01-27T15:38:00-00:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field +cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,0,,Element with value http://www.fpml.org/msg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField @@ -149,7 +136,6 @@ cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-tra cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedMultiple,party(2)[id=clearing-svc].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=clearing-svc].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,"TradeState.trade.party(2).partyId(0).identifierType=[LEI] TradeState.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/dummy-party-id, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedMultiple,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[FTSE 100 INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[FTSE 100 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-volatility-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-volatility-swaps-failed-mappings-report.csv index 6ca06426d2..a6d125443a 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-volatility-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-10-products-volatility-swaps-failed-mappings-report.csv @@ -3,7 +3,7 @@ cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap- cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,trade.documentation.contractualMatrix.publicationDate,trade.documentation.contractualMatrix.publicationDate,0,,Element with value 2011-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value 23902 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedMultiple,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000.00] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000.00],Element mapped to already populated field : Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedMultiple,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[1000.00] TradeState.trade.product.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000.00],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,0,,Element with value http://www.fpml.org/coding-scheme/determination-method could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField @@ -16,7 +16,7 @@ cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap- cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value 23902 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedMultiple,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000.00] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000.00],Element mapped to already populated field : Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedMultiple,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[1000.00] TradeState.trade.product.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000.00],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,0,,Element with value http://www.fpml.org/coding-scheme/determination-method could not be mapped to a rosettaField cdm-sample-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-aggregated-mapping-failure-report.csv index 9a11dcb469..dd80d5f647 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,54.55 +Mapping Coverage,56.20 Input Path,Failed Mapping Count trade.returnSwap.earlyTermination.partyReference.href,2 @@ -11,7 +11,6 @@ header.inReplyTo,1 trade.returnSwap.principalExchangeFeatures.principalExchanges.finalExchange,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,1 -trade.returnSwap.returnLeg.notional.notionalAmount.amount,1 trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.receiverPartyReference.href,1 trade.returnSwap.earlyTermination.startingDate.dateRelativeTo.href,2 correlationId.correlationIdScheme,1 @@ -33,7 +32,6 @@ trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,1 trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,1 trade.returnSwap.principalExchangeFeatures.principalExchanges.initialExchange,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,1 -trade.returnSwap.returnLeg.notional.notionalAmount.currency,1 trade.returnSwap.returnLeg.amount.formula.math.mi,2 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,1 trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-failed-mappings-report.csv index 45c9455ccd..97bdd91add 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-incomplete-products-equity-failed-mappings-report.csv @@ -1,6 +1,5 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeDate.relativeDate.dateRelativeTo[href=EffectiveDate].href,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeDate.relativeDate.dateRelativeTo[href=EffectiveDate].href,0,,Element with value EffectiveDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount.currency,trade.returnSwap.returnLeg.notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,0,,Element with value false could not be mapped to a rosettaField @@ -13,8 +12,6 @@ cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long- cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.payerPartyReference[href=party2].href,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount.amount,trade.returnSwap.returnLeg.notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[31000, 55911.60] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[55911.60]",Element mapped to already populated field cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-processes-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-processes-failed-mappings-report.csv index 6216222180..89ae5800e4 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-processes-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-processes-failed-mappings-report.csv @@ -1,8 +1,8 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(0)[id=settlementTermsOne].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsOne].id,0,,Element with value settlementTermsOne could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000]",Element mapped to already populated field +cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(1)[id=settlementTermsTwo].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsTwo].id,0,,Element with value settlementTermsTwo could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Success,trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-ptrr-compression].linkIdScheme,trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-ptrr-compression].linkIdScheme,0,,no destination @@ -16,15 +16,15 @@ cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_Map cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.maturity,0,,Element with value 2017-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.couponRate,0,,Element with value 0.077 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field +cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.xml,Success,trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-ptrr-compression],trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-ptrr-compression],0,,no destination cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNone,"trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-report-tracking-number,id=lid1].id","trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-report-tracking-number,id=lid1].id",0,,Element with value lid1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(0)[id=settlementTermsOne].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsOne].id,0,,Element with value settlementTermsOne could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000]",Element mapped to already populated field +cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(1)[id=settlementTermsTwo].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsTwo].id,0,,Element with value settlementTermsTwo could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -37,7 +37,7 @@ cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNon cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.maturity,0,,Element with value 2017-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.couponRate,0,,Element with value 0.077 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field +cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] +WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field cdm-sample-files/fpml-5-12/processes/custom-basket-linkId-rtn.xml,Success,"trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-report-tracking-number,id=lid1]","trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.fpml.org/coding-scheme/external/esma-report-tracking-number,id=lid1]",0,,no destination \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-commodity-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-commodity-failed-mappings-report.csv index 5eb5c9dda5..664b07df38 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-commodity-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-commodity-failed-mappings-report.csv @@ -1,15 +1,15 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.xml,Success,trade.commoditySwap.floatingLeg(1).notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field +cdm-sample-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.xml,Success,trade.commoditySwap.floatingLeg(1).notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.disruptionFallbacks,trade.commodityOption.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.xml,Fail_MappedNone,trade.commodityOption.exercise.europeanExercise.exerciseFrequency.periodMultiplier,trade.commodityOption.exercise.europeanExercise.exerciseFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-credit-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-credit-failed-mappings-report.csv index 396460cd57..03042eb789 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-credit-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-credit-failed-mappings-report.csv @@ -12,7 +12,7 @@ cdm-sample-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery cdm-sample-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2011-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.06 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2011-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.06 could not be mapped to a rosettaField @@ -47,7 +47,7 @@ cdm-sample-files/fpml-5-12/products/credit/cdindex-ex03-iTraxx-contractual-suppl cdm-sample-files/fpml-5-12/products/credit/cdindex-ex04-iBoxx.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cdindex-ex04-iBoxx.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cdindex-ex05-SP.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-12/products/credit/cdindex-ex05-SP.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-12/products/credit/cdindex-ex05-SP.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cdindex-ex05-SP.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCCPty2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -56,7 +56,7 @@ cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fai cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.messageId[messageIdScheme=www.dtcc.com].messageIdScheme,header.messageId[messageIdScheme=www.dtcc.com].messageIdScheme,0,,Element with value www.dtcc.com could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.messageId[messageIdScheme=www.dtcc.com],header.messageId[messageIdScheme=www.dtcc.com],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2007/10/30/002400000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/credit/cds-basket-tranche.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2005/01/24/0EB30A0q could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-aggregated-mapping-failure-report.csv index 75f4525bd4..c6b32fd287 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,76.24 +Mapping Coverage,77.73 Input Path,Failed Mapping Count trade.returnSwap.returnLeg.rateOfReturn.initialPrice.grossPrice.priceExpression,1 @@ -28,7 +28,6 @@ trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compoundin trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,5 trade.equitySwapTransactionSupplement.returnLeg.strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,2 correlationId,13 -trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,1 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.commission.commissionAmount,3 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.businessDayConvention,1 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,1 @@ -59,7 +58,6 @@ trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.payment trade.equityOption.methodOfAdjustment,2 trade.equityOption.extraordinaryEvents.tenderOffer,1 trade.equitySwapTransactionSupplement.returnLeg.amount.currency.currencyScheme,2 -trade.returnSwap.returnLeg.notional.notionalAmount.amount,6 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.period,1 trade.returnSwap.returnLeg.legIdentifier.legId,2 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,1 @@ -75,7 +73,6 @@ trade.returnSwap.earlyTermination.startingDate.adjustableDate.unadjustedDate,2 trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,1 trade.equityOption.equityExercise.equityValuation.id,1 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,4 -trade.returnSwap.interestLeg.notional.notionalAmount.amount,2 trade.returnSwap.additionalPayment.additionalPaymentDate.relativeDate.periodMultiplier,1 trade.returnSwap.interestLeg.interestAmount.currencyReference.href,5 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,4 @@ -86,7 +83,6 @@ trade.returnSwap.interestLeg.legIdentifier.legId,2 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,1 trade.returnSwap.interestLeg.interestAmount.referenceAmount,7 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,1 -trade.returnSwap.returnLeg.notional.notionalAmount.currency,5 trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,2 trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.dividendDateReference,1 trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,1 @@ -101,7 +97,6 @@ trade.returnSwap.additionalPayment.receiverPartyReference.href,2 trade.returnSwap.additionalPayment.additionalPaymentAmount.paymentAmount.currency,1 trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId,1 header.sendTo,11 -trade.equityOption.underlyer.singleUnderlyer.index.description,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,2 trade.equitySwapTransactionSupplement.breakFundingRecovery,2 trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent.name,4 @@ -159,12 +154,10 @@ trade.returnSwap.returnLeg.underlyer.singleUnderlyer.dividendPayout.dividendPaym trade.returnSwap.earlyTermination.partyReference.href,7 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.rate,1 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.commission.commissionDenomination,3 -trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.index.description,1 trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissionDenomination,3 trade.returnSwap.interestLeg.interestCalculation.fixedRate,1 trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.equity.currency,5 trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,8 -trade.equityOption.equityPremium.pricePerOption.amount,1 header.inReplyTo,1 trade.otherPartyPayment.paymentDate.unadjustedDate.id,1 trade.equitySwapTransactionSupplement.returnLeg.strikeDate.adjustableDate.unadjustedDate,2 @@ -175,10 +168,8 @@ trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.valuationPriceInter trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.math.mi,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,2 trade.returnSwap.returnLeg.underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,1 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.currency,6 trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.math.mn,3 trade.returnSwap.additionalPayment.additionalPaymentAmount.formula.math.mo,7 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.amount,9 header.sentBy.messageAddressScheme,2 trade.equitySwapTransactionSupplement.breakFeeElection,4 trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,10 @@ -192,7 +183,6 @@ trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,4 trade.returnSwap.returnLeg.underlyer.singleUnderlyer.equity.currency,1 trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationPeriod,3 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.commission.currency,1 -trade.equityOption.equityPremium.pricePerOption.currency,1 trade.returnSwap.interestLeg.id,2 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,5 trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.dayType,1 @@ -200,7 +190,6 @@ trade.returnSwap.returnLeg.underlyer.singleUnderlyer.equity.id,1 trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.equity.currency.id,1 trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,4 trade.returnSwap.returnLeg.amount.referenceAmount,7 -trade.returnSwap.interestLeg.notional.notionalAmount.currency,2 trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,1 trade.returnSwap.interestLeg.interestLegCalculationPeriodDates.interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,11 trade.returnSwap.returnLeg.amount.currency.id,5 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-failed-mappings-report.csv index 99c194a457..fa8f645c32 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-equity-failed-mappings-report.csv @@ -1,47 +1,44 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],0,,Element with value EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.msdw.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOffer,trade.equityOption.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],0,,Element with value EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2000/08/01/EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.indexDisclaimer,trade.equityOption.extraordinaryEvents.representations.indexDisclaimer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[Swiss Market Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[Swiss Market Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -74,11 +71,8 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-l cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField @@ -177,18 +171,15 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-f cdm-sample-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2006/07/02/32-09 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.currency,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[5591987.41] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[5591987.41],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -218,21 +209,16 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.xml,Fail_Ma cdm-sample-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compounding.compoundingSpread,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compounding.compoundingSpread,0,,Element with value .05 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=equityPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=equityPaymentCurrency].id,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].currency,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[300000.0] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[300000.0],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFundingRecovery,trade.equitySwapTransactionSupplement.breakFundingRecovery,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2008/04/07/15-99 could not be mapped to a rosettaField @@ -246,15 +232,10 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-und cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2008/07/02/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.currency[id=equityPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.currency[id=equityPaymentCurrency].id,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedMultiple,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.index.description,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[GERMAN SE XETRA DAX INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.index.EquityIndex.name=[GERMAN SE XETRA DAX INDEX],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.valuationPriceFinal.valuationRules.futuresPriceValuation,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.valuationPriceFinal.valuationRules.futuresPriceValuation,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[10000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 10000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField @@ -267,8 +248,6 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-s cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[300000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[60000, 300000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 1.2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -288,15 +267,12 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-s cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.localJurisdiction,trade.equitySwapTransactionSupplement.localJurisdiction,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2009/09/01/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 1000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 0.1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.equity.currency[id=equityIssuerPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.equity.currency[id=equityIssuerPaymentCurrency].id,0,,Element with value equityIssuerPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -314,7 +290,6 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-s cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,0,,Element with value InitialAndFinal could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2009/09/09/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField @@ -347,8 +322,6 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-europe cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,0,,Element with value DEFR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 1000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 0.1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -367,26 +340,20 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-europe cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,0,,Element with value InitialAndFinal could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2009/09/09/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Success,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.currency,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].id,trade.returnSwap.interestLeg[id=FI__CFD123456789].id,0,,Element with value FI__CFD123456789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.currency,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.currency[id=settlementCurrency].id,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.currency[id=settlementCurrency].id,0,,Element with value settlementCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.referenceAmount,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.currency,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Success,trade.returnSwap.returnLeg[id=EQ__CFD123456789].notional.notionalAmount.amount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[48000, 3840000.000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[3840000.000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.referenceAmount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.rate,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.rate,0,,Element with value 1.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].return.dividendConditions.dividendFxTriggerDate.dividendDateReference,trade.returnSwap.returnLeg[id=EQ__CFD123456789].return.dividendConditions.dividendFxTriggerDate.dividendDateReference,0,,Element with value ExDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionDenomination,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionDenomination,0,,Element with value BPS could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value PercentageOfNotional could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.quoteBasis,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.quoteBasis,0,,Element with value Currency1PerCurrency2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Success,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.amount,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[48000, 3840000.000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[3840000.000000]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionAmount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionAmount,0,,Element with value 0.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.commission.currency,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.commission.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.grossPrice.priceExpression,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.grossPrice.priceExpression,0,,Element with value PercentageOfNotional could not be mapped to a rosettaField @@ -398,8 +365,6 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-s cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,"trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme","trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme",0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party2].href,trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -430,8 +395,6 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-va cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId[exchangeIdScheme=http://www.example.com/exchange-id],trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId[exchangeIdScheme=http://www.example.com/exchange-id],0,,Element with value RE could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,"trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme","trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme",0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId].instrumentIdScheme,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId].instrumentIdScheme,0,,Element with value MonthYearId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId],trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId],0,,Element with value 1005 could not be mapped to a rosettaField @@ -452,8 +415,6 @@ cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-va cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value ES/2009/09/10/15-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.currency,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,0,,Element with value 123.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 12345 could not be mapped to a rosettaField @@ -466,8 +427,6 @@ cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_Mappe cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.earlyTermination(1).startingDate.adjustableDate.dateAdjustments.businessDayConvention,trade[id=trs-eq1-trade].returnSwap.earlyTermination.startingDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.currencyReference[href=trs-eq1-EquityPaymentCurrency].href,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.currencyReference[href=trs-eq1-EquityPaymentCurrency].href,0,,Element with value trs-eq1-EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].amount.currency[id=trs-eq1-EquityPaymentCurrency].id,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].amount.currency[id=trs-eq1-EquityPaymentCurrency].id,0,,Element with value trs-eq1-EquityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.currency,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.referenceAmount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.accruedInterest.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.accruedInterest.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -478,8 +437,6 @@ cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_Mappe cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.amount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.paymentDate,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.paymentDate,0,,Element with value 2004-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[760400, 19785157.16, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 56789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField @@ -496,8 +453,6 @@ cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_Mappe cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 19785157.16, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/equity/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.equity[id=trs-eq1-equity-asset].currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.equity[id=trs-eq1-equity-asset].currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -524,7 +479,6 @@ cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap- cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(7),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2002-05-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Success,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.currency,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.period,trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(8),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2002-06-13 could not be mapped to a rosettaField @@ -551,8 +505,6 @@ cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap- cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(0),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-10-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(1),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-11-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Success,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.amount,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.returnLeg.legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade.returnSwap.returnLeg.legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(2),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-12-13 could not be mapped to a rosettaField @@ -581,12 +533,10 @@ cdm-sample-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap- cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(0)[name=UpfrontPrice].componentDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=UpfrontPrice].componentDescription,0,,Element with value (Coupon * Day Count (30/360)) - (LIBOR * Commencing Index Price * Day Count (ACT/360)) + (Traded Price - Commencing Index Price) could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].formula.formulaDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].formula.formulaDescription,0,,Element with value 31000000.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateRelativeTo[href=interestCalculationDates].href,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateRelativeTo[href=interestCalculationDates].href,0,,Element with value interestCalculationDates could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Success,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.currency,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.referenceAmount,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestCalculation.fixedRate,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestCalculation.fixedRate,0,,Element with value 0.065 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(0)[name=UpfrontPrice].formula.formulaDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=UpfrontPrice].formula.formulaDescription,0,,Element with value 0.00259535084 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].componentDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].componentDescription,0,,Element with value Notional could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Success,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.amount,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[31000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[31000000],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.periodMultiplier,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].name,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].name,0,,Element with value Notional could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/equity/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.sellerPartyReference[href=party2].href,trade[id=trs-ex4-trade].returnSwap.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-aggregated-mapping-failure-report.csv index 64c8251b4c..5007c9a6db 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-aggregated-mapping-failure-report.csv @@ -1,7 +1,8 @@ -Mapping Coverage,63.17 +Mapping Coverage,60.51 Input Path,Failed Mapping Count trade.fxOption.europeanExercise.expiryTime.businessCenter.id,1 +trade.fxSingleLeg.exchangedCurrency1.payerPartyReference.href,8 trade.fxOption.premium.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId,2 trade.fxSingleLeg.exchangeRate.pointValue,1 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.percentage,1 @@ -16,7 +17,6 @@ trade.fxSingleLeg.disruption.referenceCurrency,1 trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId,2 trade.fxOption.features.barrier.observationEndTime.hourMinuteTime,1 correlationId.correlationIdScheme,15 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,1 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId,2 sequenceNumber,15 trade.fxOption.features.asian.rateObservation.rate,5 @@ -26,11 +26,14 @@ trade.fxOption.features.barrier.triggerRate,1 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId,2 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,2 trade.fxSingleLeg.disruption.baseCurrency,1 +trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference.href,1 header.creationTimestamp,15 +trade.fxSingleLeg.tenorPeriod.period,1 trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId.routingIdCodeScheme,2 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,3 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.standardSettlementStyle,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId,3 +trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference.href,8 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingAccountNumber,2 header.messageId,15 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId.routingIdCodeScheme,1 @@ -40,12 +43,15 @@ trade.fxOption.features.barrier.informationSource.rateSource,1 party.partyId.partyIdScheme,28 trade.fxSingleLeg.disruption.provisions.applicableTerms,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.amount,3 +trade.fxSingleLeg.tenorPeriod.periodMultiplier,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId,3 +trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference.href,1 trade.fxOption.features.barrier.observationEndTime.businessCenter,1 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.primaryRateSource,1 trade.fxOption.features.barrier.quotedCurrencyPair.quoteBasis,1 trade.fxOption.premium.quote.value,2 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,1 +trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference.href,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId.routingIdCodeScheme,2 trade.fxOption.features.asian.rateObservationQuoteBasis,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId,2 @@ -59,13 +65,12 @@ trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiaryBank.routingIds.routingId,1 header.messageId.messageIdScheme,15 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingIds.routingId.routingIdCodeScheme,2 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,1 trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId.routingIdCodeScheme,3 isCorrection,15 +trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference.href,1 header.sendTo,15 trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,1 trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.secondaryRateSource,1 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,1 trade.fxSingleLeg.exchangeRate.crossRate.rate,2 trade.fxOption.features.barrier.barrierType,1 trade.fxSingleLeg.exchangeRate.crossRate.quoteBasis,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-failed-mappings-report.csv index 72a01c8240..3dc0eee8a9 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-fx-failed-mappings-report.csv @@ -5,6 +5,8 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,isCor cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value MATCHSRV could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-10-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex01-fx-spot.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -25,6 +27,8 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_ cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(1).currency1,trade.fxSingleLeg.exchangeRate.crossRate.currency1,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(0).currency2,trade.fxSingleLeg.exchangeRate.crossRate.currency2,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(1).rate,trade.fxSingleLeg.exchangeRate.crossRate.rate,0,,Element with value 0.9325 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-10-23T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -39,6 +43,8 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,isCorr cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value ABN could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-11-19T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -55,6 +61,8 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_Mapp cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value MATCHSRV could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-10-12T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,0,,Element with value Citibank could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField @@ -79,6 +87,8 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone, cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.pointValue,trade.fxSingleLeg.exchangeRate.pointValue,0,,Element with value 0.0001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value ABN could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-11-19T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -92,6 +102,7 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNo cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,0,,Element with value DeutscheBank could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(1).beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value ABNANL2A could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).splitSettlementAmount.currency,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -111,6 +122,7 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNo cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(1).splitSettlementAmount.currency,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.db.com/partyId],header.sentBy[messageAddressScheme=http://www.db.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(2).beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-11-12T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.db.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.db.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.db.com/coding-scheme/messageId could not be mapped to a rosettaField @@ -132,15 +144,14 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNo cdm-sample-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.db.com/coding-scheme/correlationId],correlationId[correlationIdScheme=http://www.db.com/coding-scheme/correlationId],0,,Element with value FX1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value CSFBUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.currency2.value=[INR] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.currency2.value=[INR],Element mapped to already populated field -cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,3,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.quoteBasis=[Currency2PerCurrency1] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.quoteBasis=[Currency2PerCurrency1] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.assetClass=[ForeignExchange],Element mapped to already populated field -cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.currency1.value=[USD] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.currency1.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value PARTYAUS33 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-01-05T15:38:00-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,correlationId[correlationIdScheme=hhttp://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,correlationId[correlationIdScheme=hhttp://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,0,,Element with value hhttp://www.partyA.com/coding-scheme/correlationId could not be mapped to a rosettaField @@ -151,9 +162,13 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,heade cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-01-05T15:38:00-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex08-fx-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/correlationId could not be mapped to a rosettaField @@ -251,24 +266,24 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.xml,Fa cdm-sample-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/conversationId].correlationIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],0,,Element with value FX87654 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/conversationId],correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/conversationId],0,,Element with value FX65432 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(3).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.21616 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(1).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.34527 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(2).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.26109 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],0,,Element with value FX87654 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(3).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.21616 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value PARTYAUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2010-11-05T12:34:56-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(4).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.24930 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(0).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.34527 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(2).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.26109 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservationQuoteBasis,trade.fxOption.features.asian.rateObservationQuoteBasis,0,,Element with value PutCurrencyPerCallCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],0,,Element with value FX87654 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CRR/2007/01/04/2342342 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId],header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value MATCHSRV could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -278,6 +293,9 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml, cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,0,,Element with value BRL12 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value ABN could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,0,,Element with value BRL09 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.tenorPeriod.period,trade.fxSingleLeg.tenorPeriod.period,0,,Element with value M could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2013-04-16T22:00:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField @@ -287,5 +305,6 @@ cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml, cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.baseCurrency,trade.fxSingleLeg.disruption.baseCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId].correlationIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/correlationId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.tenorPeriod.periodMultiplier,trade.fxSingleLeg.tenorPeriod.periodMultiplier,0,,Element with value 6 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId],0,,Element with value FX456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId],correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId],0,,Element with value FX987 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-rates-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-rates-failed-mappings-report.csv index a40de3b4cf..5b42807182 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-rates-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-12-products-rates-failed-mappings-report.csv @@ -48,7 +48,7 @@ cdm-sample-files/fpml-5-12/products/rates/ird-ex07-ois-swap.xml,Fail_MappedMulti TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/dummy-party-id, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/rates/ird-ex08-fra.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-12/products/rates/ird-ex08-fra.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-12/products/rates/ird-ex11-euro-swaption-partial-auto-ex.xml,Success,trade.swaption.europeanExercise.partialExercise.notionalReference(1)[href=notional1].href,trade.swaption.europeanExercise.partialExercise.notionalReference[href=notional1].href,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).exerciseTerms.partialExercise.notionaReference.externalReference=[notional0],Element mapped to already populated field +cdm-sample-files/fpml-5-12/products/rates/ird-ex11-euro-swaption-partial-auto-ex.xml,Success,trade.swaption.europeanExercise.partialExercise.notionalReference(1)[href=notional1].href,trade.swaption.europeanExercise.partialExercise.notionalReference[href=notional1].href,1,TradeState.trade.product.economicTerms.payout.optionPayout(0).exerciseTerms.partialExercise.notionaReference.externalReference=[notional0],Element mapped to already populated field cdm-sample-files/fpml-5-12/products/rates/ird-ex30-swap-comp-avg-relative-date.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=swapStream_0_0].id,trade.swap.swapStream[id=swapStream_0_0].id,0,,Element with value swapStream_0_0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/rates/ird-ex30-swap-comp-avg-relative-date.xml,Fail_MappedNone,trade.swap.swapStream(1)[id=swapStream_0_1].id,trade.swap.swapStream[id=swapStream_0_1].id,0,,Element with value swapStream_0_1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-12/products/rates/ird-ex32-zero-coupon-swap-normal-rate.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation(1).reportingRegime(1).supervisorRegistration.supervisoryBody,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,0,,Element with value EMIR could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-commodity-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-commodity-derivatives-failed-mappings-report.csv index e90f7c9f77..7382103962 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-commodity-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-commodity-derivatives-failed-mappings-report.csv @@ -65,7 +65,7 @@ cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-ph cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.calculation.pricingDates.dayType,trade.commoditySwap.floatingLeg.calculation.pricingDates.dayType,0,,Element with value GasFlow could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.gasPhysicalLeg.deliveryPeriods.periodsSchedule[id=deliveryPeriods].period,trade.commoditySwap.gasPhysicalLeg.deliveryPeriods.periodsSchedule[id=deliveryPeriods].period,0,,Element with value T could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,trade.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,trade.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,0,,Element with value USMMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.gasPhysicalLeg.deliveryConditions.deliveryPoint[deliveryPointScheme=http://www.PartyA.com/commodity-delivery-point-gas-1-0],trade.commoditySwap.gasPhysicalLeg.deliveryConditions.deliveryPoint[deliveryPointScheme=http://www.PartyA.com/commodity-delivery-point-gas-1-0],0,,Element with value TW-WTX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.gasPhysicalLeg.deliveryConditions.deliveryType,trade.commoditySwap.gasPhysicalLeg.deliveryConditions.deliveryType,0,,Element with value Firm could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.xml,Fail_MappedNone,trade.commoditySwap.gasPhysicalLeg.deliveryPeriods.periodsSchedule[id=deliveryPeriods].id,trade.commoditySwap.gasPhysicalLeg.deliveryPeriods.periodsSchedule[id=deliveryPeriods].id,0,,Element with value deliveryPeriods could not be mapped to a rosettaField @@ -413,14 +413,14 @@ cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-ph cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.xml,Fail_MappedNone,trade.commoditySwap.electricityPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantitySchedule(0).quantityStep(2).quantityUnit,trade.commoditySwap.electricityPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantitySchedule.quantityStep.quantityUnit,0,,Element with value MW could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.xml,Fail_MappedNone,trade.commoditySwap.electricityPhysicalLeg.settlementPeriods(1)[id=off-peak-week].applicableDay(0),trade.commoditySwap.electricityPhysicalLeg.settlementPeriods[id=off-peak-week].applicableDay,0,,Element with value MON could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.fixedPriceSchedule.settlementPeriodsPriceSchedule(1).settlementPeriodsPriceStep(2).priceUnit,trade.commoditySwap.fixedLeg.fixedPriceSchedule.settlementPeriodsPriceSchedule.settlementPeriodsPriceStep.priceUnit,0,,Element with value MWh could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].totalPhysicalQuantity.quantityUnit,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].totalPhysicalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].totalPhysicalQuantity.quantityUnit,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].totalPhysicalQuantity.quantityUnit,0,,Element with value USMMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationPeriodFrequency.rollConvention,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationPeriodFrequency.rollConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryConditions.deliveryPoint[deliveryPointScheme=http://www.PartyA.com/commodity-delivery-point-gas-1-0],trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryConditions.deliveryPoint[deliveryPointScheme=http://www.PartyA.com/commodity-delivery-point-gas-1-0],0,,Element with value TETCO M2 Zone could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationEndDate.relativeDate.periodMultiplier,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationEndDate.relativeDate.periodMultiplier,0,,Element with value -5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationEndDate.relativeDate.period,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationEndDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.premium.premiumPerUnit.amount,trade.commoditySwaption.premium.premiumPerUnit.amount,0,,Element with value 1.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryPeriods.calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryPeriods.calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,trade.commoditySwaption.commoditySwap.gasPhysicalLeg.deliveryQuantity[id=deliveryQuantity].physicalQuantity.quantityUnit,0,,Element with value USMMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.commoditySwaption.physicalExercise.europeanExercise.expirationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value MODFOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.premium.premiumPerUnit.currency,trade.commoditySwaption.premium.premiumPerUnit.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.fixedLeg.calculationPeriodsSchedule[id=calculationPeriodsSchedule].period,trade.commoditySwaption.commoditySwap.fixedLeg.calculationPeriodsSchedule[id=calculationPeriodsSchedule].period,0,,Element with value M could not be mapped to a rosettaField @@ -661,12 +661,12 @@ cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wt cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wti-put-option-asian-listedoption-date.xml,Fail_MappedNone,trade.commodityOption.assetClass,trade.commodityOption.assetClass,0,,Element with value Commodity could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wti-put-option-asian-listedoption-date.xml,Fail_MappedNone,trade.commodityOption.pricingDates.calculationPeriodsReference[href=CalculationPeriods].href,trade.commodityOption.pricingDates.calculationPeriodsReference[href=CalculationPeriods].href,0,,Element with value CalculationPeriods could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,0,,Element with value MMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.calculation.pricingDates.calendarSource,trade.commoditySwap.floatingLeg.calculation.pricingDates.calendarSource,0,,Element with value ListedOption could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.xml,Fail_MappedNone,trade.commoditySwap.assetClass,trade.commoditySwap.assetClass,0,,Element with value Commodity could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.xml,Fail_MappedNone,trade.commoditySwaption.commoditySwap.fixedLeg.calculationDates.dateAdjustments.businessDayConvention,trade.commoditySwaption.commoditySwap.fixedLeg.calculationDates.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-aggregated-mapping-failure-report.csv index 92b36482cd..f94e01bd0c 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-aggregated-mapping-failure-report.csv @@ -1,10 +1,9 @@ -Mapping Coverage,65.59 +Mapping Coverage,66.67 Input Path,Failed Mapping Count trade.correlationSwap.extraordinaryEvents.representations.agreementsRegardingHedging,1 trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForCombined,1 trade.correlationSwap.extraordinaryEvents.representations.nonReliance,1 -trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,1 trade.correlationSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,1 trade.correlationSwap.correlationLeg.amount.correlation.closingLevel,1 trade.correlationSwap.extraordinaryEvents.tenderOffer,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-failed-mappings-report.csv index e9db1ca3b2..2b11e27bc7 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-correlation-swaps-failed-mappings-report.csv @@ -14,7 +14,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-corre cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.correlationSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[15000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[15000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-aggregated-mapping-failure-report.csv index 7520b07245..b15b1fc548 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-aggregated-mapping-failure-report.csv @@ -1,67 +1,45 @@ -Mapping Coverage,44.91 +Mapping Coverage,63.19 Input Path,Failed Mapping Count trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationEndDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.equityOption.fxFeature.quanto.fxRate.quotedCurrencyPair.currency2,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId.exchangeIdScheme,6 trade.equityOptionTransactionSupplement.feature.asian.averagingInOut,2 trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,2 trade.equityOption.fxFeature.quanto.fxRate.quotedCurrencyPair.currency1,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId.instrumentIdScheme,2 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,12 -trade.equityOptionTransactionSupplement.sellerPartyReference.href,8 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId,2 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,12 -trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,8 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,2 trade.equityOption.feature.dividendAdjustment.dividendPeriod.unadjustedStartDate,2 trade.equityOption.underlyer.basket.basketConstituent.equity.id,2 trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.businessCenter,1 -trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,7 trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.futureId,4 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId,6 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,2 trade.equityOptionTransactionSupplement.spotPrice,1 trade.equityOption.equityExercise.equityValuation.valuationTimeType,12 -trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,7 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,6 correlationId.correlationIdScheme,15 sequenceNumber,15 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.adjustableDates.id,2 -trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,7 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.instrumentId.instrumentIdScheme,2 -trade.equityOptionTransactionSupplement.optionEntitlement,1 trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency,1 trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTimeType,5 trade.equityOption.feature.asian.averagingPeriodOut.marketDisruption,1 trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,9 -trade.equityOptionTransactionSupplement.numberOfOptions,8 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.hourMinuteTime,1 trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency.currencyScheme,5 trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,5 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,6 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationEndDate.adjustableDate.unadjustedDate,1 trade.equityOption.fxFeature.referenceCurrency,3 trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,12 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,5 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.adjustableDates.dateAdjustments.businessCenters.businessCenter,2 header.messageId,15 trade.equityOptionTransactionSupplement.equityExercise.settlementPriceSource,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,12 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId,6 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,1 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,1 -trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency.currencyScheme,1 trade.equityOption.equityExercise.equityBermudaExercise.bermudaExerciseDates.date,3 -trade.equityOptionTransactionSupplement.id,4 trade.equityOption.feature.dividendAdjustment.dividendPeriod.unadjustedEndDate,2 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,2 trade.equityOption.underlyer.basket.basketConstituent.equity.currency,6 trade.equityOption.equityExercise.equityBermudaExercise.commencementDate.adjustableDate.unadjustedDate,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId.exchangeIdScheme,2 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId.instrumentIdScheme,6 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,2 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.initialStockLoanRate,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,12 @@ -69,30 +47,20 @@ trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,9 trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,6 trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,8 trade.equityOption.feature.passThrough.passThroughItem.underlyerReference.href,3 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId.exchangeIdScheme,6 trade.equityOption.equityExercise.settlementPriceSource,8 correlationId,15 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,3 -trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo.href,7 trade.equityOptionTransactionSupplement.multiplier,1 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.period,1 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,2 -trade.equityOptionTransactionSupplement.productType,1 -trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,7 trade.equityOption.fxFeature.quanto.fxSpotRateSource.fixingTime.hourMinuteTime,1 isCorrection,14 trade.equityOption.feature.asian.averagingPeriodIn.marketDisruption,1 trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,5 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.startDate,1 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessCenters.businessCenter,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId,2 -trade.equityOptionTransactionSupplement.notional.amount,3 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId,6 trade.equityOption.underlyer.singleUnderlyer.equity.id,2 -trade.equityOptionTransactionSupplement.notional.currency,3 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.constituentWeight.basketPercentage,2 -trade.equityOptionTransactionSupplement.feature.barrier.barrierCap.trigger.level,1 -trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,2 trade.equityOption.fxFeature.quanto.fxSpotRateSource.fixingTime.businessCenter,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,12 trade.equityOptionTransactionSupplement.strike.currency,1 @@ -101,31 +69,22 @@ trade.equityOption.feature.asian.averagingInOut,2 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,12 trade.equityOptionTransactionSupplement.equityPremium.percentageOfNotional,3 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.numberOfValuationDates,1 -trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,8 -trade.equityOptionTransactionSupplement.feature.knock.knockIn.trigger.triggerTimeType,1 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.exchangeId,2 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.description,2 trade.equityOption.extraordinaryEvents.representations.indexDisclaimer,4 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference.href,12 -trade.equityOption.equityPremium.pricePerOption.amount,11 -trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,7 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.endDate,1 header.inReplyTo,1 trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,9 -trade.equityOptionTransactionSupplement.equityExercise.settlementType,8 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.futuresPriceValuation,6 trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage,1 -trade.equityOptionTransactionSupplement.optionType,8 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,1 -trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,2 trade.equityOption.fxFeature.quanto.fxRate.rate,1 trade.equityOption.feature.dividendAdjustment.dividendPeriod.dateAdjustments.businessDayConvention,2 trade.equityOption.methodOfAdjustment,12 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,6 trade.equityOption.extraordinaryEvents.tenderOffer,9 trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.futureId.futureIdScheme,4 trade.equityOptionTransactionSupplement.localJurisdiction,1 -trade.equityOptionTransactionSupplement.strike.strikePrice,8 trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.hourMinuteTime,1 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,3 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,12 @@ -134,16 +93,12 @@ trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuation header.inReplyTo.messageIdScheme,1 trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,8 trade.equityOption.extraordinaryEvents.delisting,1 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId.exchangeIdScheme,1 trade.equityOption.equityExercise.equityBermudaExercise.latestExerciseTimeType,1 header.creationTimestamp,15 trade.equityOption.feature.dividendAdjustment.dividendPeriod.underlyerReference.href,2 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,6 trade.equityOptionTransactionSupplement.multipleExchangeIndexAnnexFallback,1 header.sentBy.messageAddressScheme,8 trade.equityOption.equityExercise.equityValuation.id,1 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.businessCenter,1 -trade.equityOptionTransactionSupplement.feature.knock.knockIn.trigger.level,1 trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.unadjustedDate,1 trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,8 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationPeriodFrequency.period,2 @@ -154,40 +109,29 @@ trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuation trade.equityOptionTransactionSupplement.equityExercise.equityValuation.id,7 trade.equityOptionTransactionSupplement.methodOfAdjustment,1 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,2 -trade.equityOption.equityPremium.pricePerOption.currency,11 trade.equityOption.fxFeature.quanto.fxSpotRateSource.primaryRateSource.rateSource,1 trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,12 trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationDates.adjustableDates.unadjustedDate,24 trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,8 trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage.rateSourcePageScheme,1 -trade.equityOptionTransactionSupplement.buyerPartyReference.href,8 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,12 header.sentBy,15 header.messageId.messageIdScheme,15 trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,9 -trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId,1 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,1 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,5 -trade.equityOption.underlyer.basket.basketConstituent.index.description,2 trade.equityOption.equityExercise.equityBermudaExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,1 -trade.equityOptionTransactionSupplement.feature.knock.knockIn.trigger.triggerType,1 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.currency,2 trade.equityOption.feature.dividendAdjustment.dividendPeriod.dividend.currency,2 header.sendTo,7 -trade.equityOption.underlyer.singleUnderlyer.index.description,3 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,12 trade.equityOption.fxFeature.quanto.fxSpotRateSource.primaryRateSource.rateSourcePage,1 -trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,2 trade.equityOptionTransactionSupplement.feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.rollConvention,1 trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency.currencyScheme,1 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.foreignOwnershipEvent,1 trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,1 -trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,7 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,6 trade.equityOption.feature.dividendAdjustment.dividendPeriod.dividend.amount,2 trade.equityOption.equityExercise.settlementMethodElectingPartyReference.href,5 trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.instrumentId,2 -trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,5 trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,9 trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,8 trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,3 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-failed-mappings-report.csv index cd784912a8..7870b868be 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-options-failed-mappings-report.csv @@ -1,87 +1,58 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId],0,,Element with value XWAR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=partyA].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=partyA].href,0,,Element with value partyA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=partyB].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=partyB].href,0,,Element with value partyB could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value PLN could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,0,,Element with value WIG20 INDEX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value PLN could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,0,,Element with value valuationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.foreignOwnershipEvent,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.foreignOwnershipEvent,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.initialStockLoanRate,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.initialStockLoanRate,0,,Element with value 0.09 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,0,,Element with value OSP could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,0,,Element with value CurrencyBusiness could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value PLN could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Call could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.multipleExchangeIndexAnnexFallback,trade.equityOptionTransactionSupplement.multipleExchangeIndexAnnexFallback,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,0,,Element with value http://www.example.com/exchangeId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0].instrumentIdScheme,0,,Element with value http://www.example.com/instrument-id-Reuters-RIC-1-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.exchangeTradedContractNearest,trade.equityOptionTransactionSupplement.exchangeTradedContractNearest,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.example.com/instrument-id-Reuters-RIC-1-0],0,,Element with value .WIG20 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 50 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId].exchangeIdScheme,0,,Element with value http://www.example.com/exchangeId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 1000 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2012-11-16 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.currency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 100 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,trade.equityOptionTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.maximumStockLoanRate,0,,Element with value 0.11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.example.com/exchangeId],0,,Element with value XWAR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],0,,Element with value EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.msdw.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOffer,trade.equityOption.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,trade.equityOption.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC],0,,Element with value EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2000/08/01/EquityShareOption456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.indexDisclaimer,trade.equityOption.extraordinaryEvents.representations.indexDisclaimer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId].messageAddressScheme,0,,Element with value http://www.MsgParty.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[Swiss Market Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[Swiss Market Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -111,12 +82,10 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-lon cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 9 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime(5),trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,0,,Element with value 2001-01-04T08:57:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[NIKKEI 225 INDEX] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[NIKKEI 225 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime(1),trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,0,,Element with value 2000-09-01T08:57:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-04-02T15:38:00Z could not be mapped to a rosettaField @@ -127,7 +96,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-lon cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime(0),trade.equityOption.feature.asian.averagingPeriodOut.averagingDateTimes.dateTime,0,,Element with value 2000-08-01T08:57:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.referenceCurrency,trade.equityOption.fxFeature.referenceCurrency,0,,Element with value JPY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField @@ -152,11 +120,9 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime(0),trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,0,,Element with value 2000-08-01T08:57:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime(4),trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,0,,Element with value 2000-12-01T08:57:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[NIKKEI 225 INDEX] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[NIKKEI 225 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-04-02T15:38:00Z could not be mapped to a rosettaField @@ -167,7 +133,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.referenceCurrency,trade.equityOption.fxFeature.referenceCurrency,0,,Element with value JPY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.xml,Fail_MappedNone,trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime(2),trade.equityOption.feature.asian.averagingPeriodIn.averagingDateTimes.dateTime,0,,Element with value 2000-10-01T08:57:00 could not be mapped to a rosettaField @@ -194,7 +159,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-lo cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value abc could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField @@ -205,7 +169,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-lo cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.abc.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField @@ -251,7 +214,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-l cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.equityBermudaExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField @@ -259,7 +221,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-l cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-04-02T15:38:00Z could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/02/15-12 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value AlternativeObligation could not be mapped to a rosettaField @@ -282,7 +243,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-lo cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.quanto.fxSpotRateSource.primaryRateSource.rateSource,trade.equityOption.fxFeature.quanto.fxSpotRateSource.primaryRateSource.rateSource,0,,Element with value Reuters could not be mapped to a rosettaField @@ -295,7 +255,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-lo cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOffer,trade.equityOption.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.xml,Fail_MappedNone,trade.equityOption.fxFeature.quanto.fxRate.rate,trade.equityOption.fxFeature.quanto.fxRate.rate,0,,Element with value 0.95 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -320,13 +279,11 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american- cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.msdw.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.msdw.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -360,13 +317,11 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-pa cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value abc could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.feature.passThrough.passThroughItem(1).underlyerReference[href=RoyalDutchEquity].href,trade.equityOption.feature.passThrough.passThroughItem.underlyerReference[href=RoyalDutchEquity].href,0,,Element with value RoyalDutchEquity could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.abc.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.abc.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -377,103 +332,24 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-pa cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CORR/2000/08/01/BasketOption987 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId].exchangeIdScheme,0,,Element with value http://www.fpml.org/schemes/4.1/exchangeId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/schemes/4.1/exchangeId],0,,Element with value XNSE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party2].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party1].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementPriceSource,trade.equityOptionTransactionSupplement.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.spotPrice,trade.equityOptionTransactionSupplement.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2005-07-13 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Put could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId].instrumentIdScheme,0,,Element with value http://www.fpml.org/schemes/4.1/instrumentId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2005-09-27 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 10000 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.hourMinuteTime,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.hourMinuteTime,0,,Element with value 17:15:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Physical could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value SpecificTime could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 32.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.productType,trade.equityOptionTransactionSupplement.productType,0,,Element with value Equity:Option:PriceReturnBasicPerformance:SingleName could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/schemes/4.1/instrumentId],0,,Element with value STM-FP could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,0,,Element with value STMicroelectronics N.V. ordinary shares could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.businessCenter,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.latestExerciseTime.businessCenter,0,,Element with value GBLO could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value TAI could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.methodOfAdjustment,trade.equityOptionTransactionSupplement.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTimeType,0,,Element with value AsSpecifiedInMasterConfirmation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,0,,Element with value CurrencyBusiness could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.hourMinuteTime,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.hourMinuteTime,0,,Element with value 14:15:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value All Exchanges could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0].rateSourcePageScheme,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0].rateSourcePageScheme,0,,Element with value http://www.example.com/rate-source-page-1-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.localJurisdiction,trade.equityOptionTransactionSupplement.localJurisdiction,0,,Element with value TW could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.businessCenter,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.fixingTime.businessCenter,0,,Element with value TWTA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0],trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSourcePage[rateSourcePageScheme=http://www.example.com/rate-source-page-1-0],0,,Element with value TAIFX1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 1.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSource,trade.equityOptionTransactionSupplement.fxFeature.crossCurrency.fxSpotRateSource.primaryRateSource.rateSource,0,,Element with value Reuters could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 1000000.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2006-12-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,0,,Element with value TWD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityEuropeanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 33.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC],0,,Element with value 3045.TW could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionEntitlement,trade.equityOptionTransactionSupplement.optionEntitlement,0,,Element with value 1.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.currency,trade.equityOptionTransactionSupplement.strike.currency,0,,Element with value TWD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.equity.description,0,,Element with value TAIWAN MOBILE ORD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value AsSpecifiedInMasterConfirmation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value KSC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,trade.equityOptionTransactionSupplement.buyerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,trade.equityOptionTransactionSupplement.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,trade.equityOptionTransactionSupplement.equityExercise.settlementCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.description,0,,Element with value KOREA SE KOSPI 50 INDEX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dateRelativeTo[href=valuationDate].href,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2006-02-09 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.dayType,0,,Element with value CurrencyBusiness could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,trade.equityOptionTransactionSupplement.equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.optionType,trade.equityOptionTransactionSupplement.optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC],0,,Element with value .KS50 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.multiplier,trade.equityOptionTransactionSupplement.multiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2006-09-18 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement.equityPremium.pricePerOption.amount,0,,Element with value 0.75 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC-1-0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.numberOfOptions,trade.equityOptionTransactionSupplement.numberOfOptions,0,,Element with value 1000000.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,trade.equityOptionTransactionSupplement.fxFeature.referenceCurrency,0,,Element with value KRW could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 1000000 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementType,trade.equityOptionTransactionSupplement.equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.equityOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.strike.strikePrice,trade.equityOptionTransactionSupplement.strike.strikePrice,0,,Element with value 1325.0 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement.equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement.equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],trade.equityOptionTransactionSupplement.underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC-1-0],0,,Element with value All Exchanges could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(0).underlyerReference[href=ud892].href,trade.equityOption.feature.dividendAdjustment.dividendPeriod.underlyerReference[href=ud892].href,0,,Element with value ud892 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(0).multiplier,trade.equityOption.feature.dividendAdjustment.dividendPeriod.multiplier,0,,Element with value 0.91 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField @@ -502,7 +378,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend- cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value msdw could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-08-13T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(1).unadjustedStartDate,trade.equityOption.feature.dividendAdjustment.dividendPeriod.unadjustedStartDate,0,,Element with value 2007-08-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=jb2890].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=jb2890].href,0,,Element with value jb2890 could not be mapped to a rosettaField @@ -510,7 +385,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend- cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=jb2890].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=jb2890].href,0,,Element with value jb2890 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.feature.dividendAdjustment.dividendPeriod(1).multiplier,trade.equityOption.feature.dividendAdjustment.dividendPeriod.multiplier,0,,Element with value 0.91 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2008-06-14 could not be mapped to a rosettaField @@ -552,10 +426,8 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-ba cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedMultiple,trade.equityOption.underlyer.basket.basketConstituent(0).index.description,trade.equityOption.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index] TradeState.trade.tradableProduct.tradeLot(2).priceQuantity(0).observable.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value PARTYAC0902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.underlyer.basket.basketConstituent(1).basket.basketConstituent(0).constituentWeight.basketPercentage,trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.constituentWeight.basketPercentage,0,,Element with value 0.50 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField @@ -563,7 +435,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-ba cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.underlyer.basket.basketConstituent(1).basket.basketConstituent(0).equity.description,trade.equityOption.underlyer.basket.basketConstituent.basket.basketConstituent.equity.description,0,,Element with value HYUNDAI MOTOR COMPANY could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -598,16 +469,13 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weig cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedMultiple,trade.equityOption.underlyer.basket.basketConstituent(0).index.description,trade.equityOption.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index] TradeState.trade.tradableProduct.tradeLot(2).priceQuantity(0).observable.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value PARTYAC0902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField @@ -620,36 +488,22 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weig cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2000/08/01/2342340029 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(8).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-03-01T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,0,,Element with value Out could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(4).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-01-01T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(0).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-11-01T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(6),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(8).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(4).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(5),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(9).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-03-15T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(5).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-01-15T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(1).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-11-15T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(4),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(0).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(9).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,0,,Element with value 1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(5).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value CHF could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(11),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField @@ -662,230 +516,116 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOpt cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(1),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(6).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-02-01T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,0,,Element with value Postponement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(2).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-12-01T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(10),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(2),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(1).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(6).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,0,,Element with value NYSE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,0,,Element with value 23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(2).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(0),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(10).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,0,,Element with value 0.015 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(9),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(11).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-04-15T18:08:40.335-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(7).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2003-02-15T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(3).dateTime,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.dateTime,0,,Element with value 2002-12-15T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(8),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(7).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(3).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation(11).weight,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.averagingObservations.averagingObservation.weight,0,,Element with value 10 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/02/24/123488 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(7),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.barrier.barrierCap.trigger.level,trade.equityOptionTransactionSupplement[id=equityOption].feature.barrier.barrierCap.trigger.level,0,,Element with value 30 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,0,,Element with value 2345 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,0,,Element with value 12 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123476-002700000005656 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationEndDate.adjustableDate.unadjustedDate,0,,Element with value 2002-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,0,,Element with value 23 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessCenters.businessCenter,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessCenters.businessCenter,0,,Element with value NYSE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,0,,Element with value EOM could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,0,,Element with value 0.015 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].numberOfValuationDates,0,,Element with value 12 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123476-002700000005656 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/02/24/123476 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,0,,Element with value Postponement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingInOut,0,,Element with value Out could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.endDate,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.endDate,0,,Element with value 2003-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodDatesAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value CHF could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123466-002700000000022 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.marketDisruption,0,,Element with value Postponement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.rollConvention,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.rollConvention,0,,Element with value EOM could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.rollConvention,0,,Element with value EOM could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.period,0,,Element with value M could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationStartDate.adjustableDate.unadjustedDate,0,,Element with value 2001-11-11 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.periodicDates.calculationPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.startDate,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.startDate,0,,Element with value 2002-11-11 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].feature.asian.averagingPeriodOut.schedule.averagingPeriodFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123466-002700000000022 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/02/24/123466 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.maximumNumberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(6),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC].instrumentIdScheme,0,,Element with value http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value A could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,trade.equityOptionTransactionSupplement[id=equityOption].sellerPartyReference[href=Party2].href,0,,Element with value Party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(5),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC],0,,Element with value N could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.unadjustedDate,0,,Element with value 2002-10-31 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.minimumNumberOfOptions,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dayType,0,,Element with value Business could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(4),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.dateRelativeTo[href=Valuation].href,0,,Element with value Valuation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementDate.relativeDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,trade.equityOptionTransactionSupplement[id=equityOption].notional.amount,0,,Element with value 1234 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217],0,,Element with value CHF could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(11),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,0,,Element with value averagingDates could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(3),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value DTCC00006440 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].id,0,,Element with value Valuation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(1),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-15 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2003-04-19 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.level,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.level,0,,Element with value 12 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(10),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.relatedExchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(2),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value DTCC00006441 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.exchangeId[exchangeIdScheme=http://www.fpml.org/spec/2002/exchange-id-REC].exchangeIdScheme,0,,Element with value http://www.fpml.org/spec/2002/exchange-id-REC could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(6),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessCenters.businessCenter,0,,Element with value NYSE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.pricePerOption.amount,0,,Element with value 23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(0),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-11-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2002-09-24T18:08:40.335-05:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityMultipleExercise.integralMultipleExercise,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementType,0,,Element with value Cash could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,header.messageId[messageIdScheme=perFpMLReqmt].messageIdScheme,0,,Element with value perFpMLReqmt could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,trade.equityOptionTransactionSupplement[id=equityOption].buyerPartyReference[href=Party1].href,0,,Element with value Party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,trade.equityOptionTransactionSupplement[id=equityOption].numberOfOptions,0,,Element with value 5250 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(5),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,trade.equityOptionTransactionSupplement[id=equityOption].equityPremium.percentageOfNotional,0,,Element with value 0.015 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(9),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.latestExerciseTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.automaticExercise,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,trade.equityOptionTransactionSupplement[id=equityOption].notional.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.commencementDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract].futureIdScheme,0,,Element with value ExchangeTradedContract could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].id,trade.equityOptionTransactionSupplement[id=equityOption].id,0,,Element with value equityOption could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerTimeType,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerTimeType,0,,Element with value Anytime could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(4),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-01-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(8),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-03-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityAmericanExercise.equityExpirationTimeType,0,,Element with value Close could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.instrumentId[instrumentIdScheme=http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC],0,,Element with value .SPX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerType,trade.equityOptionTransactionSupplement[id=equityOption].feature.knock.knockIn.trigger.triggerType,0,,Element with value Greater could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.settlementCurrency[currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(11),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-04-15 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].id,0,,Element with value averagingDates could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],trade.equityOptionTransactionSupplement[id=equityOption].underlyer.singleUnderlyer.index.futureId[futureIdScheme=ExchangeTradedContract],0,,Element with value 0904 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].optionType,trade.equityOptionTransactionSupplement[id=equityOption].optionType,0,,Element with value Call could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,trade.equityOptionTransactionSupplement[id=equityOption].strike.strikePrice,0,,Element with value 1088 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(3),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2002-12-15 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,header.messageId[messageIdScheme=perFpMLReqmt],header.messageId[messageIdScheme=perFpMLReqmt],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.xml,Fail_MappedNone,trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate(7),trade.equityOptionTransactionSupplement[id=equityOption].equityExercise.equityValuation[id=Valuation].valuationDates.adjustableDates[id=averagingDates].unadjustedDate,0,,Element with value 2003-02-15 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv index d818148898..4c341b32c6 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,57.09 +Mapping Coverage,58.37 Input Path,Failed Mapping Count trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.periodMultiplier,1 @@ -54,7 +54,6 @@ trade.returnSwap.principalExchangeFeatures.principalExchanges.finalExchange,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,3 trade.otherPartyPayment.paymentDate.unadjustedDate.id,1 trade.returnSwap.earlyTermination.startingDate.adjustableDate.dateAdjustments.businessDayConvention,2 -trade.returnSwap.returnLeg.notional.notionalAmount.amount,2 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.dividendPayout.dividendPayment.amount.amount,2 trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.receiverPartyReference.href,1 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.period,1 @@ -73,7 +72,6 @@ trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,3 party.partyId.partyIdScheme,2 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,3 trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissionAmount,3 -trade.returnSwap.interestLeg.notional.notionalAmount.amount,1 trade.returnSwap.additionalPayment.additionalPaymentDate.relativeDate.periodMultiplier,1 trade.returnSwap.interestLeg.interestAmount.currencyReference.href,2 trade.returnSwap.returnLeg.amount.formula.math.mo,1 @@ -84,7 +82,6 @@ trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.dividendPayout.div trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,3 trade.returnSwap.principalExchangeFeatures.principalExchanges.initialExchange,1 trade.returnSwap.interestLeg.interestAmount.referenceAmount,2 -trade.returnSwap.returnLeg.notional.notionalAmount.currency,2 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.dividendPayout.dividendPayment.accruedInterest.amount,2 trade.returnSwap.returnLeg.amount.formula.math.mi,2 trade.returnSwap.interestLeg.id,1 @@ -97,7 +94,6 @@ trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.princip trade.returnSwap.returnLeg.amount.referenceAmount,2 trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,3 header.sentBy,2 -trade.returnSwap.interestLeg.notional.notionalAmount.currency,1 header.messageId.messageIdScheme,2 trade.returnSwap.additionalPayment.receiverPartyReference.href,1 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerPrice.quotationCharacteristics.currency,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-failed-mappings-report.csv index 317af2fdff..6d8143f2b2 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-equity-swaps-failed-mappings-report.csv @@ -1,6 +1,5 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeDate.relativeDate.dateRelativeTo[href=EffectiveDate].href,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.principalExchangeDate.relativeDate.dateRelativeTo[href=EffectiveDate].href,0,,Element with value EffectiveDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount.currency,trade.returnSwap.returnLeg.notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,trade.returnSwap.principalExchangeFeatures.principalExchanges.intermediateExchange,0,,Element with value false could not be mapped to a rosettaField @@ -13,8 +12,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.payerPartyReference[href=party2].href,trade.returnSwap.principalExchangeFeatures.principalExchangeDescriptions.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount.amount,trade.returnSwap.returnLeg.notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[31000, 55911.60] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[55911.60]",Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField @@ -127,7 +124,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex05-single-stoc cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2006/07/02/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].dividendPayout.dividendPayment.accruedInterest.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].dividendPayout.dividendPayment.accruedInterest.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.currency,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].underlyerPrice.netPrice.priceExpression,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].underlyerPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField @@ -141,7 +137,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.currencyReference[href=r15].href,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.currencyReference[href=r15].href,0,,Element with value r15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(0)[id=r4].equity.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r4].equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].amount.currency[id=r9].id,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].amount.currency[id=r9].id,0,,Element with value r9 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.referenceAmount,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].id,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].id,0,,Element with value r5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].dividendPayout.dividendPayment.amount.amount,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].dividendPayout.dividendPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField @@ -158,8 +153,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].underlyerPrice.quotationCharacteristics.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].underlyerPrice.quotationCharacteristics.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceInterim.commission.commissionPerTrade,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceInterim.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.amount,trade[id=trs-eqbasket-trade].returnSwap.interestLeg[id=r16].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).quantity(0).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.initialPrice.commission.commissionDenomination,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].rateOfReturn.initialPrice.commission.commissionDenomination,0,,Element with value BPS could not be mapped to a rosettaField @@ -179,8 +172,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-bask cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(0)[id=r4].underlyerPrice.quotationCharacteristics.timing,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r4].underlyerPrice.quotationCharacteristics.timing,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade[id=trs-eqbasket-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].underlyerPrice.accruedInterestPrice,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].underlyerPrice.accruedInterestPrice,0,,Element with value 1234.56 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Success,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.amount,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].notional[id=r8].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.sellerPartyReference[href=party1].href,trade[id=trs-eqbasket-trade].returnSwap.sellerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.xml,Fail_MappedNone,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent(1)[id=r5].dividendPayout.dividendPayment.amount.currency,trade[id=trs-eqbasket-trade].returnSwap.returnLeg[id=r1].underlyer.basket.basketConstituent[id=r5].dividendPayout.dividendPayment.amount.currency,0,,Element with value USD could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv index 4e5664abd3..a15da5f9c4 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,37.32 +Mapping Coverage,36.89 Input Path,Failed Mapping Count trade.fxFlexibleForward.latestExecutionTime.businessCenter,1 @@ -49,6 +49,7 @@ trade.fxDigitalOption.touch.triggerRate,6 trade.strategy.fxOption.europeanExercise.cutName,3 trade.termDeposit.features.dualCurrency.interestAtRisk,1 trade.fxOption.features.barrier.observationEndDate,3 +trade.fxSingleLeg.exchangedCurrency1.payerPartyReference.href,2 trade.fxFlexibleForward.executionPeriodDates.startDate,1 trade.termDeposit.maturityDate,1 trade.termDeposit.principal.amount,1 @@ -172,6 +173,7 @@ trade.fxOption.features.barrier.triggerRate,3 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,2 trade.fxFlexibleForward.additionalPayment.payerPartyReference.href,1 trade.fxDigitalOption.trigger.triggerCondition,3 +trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference.href,2 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingAccountNumber,2 header.sentBy.messageAddressScheme,15 trade.strategy.fxSingleLeg.exchangedCurrency1.paymentAmount.currency,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-failed-mappings-report.csv index d7a889a733..683d2d2bdc 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-fx-derivatives-failed-mappings-report.csv @@ -41,6 +41,8 @@ cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-s cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value MATCHSRV could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-10-12T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,0,,Element with value Citibank could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField @@ -62,6 +64,7 @@ cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-s cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiaryBank.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,trade.fxSingleLeg.exchangedCurrency2.settlementInformation.settlementInstruction.beneficiaryBank.routingIdsAndExplicitDetails.routingName,0,,Element with value DeutscheBank could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(1).beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362],0,,Element with value ABNANL2A could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(0).splitSettlementAmount.currency,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -81,6 +84,7 @@ cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-s cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(1).splitSettlementAmount.currency,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.splitSettlementAmount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.db.com/partyId],header.sentBy[messageAddressScheme=http://www.db.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement(2).beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,trade.fxSingleLeg.exchangedCurrency1.settlementInformation.settlementInstruction.splitSettlement.beneficiary.routingIds.routingId[routingIdCodeScheme=http://www.fpml.org/coding-scheme/external/iso9362].routingIdCodeScheme,0,,Element with value http://www.fpml.org/coding-scheme/external/iso9362 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-11-12T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.db.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.db.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.db.com/coding-scheme/messageId could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-aggregated-mapping-failure-report.csv index 4f68fdb644..2c4fbdc306 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,69.83 +Mapping Coverage,72.41 Input Path,Failed Mapping Count trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,2 @@ -6,10 +6,8 @@ trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.con sequenceNumber,2 trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,2 isCorrection,2 -trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2 header.creationTimestamp,2 trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.currency,2 -trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.description,1 header.messageId,2 trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.currency,1 header.sentBy.messageAddressScheme,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-failed-mappings-report.csv index 74300897a1..e6e360fcaa 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-incomplete-products-variance-swaps-failed-mappings-report.csv @@ -5,8 +5,6 @@ cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedMultiple,trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.description,trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[SP 500 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[SP 500 Index],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -17,14 +15,13 @@ cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value PA/2007/05/02/234234923415 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1388.889] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[50000],Element mapped to already populated field +cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceSwap.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[1388.889] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[50000],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value 23902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1388.889] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1388.889],Element mapped to already populated field cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-processes-execution-advice-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-processes-execution-advice-failed-mappings-report.csv index 01aeda300d..a8c460feed 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-processes-execution-advice-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-processes-execution-advice-failed-mappings-report.csv @@ -5,7 +5,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice- cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,novation.remainingParty[href=_broker].href,novation.remainingParty[href=_broker].href,0,,Element with value _broker could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.paymentReference[href=NOVATION_FEE].href,paymentDetails.paymentReference[href=NOVATION_FEE].href,0,,Element with value NOVATION_FEE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowId[cashflowIdScheme=http://www.imgr.com/schemes/cashflow-id].cashflowIdScheme,paymentDetails.grossCashflow.cashflowId[cashflowIdScheme=http://www.imgr.com/schemes/cashflow-id].cashflowIdScheme,0,,Element with value http://www.imgr.com/schemes/cashflow-id could not be mapped to a rosettaField @@ -15,7 +15,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice- cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],0,,Element with value IM/C002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,0,,Element with value http://www.fpml.org/coding-scheme/cashflow-type could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],0,,Element with value Fee could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex52-execution-advice-trade-partial-novation-C02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 38555.00 could not be mapped to a rosettaField @@ -35,7 +35,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice- cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id],0,,Element with value IM/C002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type].cashflowTypeScheme,0,,Element with value http://www.fpml.org/coding-scheme/cashflow-type could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 3 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedMultiple,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,novation.oldTrade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],paymentDetails.grossCashflow.cashflowType[cashflowTypeScheme=http://www.fpml.org/coding-scheme/cashflow-type],0,,Element with value Fee could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 53555.00 could not be mapped to a rosettaField @@ -131,7 +131,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice- cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 4 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,party(1)[id=_broker].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_broker].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,paymentDetails.paymentReference[href=AMENDMENT_FEE].href,paymentDetails.paymentReference[href=AMENDMENT_FEE].href,0,,Element with value AMENDMENT_FEE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowId[cashflowIdScheme=http://www.imgr.com/schemes/cashflow-id].cashflowIdScheme,paymentDetails.grossCashflow.cashflowId[cashflowIdScheme=http://www.imgr.com/schemes/cashflow-id].cashflowIdScheme,0,,Element with value http://www.imgr.com/schemes/cashflow-id could not be mapped to a rosettaField @@ -148,7 +148,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice- cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,0,,Element with value _fund could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 4600.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.xml,Fail_MappedNone,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,0,,Element with value 2009-05-22 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,party(1)[id=_broker].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_broker].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -167,7 +167,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice- cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,paymentDetails.grossCashflow.payerPartyReference[href=_fund].href,0,,Element with value _fund could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,correlationId[correlationIdScheme=http://www.imgr.com/schemes/correlation-id].correlationIdScheme,0,,Element with value http://www.imgr.com/schemes/correlation-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,party(2)[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=_cust].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(2).partyId(0).identifierType=[LEI],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedMultiple,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,amendment.trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] WorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,paymentDetails.grossCashflow.cashflowAmount.amount,paymentDetails.grossCashflow.cashflowAmount.amount,0,,Element with value 4600.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.xml,Fail_MappedNone,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,amendment.trade.documentation.masterConfirmation.masterConfirmationDate,0,,Element with value 2009-05-22 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex63-execution-advice-trade-initiation.xml,Fail_MappedMultiple,party(0)[id=AMAG].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=AMAG].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -248,7 +248,7 @@ cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-el cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-electricity-physical-leg.xml,Fail_MappedNone,trade.commoditySwap.electricityPhysicalLeg.electricity.type,trade.commoditySwap.electricityPhysicalLeg.electricity.type,0,,Element with value Electricity could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Fail_MappedNone,trade.commoditySwap.environmentalPhysicalLeg.paymentDate[id=paymentDateId].periodMultiplier,trade.commoditySwap.environmentalPhysicalLeg.paymentDate[id=paymentDateId].periodMultiplier,0,,Element with value 3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[BBL],Element mapped to already populated field +cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,WorkflowStep.proposedEvent.instruction(0).before.value.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[BBL],Element mapped to already populated field cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifierType=[LEI] WorkflowStep.proposedEvent.instruction(0).before.value.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Fail_MappedNone,trade.commoditySwap.environmentalPhysicalLeg.paymentDate[id=paymentDateId].businessDayConvention,trade.commoditySwap.environmentalPhysicalLeg.paymentDate[id=paymentDateId].businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-environmental-physical-leg.xml,Fail_MappedNone,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,0,,Element with value ESMA could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-aggregated-mapping-failure-report.csv index 7e3d1f0816..b44761a973 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,82.66 +Mapping Coverage,82.88 Input Path,Failed Mapping Count trade.commodityOption.floatingStrikePricePerUnit.commodity.commodityBase,1 @@ -16,7 +16,6 @@ trade.commodityOption.floatingStrikePricePerUnit.commodity.commodityDetails,1 trade.commodityOption.exercise.relativePaymentDates.payRelativeTo,9 trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsScheduleReference.href,6 trade.commodityOption.floatingStrikePricePerUnit.pricingDates.settlementPeriodsReference.href,1 -trade.commodityOption.commodity.deliveryNearby.deliveryNearbyMultiplier,1 trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,4 trade.commoditySwap.marketDisruption.marketDisruptionEvents,5 trade.commodityOption.pricingDates.settlementPeriods.applicableDay,6 @@ -57,7 +56,6 @@ trade.commodityOption.barrier.trigger.triggerType,1 trade.commodityOption.commodity.publication.rateSourcePageHeading,3 trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayType,3 trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyMultiplier,1 -trade.commodityOption.commodity.deliveryNearby.deliveryNearbyType,1 trade.commodityOption.pricingDates.settlementPeriods.endTime.time.location,1 trade.commodityOption.floatingStrikePricePerUnit.averagingMethod,1 trade.commodityOption.floatingStrikePricePerUnit.pricingDates.calculationPeriodsScheduleReference.href,4 @@ -66,7 +64,7 @@ trade.commodityOption.barrier.trigger.levelPrice.priceCurrency,1 trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsReference.href,3 trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayDistribution,3 trade.commodityOption.pricingDates.calculationPeriodsScheduleReference.href,6 -trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,3 +trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,2 trade.commodityOption.floatingStrikePricePerUnit.spread.currency,1 trade.commodityOption.calculationPeriods.unadjustedDate,2 trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId.instrumentIdScheme,4 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-failed-mappings-report.csv index c61ec95acc..ca50a67d31 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-commodity-derivatives-failed-mappings-report.csv @@ -1,26 +1,25 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,0,,Element with value MMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,trade.commoditySwap.fixedLeg.fixedPrice.priceUnit,0,,Element with value MMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg.calculation.pricingDates.dayCount,trade.commoditySwap.floatingLeg.calculation.pricingDates.dayCount,0,,Element with value 3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Fail_MappedNone,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.publication.rateSource,trade.commodityOption.floatingStrikePricePerUnit.commodity.publication.rateSource,0,,Element with value Gas-Daily could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.premium.premiumPerUnit.currency,trade.commodityOption.premium.premiumPerUnit.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.commodity.publication.rateSource,trade.commodityOption.commodity.publication.rateSource,0,,Element with value Gas-Daily could not be mapped to a rosettaField @@ -43,7 +42,7 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-optio cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.commodity.commodityDetails,trade.commodityOption.commodity.commodityDetails,0,,Element with value Louisiana (Henry Hub) could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],0,,Element with value NATURAL GAS-S. LOUISIANA (HENRY HUB)-INSIDE FERC could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.marketDisruptionEvents,trade.commodityOption.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.publication.rateSourcePageHeading,trade.commodityOption.floatingStrikePricePerUnit.commodity.publication.rateSourcePageHeading,0,,Element with value Henry Hub could not be mapped to a rosettaField @@ -67,7 +66,7 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-g cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].applicableDay(0),trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].applicableDay,0,,Element with value MON could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyA.com/coding-scheme/commodity-reference-price-1-0],0,,Element with value NATURAL GAS-SOCAL-GAS DAILY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MW],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MW],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].endTime.time.hourMinuteTime,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].endTime.time.hourMinuteTime,0,,Element with value 22:00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.xml,Fail_MappedNone,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].duration,trade.commodityOption.pricingDates.settlementPeriods[id=settlementPeriods].duration,0,,Element with value 1Hour could not be mapped to a rosettaField @@ -95,7 +94,7 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-opti cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.spread.amount,trade.commodityOption.floatingStrikePricePerUnit.spread.amount,0,,Element with value 0.5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyB.com/coding-scheme/commodity-reference-price],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.companyB.com/coding-scheme/commodity-reference-price],0,,Element with value NATURAL GAS-NYMEX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].calculationPeriodsScheduleReference[href=calculationPeriodsSchedule].href,0,,Element with value calculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.marketDisruptionEvents,trade.commodityOption.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].dayDistribution,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].dayDistribution,0,,Element with value First could not be mapped to a rosettaField @@ -107,11 +106,11 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-opti cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].id,trade.commodityOption.floatingStrikePricePerUnit.pricingDates[id=pricingDates].id,0,,Element with value pricingDates could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex37-gold-forward-offered-rate.xml,Fail_MappedNone,trade.swap.swapStream(1).calculationPeriodAmount.calculation.floatingRateCalculation.floatingRateIndex[floatingRateIndexScheme=http://www.fpml.org/coding-scheme/commodity-floating-rate-index].floatingRateIndexScheme,trade.swap.swapStream.calculationPeriodAmount.calculation.floatingRateCalculation.floatingRateIndex[floatingRateIndexScheme=http://www.fpml.org/coding-scheme/commodity-floating-rate-index].floatingRateIndexScheme,0,,Element with value http://www.fpml.org/coding-scheme/commodity-floating-rate-index could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.xml,Success,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,trade.commoditySwap.fixedLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[MWH],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyMultiplier,trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,party(1)[id=PartyB].organizationType,party[id=PartyB].organizationType,0,,Element with value non-SD/MSP could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.premium.premiumPerUnit.currency,trade.commodityOption.premium.premiumPerUnit.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -120,16 +119,14 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-bar cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0].instrumentIdScheme,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0].instrumentIdScheme,0,,Element with value http://www.fpml.org/coding-scheme/commodity-reference-price-3-0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,party(0)[id=PartyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=PartyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayType,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.dayType,0,,Element with value CommodityBusiness could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyMultiplier,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyMultiplier,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.asset.Commodity.deliveryDateReference.deliveryNearby.periodMultiplier=[1] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.commodity.deliveryDateReference.deliveryNearby.periodMultiplier=[1],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.premium.premiumPerUnit.amount,trade.commodityOption.premium.premiumPerUnit.amount,0,,Element with value 1.00000 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.pricingDates.dayCount,trade.commodityOption.pricingDates.dayCount,0,,Element with value 5 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyType,trade.commodityOption.floatingStrikePricePerUnit.commodity.deliveryNearby.deliveryNearbyType,0,,Element with value NearbyMonth could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.exercise.europeanExercise.exerciseFrequency.periodMultiplier,trade.commodityOption.exercise.europeanExercise.exerciseFrequency.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyType,trade.commodityOption.commodity.deliveryNearby.deliveryNearbyType,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.commodity.deliveryDateReference.deliveryNearby.period=[M] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.asset.Commodity.deliveryDateReference.deliveryNearby.period=[M],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.barrier.trigger.levelPrice.priceCurrency,trade.commodityOption.barrier.trigger.levelPrice.priceCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedMultiple,party(1)[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0],trade.commodityOption.floatingStrikePricePerUnit.commodity.instrumentId[instrumentIdScheme=http://www.fpml.org/coding-scheme/commodity-reference-price-3-0],0,,Element with value OIL-BRENT-IPE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(0).value.unit.capacityUnit=[BBL],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[BBL],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.calculationPeriodsScheduleReference[href=CalculationPeriodsSchedule].href,trade.commodityOption.floatingStrikePricePerUnit.pricingDates.calculationPeriodsScheduleReference[href=CalculationPeriodsSchedule].href,0,,Element with value CalculationPeriodsSchedule could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,party(0)[id=PartyA].organizationType,party[id=PartyA].organizationType,0,,Element with value SD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.xml,Fail_MappedNone,trade.commodityOption.barrier.trigger.levelPrice.priceUnit,trade.commodityOption.barrier.trigger.levelPrice.priceUnit,0,,Element with value BBL could not be mapped to a rosettaField @@ -155,7 +152,7 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electric cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.marketDisruptionEvents,trade.commoditySwap.marketDisruption.marketDisruptionEvents,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.marketDisruption.disruptionFallbacks,trade.commoditySwap.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml,Fail_MappedNone,trade.commoditySwap.floatingLeg(1).notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.xml,Success,trade.commoditySwap.floatingLeg(1).notionalQuantity.quantityUnit,trade.commoditySwap.floatingLeg.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(1).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml,Fail_MappedNone,trade.commodityOption.premium.premiumPerUnit.currency,trade.commodityOption.premium.premiumPerUnit.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml,Fail_MappedNone,trade.commodityOption.marketDisruption.disruptionFallbacks,trade.commodityOption.marketDisruption.disruptionFallbacks,0,,Element with value AsSpecifiedInMasterAgreement could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.xml,Fail_MappedNone,trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsScheduleReference[href=CalculationPeriods].href,trade.commodityOption.exercise.relativePaymentDates.calculationPeriodsScheduleReference[href=CalculationPeriods].href,0,,Element with value CalculationPeriods could not be mapped to a rosettaField @@ -204,7 +201,7 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikeP cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.commodity.unit,trade.commodityOption.commodity.unit,0,,Element with value MMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.commodity.publication.rateSourcePageHeading,trade.commodityOption.commodity.publication.rateSourcePageHeading,0,,Element with value Henry Hub could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedMultiple,party(1)[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.commodity.commodityBase,trade.commodityOption.commodity.commodityBase,0,,Element with value Natural Gas could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.exercise.relativePaymentDates.payRelativeTo,trade.commodityOption.exercise.relativePaymentDates.payRelativeTo,0,,Element with value CalculationPeriodEndDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep(1).currency,trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -219,11 +216,11 @@ cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikeP cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep(0).currency,trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.commodity.unit,trade.commodityOption.commodity.unit,0,,Element with value MMBTU could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.commodity.publication.rateSourcePageHeading,trade.commodityOption.commodity.publication.rateSourcePageHeading,0,,Element with value Henry Hub could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Success,trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate(1),trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).strike.strikePrice.datedValue=[null],had no destination +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Success,trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate(1),trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate,1,TradeState.trade.product.economicTerms.payout.optionPayout(0).strike.strikePrice.datedValue=[null],had no destination cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedMultiple,party(1)[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=PartyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,0,,Element with value MMBTU could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Success,trade.commodityOption.notionalQuantity.quantityUnit,trade.commodityOption.notionalQuantity.quantityUnit,1,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(0).value.unit.capacityUnit=[USMMBTU],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.commodity.commodityBase,trade.commodityOption.commodity.commodityBase,0,,Element with value Natural Gas could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Success,trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate(0),trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).strike.strikePrice.datedValue=[null],had no destination +cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Success,trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate(0),trade.commodityOption.calculationPeriods[id=CalculationPeriods].unadjustedDate,1,TradeState.trade.product.economicTerms.payout.optionPayout(0).strike.strikePrice.datedValue=[null],had no destination cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.exercise.relativePaymentDates.payRelativeTo,trade.commodityOption.exercise.relativePaymentDates.payRelativeTo,0,,Element with value CalculationPeriodEndDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep(1).currency,trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.xml,Fail_MappedNone,trade.commodityOption.calculationPeriods[id=CalculationPeriods].dateAdjustments.businessDayConvention,trade.commodityOption.calculationPeriods[id=CalculationPeriods].dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-aggregated-mapping-failure-report.csv index ba63e61b4a..a9ef1434ff 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-aggregated-mapping-failure-report.csv @@ -1,11 +1,10 @@ -Mapping Coverage,74.79 +Mapping Coverage,76.10 Input Path,Failed Mapping Count trade.correlationSwap.extraordinaryEvents.representations.agreementsRegardingHedging,1 trade.correlationSwap.extraordinaryEvents.failureToDeliver,2 trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForCombined,2 trade.correlationSwap.extraordinaryEvents.representations.nonReliance,1 -trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,3 trade.correlationSwap.correlationLeg.amount.correlation.closingLevel,3 trade.correlationSwap.extraordinaryEvents.tenderOffer,1 trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForOther,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-failed-mappings-report.csv index 69289f1b17..df25c89572 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-correlation-swaps-failed-mappings-report.csv @@ -8,7 +8,6 @@ cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent(2).equity.currency,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent.equity.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent(1).equity.currency,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent.equity.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].id,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].id,0,,Element with value SP500Top3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.xml,Fail_MappedNone,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent(0).equity.currency,trade.correlationSwap.correlationLeg.underlyer.basket[id=SP500Top3].basketConstituent.equity.currency,0,,Element with value USD could not be mapped to a rosettaField @@ -31,7 +30,6 @@ cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234234923420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CORR/2007/05/02/234234923419 could not be mapped to a rosettaField @@ -56,7 +54,6 @@ cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOffer,trade.correlationSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.correlationSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Success,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,trade.correlationSwap.correlationLeg.amount.correlation.notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[15000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[15000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CORR/2007/05/02/234233413420 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-credit-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-credit-derivatives-failed-mappings-report.csv index 6a117ac166..d6396cb9ee 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-credit-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-credit-derivatives-failed-mappings-report.csv @@ -12,14 +12,14 @@ cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-f cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2004-01-26 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.02 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(3),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(3),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2010-11-17 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(4),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(4),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(1),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field -cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(5),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(1),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(5),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.guarantorReference[href=referenceEntity].href,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.guarantorReference[href=referenceEntity].href,0,,Element with value referenceEntity could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(2),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Success,trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency(2),trade.creditDefaultSwap.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency,1,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.settlementTerms.physicalSettlementTerms.deliverableObligations.specifiedCurrency.currency.value=[AUD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.06375 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -111,7 +111,7 @@ cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option- cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 2342342 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2007/01/02/2342322 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=notional].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[notional] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[notional],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.maturity,0,,Element with value 2011-12-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.referenceInformation.referenceObligation.bond.couponRate,0,,Element with value 0.06 could not be mapped to a rosettaField @@ -146,7 +146,7 @@ cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex03-iTraxx-contr cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex04-iBoxx.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex04-iBoxx.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex06-iBoxx-ois.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cdindex-ex06-iBoxx-ois.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -157,7 +157,7 @@ cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObliga cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.messageId[messageIdScheme=www.dtcc.com].messageIdScheme,header.messageId[messageIdScheme=www.dtcc.com].messageIdScheme,0,,Element with value www.dtcc.com could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedMultiple,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,trade.creditDefaultSwap.protectionTerms.calculationAmount[id=calculationAmount].id,2,TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.meta.externalKey=[calculationAmount] TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.meta.externalKey=[calculationAmount],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,header.messageId[messageIdScheme=www.dtcc.com],header.messageId[messageIdScheme=www.dtcc.com],0,,Element with value 123456-002700000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2007/10/30/002400000000001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-basket-tranche.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CORR/2005/01/24/0EB30A0q could not be mapped to a rosettaField @@ -196,9 +196,9 @@ cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-basket.xml,Success,tr cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-basket.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,"trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1].id","trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1].id",0,,Element with value lid1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,trade.creditDefaultSwap.cashSettlementTerms(0)[id=settlementTermsOne].id,trade.creditDefaultSwap.cashSettlementTerms[id=settlementTermsOne].id,0,,Element with value settlementTermsOne could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"TradeState.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.amount,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.amount,3,"TradeState.trade.tradeLot(0).priceQuantity(2).quantity(0).value.value=[10000000, 25000000] +TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.value=[25000000] +TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[25000000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID].messageIdScheme,header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID].messageIdScheme,0,,Element with value http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID],header.messageId[messageIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/messageID],0,,Element with value GW:0EB40A0q could not be mapped to a rosettaField @@ -218,9 +218,9 @@ cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fai cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.maturity,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.maturity,0,,Element with value 2017-02-01 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Fail_MappedNone,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem(0).referencePair.referenceObligation.bond.couponRate,trade.creditDefaultSwap.generalTerms.basketReferenceInformation.referencePool.referencePoolItem.referencePair.referenceObligation.bond.couponRate,0,,Element with value 0.077 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"TradeState.trade.tradableProduct.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD]",Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Success,trade.creditDefaultSwap.protectionTerms(1)[id=protectionTermsTwo].calculationAmount.currency,trade.creditDefaultSwap.protectionTerms[id=protectionTermsTwo].calculationAmount.currency,3,"TradeState.trade.product.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +TradeState.trade.product.economicTerms.payout.creditDefaultPayout.priceQuantity.quantitySchedule.value.unit.currency.value=[USD] +TradeState.trade.tradeLot(0).priceQuantity(2).quantity(0).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.xml,Success,"trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1]","trade.tradeHeader.partyTradeIdentifier.linkId[linkIdScheme=http://www.barclaysglobal.com/partners/schema/v1-1/schemes/linkID,id=lid1]",0,,no destination cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-loan-ReferenceObligation.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/credit-derivatives/cds-loan-ReferenceObligation.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-aggregated-mapping-failure-report.csv index 70fb4aaa15..7e72978203 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-aggregated-mapping-failure-report.csv @@ -1,7 +1,6 @@ -Mapping Coverage,70.03 +Mapping Coverage,71.09 Input Path,Failed Mapping Count -trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,3 trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,6 trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod.paymentDate.relativeDate.businessDayConvention,6 header.inReplyTo,3 @@ -36,5 +35,4 @@ trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExerc trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod.unadjustedEndDate.id,6 header.messageId,6 trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,6 -party.partyId.partyIdScheme,2 -trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,3 \ No newline at end of file +party.partyId.partyIdScheme,2 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-failed-mappings-report.csv index 5e00e8b5c8..6f095003c1 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-dividend-swaps-failed-mappings-report.csv @@ -3,23 +3,22 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fa cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2006/07/02/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/07/04/15-99 could not be mapped to a rosettaField @@ -33,24 +32,23 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collat cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2006/07/02/133 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedStartDate[id=s2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedStartDate[id=s2].id,0,,Element with value s2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -61,23 +59,22 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short- cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.periodMultiplier,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value JPY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[NIKKEI 225 INDEX] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[NIKKEI 225 INDEX],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedMultiple,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2006/07/02/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/07/02/15-99 could not be mapped to a rosettaField @@ -85,13 +82,12 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short- cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.inReplyTo[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.xml,Fail_MappedNone,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].unadjustedEndDate[id=e1].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].unadjustedEndDate[id=e1].id,0,,Element with value e1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField @@ -100,7 +96,7 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value BIC16C could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value BIC1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2009-01-27T15:38:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField @@ -109,19 +105,18 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[STOXX 50 Euro] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[STOXX 50 Euro],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].unadjustedEndDate[id=e1].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].unadjustedEndDate[id=e1].id,0,,Element with value e1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField @@ -132,7 +127,7 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/dummy-party-id, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value CPTY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value GS could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2012-01-27T15:38:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField @@ -144,19 +139,18 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,0,,Element with value EUTA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2012/01/27/123 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[STOXX 50 Euro] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[STOXX 50 Euro],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].valuationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.dateRelativeTo[href=e2].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].unadjustedEndDate[id=e1].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].unadjustedEndDate[id=e1].id,0,,Element with value e1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField @@ -165,7 +159,7 @@ cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value CPTY could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].paymentDate[id=p2].relativeDate.businessDayConvention,2,TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(1).dividendPaymentDate.dividendDate.value.relativeDate.businessDayConvention=[FOLLOWING] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(1).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.businessDayConvention=[FOLLOWING],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value GS could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2012-01-27T15:38:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(1)[id=d2].unadjustedEndDate[id=e2].id,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d2].unadjustedEndDate[id=e2].id,0,,Element with value e2 could not be mapped to a rosettaField @@ -179,8 +173,8 @@ TradeState.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.businessDayConvention,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,trade.dividendSwapOptionTransactionSupplement.equityExercise.equityEuropeanExercise.equityExpirationTime.businessCenter,0,,Element with value EUTA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(0).paymentDate.period,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.period,0,,Element with value D could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedMultiple,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod(0)[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.dividendLeg.dividendPeriod[id=d1].paymentDate[id=p1].relativeDate.dateRelativeTo[href=e1].href,2,"TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.dividendReturnTerms.dividendPeriod(0).dividendPaymentDate.dividendDate.value.relativeDate.dateRelativeTo.externalReference=[e1, e2] +TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.fixedPricePayout(0).settlementTerms.settlementDate.adjustableOrRelativeDate.relativeDate.dateRelativeTo.externalReference=[e1, e2]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment(1).paymentDate.dateRelativeTo[href=p1].href,trade.dividendSwapOptionTransactionSupplement.dividendSwapTransactionSupplement.fixedLeg.fixedPayment.paymentDate.dateRelativeTo[href=p1].href,0,,Element with value p1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2012/01/27/123 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-aggregated-mapping-failure-report.csv index c1c9066a0b..acba529f9f 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,68.85 +Mapping Coverage,71.41 Input Path,Failed Mapping Count trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference.href,3 @@ -7,7 +7,6 @@ trade.equityOption.strike.strikePercentage,1 trade.brokerEquityOption.spotPrice,3 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,3 trade.brokerEquityOption.strategyFeature.strikeSpread.upperStrikeNumberOfOptions,1 -trade.equityOption.equityPremium.pricePerOption.amount,2 trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,2 header.inReplyTo,1 trade.equityOption.methodOfAdjustment,4 @@ -38,7 +37,6 @@ trade.equityOption.extraordinaryEvents.failureToDeliver,1 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,3 trade.equityOption.extraordinaryEvents.compositionOfCombinedConsideration,1 trade.equityOption.equityExercise.equityAmericanExercise.latestExerciseTimeType,2 -trade.equityOption.equityPremium.pricePerOption.currency,2 trade.equityOption.extraordinaryEvents.representations.additionalAcknowledgements,3 trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForCombined,1 trade.equityOption.equityExercise.settlementPriceSource,4 @@ -50,15 +48,11 @@ trade.brokerEquityOption.brokerNotes,3 trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,2 trade.brokerEquityOption.strategyFeature.strikeSpread.upperStrike.strikePrice,1 isCorrection,5 -trade.brokerEquityOption.equityPremium.pricePerOption.currency,3 -trade.equityOption.underlyer.basket.basketConstituent.index.description,1 trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.equityOption.equityPremium.percentageOfNotional,2 header.sendTo,2 -trade.equityOption.underlyer.singleUnderlyer.index.description,2 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,3 trade.equityOption.equityExercise.equityValuation.futuresPriceValuation,1 -trade.brokerEquityOption.equityPremium.pricePerOption.amount,3 trade.brokerEquityOption.brokerageFee.amount,3 trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,3 trade.brokerEquityOption.deltaCrossed,3 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-failed-mappings-report.csv index 496c8440cf..8f25154357 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-options-failed-mappings-report.csv @@ -9,9 +9,7 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-shor cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.partyA.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.spotPrice,trade.brokerEquityOption.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.amount,trade.brokerEquityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.deltaCrossed,trade.brokerEquityOption.deltaCrossed,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.currency,trade.brokerEquityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityExercise.settlementPriceSource,trade.brokerEquityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.brokerageFee.currency,trade.brokerEquityOption.brokerageFee.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -29,9 +27,7 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-s cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.partyA.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.spotPrice,trade.brokerEquityOption.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.amount,trade.brokerEquityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.deltaCrossed,trade.brokerEquityOption.deltaCrossed,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.currency,trade.brokerEquityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityExercise.settlementPriceSource,trade.brokerEquityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.brokerageFee.currency,trade.brokerEquityOption.brokerageFee.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -53,7 +49,6 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-reb cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.equityOption.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.nonReliance,trade.equityOption.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[STOXX 50 Euro] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[STOXX 50 Euro],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2006/04/02/32-05 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField @@ -79,7 +74,6 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long- cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value PARTYBBICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedMultiple,trade.equityOption.underlyer.singleUnderlyer.index.description,trade.equityOption.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[S and P 500] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.index.EquityIndex.name=[S and P 500],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -113,9 +107,7 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.x cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.PartyA.com/messageId/OTC].messageIdScheme,header.messageId[messageIdScheme=http://www.PartyA.com/messageId/OTC].messageIdScheme,0,,Element with value http://www.PartyA.com/messageId/OTC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.spotPrice,trade.brokerEquityOption.spotPrice,0,,Element with value 30.00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.amount,trade.brokerEquityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.deltaCrossed,trade.brokerEquityOption.deltaCrossed,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityPremium.pricePerOption.currency,trade.brokerEquityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.equityExercise.settlementPriceSource,trade.brokerEquityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.xml,Fail_MappedNone,trade.brokerEquityOption.brokerageFee.currency,trade.brokerEquityOption.brokerageFee.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -129,12 +121,10 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-s cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,trade.equityOption.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value AlternativeObligation could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementPriceSource,trade.equityOption.equityExercise.settlementPriceSource,0,,Element with value OfficialClose could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityExercise.equityValuation.valuationTimeType,trade.equityOption.equityExercise.equityValuation.valuationTimeType,0,,Element with value Close could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,trade.equityOption.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.methodOfAdjustment,trade.equityOption.methodOfAdjustment,0,,Element with value CalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField @@ -153,16 +143,13 @@ cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.x cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.equityOption.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedMultiple,trade.equityOption.underlyer.basket.basketConstituent(0).index.description,trade.equityOption.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index] TradeState.trade.tradableProduct.tradeLot(2).priceQuantity(0).observable.basket.basketConstituent(0).index.EquityIndex.name=[FTSE/Xinhua China 25 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],header.sentBy[messageAddressScheme=http://www.MsgParty.com/partyId],0,,Element with value PARTYAC0902 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,trade.equityOption.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.currency,trade.equityOption.equityPremium.pricePerOption.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2000-08-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,trade.equityOption.equityExercise.settlementMethodElectingPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,trade.equityOption.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityPremium.pricePerOption.amount,trade.equityOption.equityPremium.pricePerOption.amount,0,,Element with value 2.70 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.equityOption.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.xml,Fail_MappedNone,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,trade.equityOption.equityExercise.settlementMethodElectionDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-27 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-aggregated-mapping-failure-report.csv index aee2c7f7f7..357411fba3 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,78.55 +Mapping Coverage,80.25 Input Path,Failed Mapping Count trade.returnSwap.returnLeg.rateOfReturn.initialPrice.grossPrice.priceExpression,1 @@ -61,7 +61,6 @@ trade.equitySwapTransactionSupplement.returnLeg.strikeDate.adjustableDate.dateAd correlationId,15 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.commission.commissionAmount,2 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.businessDayConvention,1 -trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,1 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId.instrumentIdScheme,1 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId,1 trade.returnSwap.additionalPayment.paymentType,1 @@ -85,14 +84,12 @@ trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.currency,4 trade.returnSwap.earlyTermination.partyReference.href,12 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.rate,1 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.commission.commissionDenomination,2 -trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.index.description,1 trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissionDenomination,2 trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,2 trade.returnSwap.interestLeg.interestCalculation.fixedRate,1 trade.equitySwapTransactionSupplement.returnLeg.underlyer.singleUnderlyer.equity.currency,5 trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,8 trade.equitySwapTransactionSupplement.breakFeeRate,4 -trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,4 header.inReplyTo,3 trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference.href,1 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,9 @@ -100,19 +97,16 @@ trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.payment trade.equitySwapTransactionSupplement.returnLeg.strikeDate.adjustableDate.unadjustedDate,2 trade.returnSwap.earlyTermination.startingDate.adjustableDate.dateAdjustments.businessDayConvention,2 trade.equitySwapTransactionSupplement.returnLeg.amount.currency.currencyScheme,2 -trade.returnSwap.returnLeg.notional.notionalAmount.amount,12 trade.returnSwap.returnLeg.underlyer.singleUnderlyer.couponPayment.accruedInterest.currency,1 trade.equitySwapTransactionSupplement.optionalEarlyTermination,6 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateOffset.period,1 trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.floatingRate.spreadSchedule.initialValue,1 trade.returnSwap.returnLeg.legIdentifier.legId,3 -trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule.initialValue,5 trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.valuationPriceInterim.valuationRules.fPVFinalPriceElectionFallback,1 trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerSpread.href,6 trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubEndDate.adjustableDate.dateAdjustments.businessDayConvention,1 header.inReplyTo.messageIdScheme,3 trade.returnSwap.returnLeg.underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,1 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.currency,6 header.creationTimestamp,15 trade.returnSwap.additionalPayment.additionalPaymentDate.adjustableDate.unadjustedDate,1 trade.returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.businessDayConvention,1 @@ -120,7 +114,6 @@ trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDat trade.equitySwapTransactionSupplement.returnLeg.strikeDate.adjustableDate.dateAdjustments.businessDayConvention,2 trade.returnSwap.earlyTermination.startingDate.adjustableDate.unadjustedDate,2 trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule.id,6 -trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount.amount,9 trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,2 trade.equitySwapTransactionSupplement.breakFeeElection,4 trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,10 @@ -129,7 +122,6 @@ trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,6 party.partyId.partyIdScheme,6 trade.returnSwap.returnLeg.rateOfReturn.valuationPriceFinal.commission.commissionAmount,2 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,6 -trade.returnSwap.interestLeg.notional.notionalAmount.amount,3 trade.returnSwap.interestLeg.interestAmount.currencyReference.href,10 trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,6 trade.documentation.masterConfirmation.masterConfirmationAnnexDate,6 @@ -145,7 +137,6 @@ trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.quotedC trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.stubStartDate.adjustableDate.dateAdjustments.businessDayConvention,1 trade.returnSwap.interestLeg.interestAmount.referenceAmount,12 trade.returnSwap.returnLeg.rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,1 -trade.returnSwap.returnLeg.notional.notionalAmount.currency,10 trade.returnSwap.interestLeg.id,3 trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,9 trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.dayType,1 @@ -159,7 +150,6 @@ trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.divide trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,6 trade.returnSwap.returnLeg.amount.referenceAmount,12 header.sentBy,15 -trade.returnSwap.interestLeg.notional.notionalAmount.currency,3 header.messageId.messageIdScheme,15 trade.returnSwap.additionalPayment.receiverPartyReference.href,1 trade.returnSwap.additionalPayment.additionalPaymentAmount.paymentAmount.currency,1 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-failed-mappings-report.csv index bcb6c0e58e..98027deb37 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-equity-swaps-failed-mappings-report.csv @@ -7,11 +7,8 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execu cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField @@ -46,8 +43,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2006/07/02/32-09 could not be mapped to a rosettaField @@ -64,7 +59,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(0).partyReference[href=party1].href,trade.returnSwap.earlyTermination.partyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(5).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value GBP could not be mapped to a rosettaField @@ -92,17 +86,10 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.referenceAmount,trade.returnSwap.returnLeg.amount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 8 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(0).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(0).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(0).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=NotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 5591987.41] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[5591987.41]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).index.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(2).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(2).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(2).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField @@ -119,8 +106,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currencyReference[href=ReferenceCurrency].href,trade.returnSwap.returnLeg.amount.currencyReference[href=ReferenceCurrency].href,0,,Element with value ReferenceCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(1).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(1).index.EquityIndex.name=[France CAC 40 Index, Hong Kong Hang Seng Index, IBEX 35]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.nonReliance,trade.returnSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField @@ -129,18 +114,15 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex03-index-quanto-long-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2006/07/02/32-09 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,header.inReplyTo[messageIdScheme=http://www.example.com/messageId],header.inReplyTo[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[France CAC 40 Index] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[France CAC 40 Index],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade.returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,trade.returnSwap.extraordinaryEvents.representations.indexDisclaimer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,trade.returnSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,trade.returnSwap.returnLeg.amount.currency[id=EquityPaymentCurrency].id,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.currency,trade.returnSwap.returnLeg.underlyer.singleUnderlyer.index.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[5591987.41] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[5591987.41],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex06-single-index-long-form.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -172,8 +154,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xm cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.periodMultiplier,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.stubEndDate.relativeDate.dateRelativeTo[href=TerminationDate].href,trade.returnSwap.interestLeg.stubCalculationPeriod.finalStub.stubEndDate.relativeDate.dateRelativeTo[href=TerminationDate].href,0,,Element with value TerminationDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).bond.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 10500000.00] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[10500000.00]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(3).bond.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.description,0,,Element with value Telefonica de Espana could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(0).bond.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -191,11 +171,9 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xm cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.example.com/messageId].messageIdScheme,0,,Element with value http://www.example.com/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2006-07-02T16:38:00+05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedMultiple,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(6).index.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.index.description,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.basket.basketConstituent(6).index.EquityIndex.name=[MSCI World Government Bond Index.] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.basket.basketConstituent(6).index.EquityIndex.name=[MSCI World Government Bond Index.],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.period,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateRelativeTo[href=EffectiveDate].href,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.valuationRules.valuationDate.relativeDateSequence.dateRelativeTo[href=EffectiveDate].href,0,,Element with value EffectiveDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.businessDayConvention,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubStartDate.relativeDate.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).bond.description,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.bond.description,0,,Element with value Nokya Oyj could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubEndDate.adjustableDate.dateAdjustments.businessDayConvention,trade.returnSwap.interestLeg.stubCalculationPeriod.initialStub.stubEndDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value PARTYABICXXX could not be mapped to a rosettaField @@ -223,10 +201,8 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).underlyerSpread[href=US_NOKIV.HE].href,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerSpread[href=US_NOKIV.HE].href,0,,Element with value US_NOKIV.HE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(1)[id=US_NOKIV.HE].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_NOKIV.HE].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(1).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(1).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2006/04/07/15-99 could not be mapped to a rosettaField @@ -241,7 +217,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(1)[id=US_NOKIV.HE].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_NOKIV.HE].id,0,,Element with value US_NOKIV.HE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBorrow,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(3)[id=US_TEF.MC].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TEF.MC].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(3).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.nonReliance,trade.returnSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfHedging,0,,Element with value false could not be mapped to a rosettaField @@ -249,20 +224,15 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(0)[id=US_TIT.ME].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TIT.ME].id,0,,Element with value US_TIT.ME could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(2).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(2)[id=US_TIM.MI].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TIM.MI].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(2).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(0).startingDate.dateRelativeTo[href=TradeDate].href,trade.returnSwap.earlyTermination.startingDate.dateRelativeTo[href=TradeDate].href,0,,Element with value TradeDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.amount.referenceAmount,trade.returnSwap.returnLeg.amount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(5)[id=US_VOD.L].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_VOD.L].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(5).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(4).equity.currency,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(3)[id=US_TEF.MC].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TEF.MC].id,0,,Element with value US_TEF.MC could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1, 19785157.16] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent(4).underlyerSpread[href=US_PTCO.IN].href,trade.returnSwap.returnLeg.underlyer.basket.basketConstituent.underlyerSpread[href=US_PTCO.IN].href,0,,Element with value US_PTCO.IN could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Success,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(4)[id=US_PTCO.IN].initialValue,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_PTCO.IN].initialValue,1,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).price(4).value.value=[0.0050, 19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule(2)[id=US_TIM.MI].id,trade.returnSwap.interestLeg.interestCalculation.floatingRateCalculation.spreadSchedule[id=US_TIM.MI].id,0,,Element with value US_TIM.MI could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField @@ -290,21 +260,16 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.xml,F cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compounding.compoundingSpread,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.compounding.compoundingSpread,0,,Element with value .05 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=equityPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=equityPaymentCurrency].id,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].currency,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=equityNotionalAmount].amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[300000.0] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[300000.0],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg.interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFundingRecovery,trade.equitySwapTransactionSupplement.breakFundingRecovery,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.example.com/messageId],header.messageId[messageIdScheme=http://www.example.com/messageId],0,,Element with value MS/2008/04/07/15-99 could not be mapped to a rosettaField @@ -318,15 +283,10 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-sto cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.currencyReference[href=EquityPaymentCurrency].href,0,,Element with value EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.equitySwapTransactionSupplement.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2008/07/02/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.currency[id=equityPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.currency[id=equityPaymentCurrency].id,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedMultiple,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.index.description,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[GERMAN SE XETRA DAX INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).observable.index.EquityIndex.name=[GERMAN SE XETRA DAX INDEX],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.valuationPriceFinal.valuationRules.futuresPriceValuation,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.valuationPriceFinal.valuationRules.futuresPriceValuation,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[10000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 10000000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.currencyReference[href=equityPaymentCurrency].href,0,,Element with value equityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField @@ -339,8 +299,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-s cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[300000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[60000, 300000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 1.2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -360,15 +318,12 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-s cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.localJurisdiction,trade.equitySwapTransactionSupplement.localJurisdiction,0,,Element with value NotApplicable could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2009/09/01/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationMethod,0,,Element with value LinearZeroYield could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 1000000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 0.1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.equity.currency[id=equityIssuerPaymentCurrency].id,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].underlyer.singleUnderlyer.equity.currency[id=equityIssuerPaymentCurrency].id,0,,Element with value equityIssuerPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -386,7 +341,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-s cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,0,,Element with value InitialAndFinal could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/correlationId].correlationIdScheme,0,,Element with value http://www.example.com/correlationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2009/09/09/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.optionalEarlyTermination,trade.equitySwapTransactionSupplement.optionalEarlyTermination,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].id,0,,Element with value interestLeg could not be mapped to a rosettaField @@ -419,8 +373,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessCenters.businessCenter,0,,Element with value DEFR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[100000, 1000000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessDayConvention,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].strikeDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value FOLLOWING could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.breakFeeRate,trade.equitySwapTransactionSupplement.breakFeeRate,0,,Element with value 0.1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -439,26 +391,20 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post- cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestCalculation.interpolationPeriod,0,,Element with value InitialAndFinal could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,trade.equitySwapTransactionSupplement.interestLeg[id=interestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,trade.equitySwapTransactionSupplement.returnLeg[id=returnLeg].notional[id=equityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.unit.currency.value=[EUR],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CS/2009/09/09/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency1,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Success,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.currency,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].id,trade.returnSwap.interestLeg[id=FI__CFD123456789].id,0,,Element with value FI__CFD123456789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.currency2,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.currency,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.currency[id=settlementCurrency].id,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.currency[id=settlementCurrency].id,0,,Element with value settlementCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.referenceAmount,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.referenceAmount,0,,Element with value ISDA Standard could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.currency,trade.returnSwap.interestLeg[id=FI__CFD123456789].interestAmount.currency,0,,Element with value USD could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Success,trade.returnSwap.returnLeg[id=EQ__CFD123456789].notional.notionalAmount.amount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[48000, 3840000.000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[3840000.000000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.referenceAmount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.rate,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.rate,0,,Element with value 1.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].return.dividendConditions.dividendFxTriggerDate.dividendDateReference,trade.returnSwap.returnLeg[id=EQ__CFD123456789].return.dividendConditions.dividendFxTriggerDate.dividendDateReference,0,,Element with value ExDate could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionDenomination,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionDenomination,0,,Element with value BPS could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.netPrice.priceExpression,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value PercentageOfNotional could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.quoteBasis,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.fxConversion.fxRate.quotedCurrencyPair.quoteBasis,0,,Element with value Currency1PerCurrency2 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Success,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.amount,trade.returnSwap.interestLeg[id=FI__CFD123456789].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[48000, 3840000.000000] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[3840000.000000]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionAmount,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.valuationPriceFinal.commission.commissionAmount,0,,Element with value 0.0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.commission.currency,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.commission.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.xml,Fail_MappedNone,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.grossPrice.priceExpression,trade.returnSwap.returnLeg[id=EQ__CFD123456789].rateOfReturn.initialPrice.grossPrice.priceExpression,0,,Element with value PercentageOfNotional could not be mapped to a rosettaField @@ -470,8 +416,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-i cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,trade.equitySwapTransactionSupplement.returnLeg.amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,"trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme","trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme",0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party2].href,trade.equitySwapTransactionSupplement.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 3 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField @@ -502,8 +446,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-f cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId[exchangeIdScheme=http://www.example.com/exchange-id],trade.equitySwapTransactionSupplement.extraordinaryEvents.specifiedExchangeId[exchangeIdScheme=http://www.example.com/exchange-id],0,,Element with value RE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,"trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme","trade.equitySwapTransactionSupplement.returnLeg.amount.currency[id=settlementCurrency,currencyScheme=http://www.fpml.org/coding-scheme/external/iso4217].currencyScheme",0,,Element with value http://www.fpml.org/coding-scheme/external/iso4217 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId].instrumentIdScheme,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId].instrumentIdScheme,0,,Element with value MonthYearId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Success,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,trade.equitySwapTransactionSupplement.returnLeg.notional[id=equityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,trade.equitySwapTransactionSupplement.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.periodMultiplier,0,,Element with value 2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.xml,Fail_MappedNone,trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId],trade.equitySwapTransactionSupplement.returnLeg.rateOfReturn.exchangeTradedContractNearest.instrumentId[instrumentIdScheme=MonthYearId],0,,Element with value 1005 could not be mapped to a rosettaField @@ -531,11 +473,8 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execu cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,trade.returnSwap.extraordinaryEvents.tenderOfferEvents.shareForShare,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Success,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,trade.returnSwap.returnLeg.notional.notionalAmount[id=EquityNotionalAmount].amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,trade.returnSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.tenderOffer,trade.returnSwap.extraordinaryEvents.tenderOffer,0,,Element with value true could not be mapped to a rosettaField @@ -565,8 +504,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execu cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/correlationId],correlationId[correlationIdScheme=http://www.example.com/correlationId],0,,Element with value CS/2021/08/18/32-09 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.additionalAcknowledgements,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.currency,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[EUR] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.accruedInterest.amount,0,,Element with value 123.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 12345 could not be mapped to a rosettaField @@ -579,8 +516,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.earlyTermination(1).startingDate.adjustableDate.dateAdjustments.businessDayConvention,trade[id=trs-eq1-trade].returnSwap.earlyTermination.startingDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.currencyReference[href=trs-eq1-EquityPaymentCurrency].href,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.currencyReference[href=trs-eq1-EquityPaymentCurrency].href,0,,Element with value trs-eq1-EquityPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].amount.currency[id=trs-eq1-EquityPaymentCurrency].id,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].amount.currency[id=trs-eq1-EquityPaymentCurrency].id,0,,Element with value trs-eq1-EquityPaymentCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.currency,2,"TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] -TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[EUR, USD]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.referenceAmount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.accruedInterest.currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.accruedInterest.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.mergerEvents.shareForOther,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value ModifiedCalculationAgent could not be mapped to a rosettaField @@ -591,8 +526,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.amount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.paymentDate,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.couponPayment.paymentDate,0,,Element with value 2004-01-01 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[760400, 19785157.16, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[19785157.16]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 56789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].rateOfReturn.valuationPriceFinal.commission.commissionPerTrade,0,,Element with value 1234 could not be mapped to a rosettaField @@ -609,8 +542,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=trs-eq1-interestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.dividendPayout.dividendPayment.amount.amount,0,,Element with value 123456.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade[id=trs-eq1-trade].returnSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].notional[id=trs-eq1-EquityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 19785157.16, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.equity[id=trs-eq1-equity-asset].currency,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=trs-eq1-equityLeg].underlyer.singleUnderlyer.equity[id=trs-eq1-equity-asset].currency,0,,Element with value EUR could not be mapped to a rosettaField @@ -637,7 +568,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(7),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2002-05-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,trade.returnSwap.extraordinaryEvents.nationalisationOrInsolvency,0,,Element with value CancellationAndPayment could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Success,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.currency,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.period,trade.returnSwap.returnLeg.return.dividendConditions.dividendPaymentDate.paymentDateOffset.period,0,,Element with value D could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.earlyTermination(1).partyReference[href=party2].href,trade.returnSwap.earlyTermination.partyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(8),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2002-06-13 could not be mapped to a rosettaField @@ -664,8 +594,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(0),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-10-15 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(1),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-11-14 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestAmount.referenceAmount,trade.returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Success,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.amount,trade.returnSwap.returnLeg.notional[id=EquityNotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[760400, 28469376] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[28469376]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.returnLeg.legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade.returnSwap.returnLeg.legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.returnSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.xml,Fail_MappedNone,trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate(2),trade.returnSwap.interestLeg.interestLegCalculationPeriodDates[id=InterestLegPeriodDates].interestLegResetDates.fixingDates.adjustableDates.unadjustedDate,0,,Element with value 2001-12-13 could not be mapped to a rosettaField @@ -694,12 +622,10 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(0)[name=UpfrontPrice].componentDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=UpfrontPrice].componentDescription,0,,Element with value (Coupon * Day Count (30/360)) - (LIBOR * Commencing Index Price * Day Count (ACT/360)) + (Traded Price - Commencing Index Price) could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].formula.formulaDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].formula.formulaDescription,0,,Element with value 31000000.00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateRelativeTo[href=interestCalculationDates].href,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateRelativeTo[href=interestCalculationDates].href,0,,Element with value interestCalculationDates could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Success,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.currency,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.referenceAmount,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.referenceAmount,0,,Element with value Standard ISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestCalculation.fixedRate,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestCalculation.fixedRate,0,,Element with value 0.065 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(0)[name=UpfrontPrice].formula.formulaDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=UpfrontPrice].formula.formulaDescription,0,,Element with value 0.00259535084 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].componentDescription,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].componentDescription,0,,Element with value Notional could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Success,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.amount,trade[id=trs-ex4-trade].returnSwap.returnLeg.notional[id=returnNotional].notionalAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[31000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[31000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.periodMultiplier,trade[id=trs-ex4-trade].returnSwap.interestLeg.interestAmount.calculationDates.relativeDateSequence.dateOffset.periodMultiplier,0,,Element with value 0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent(2)[name=Notional].name,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.formula.formulaComponent[name=Notional].name,0,,Element with value Notional could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.sellerPartyReference[href=party2].href,trade[id=trs-ex4-trade].returnSwap.sellerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField @@ -722,7 +648,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_Map cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.payerPartyReference[href=party1].href,trade[id=trs-ex4-trade].returnSwap.additionalPayment.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.paymentAmount.currency,trade[id=trs-ex4-trade].returnSwap.additionalPayment.additionalPaymentAmount.paymentAmount.currency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.xml,Fail_MappedNone,trade[id=trs-ex4-trade].returnSwap.buyerPartyReference[href=party1].href,trade[id=trs-ex4-trade].returnSwap.buyerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].notional.notionalAmount.currency,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].notional.notionalAmount.currency,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.unit.currency.value=[USD] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.unit.currency.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].id,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].id,0,,Element with value id_InterestLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 12345 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].interestAmount.currencyReference[href=ReturnLegPaymentCurrency].href,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].interestAmount.currencyReference[href=ReturnLegPaymentCurrency].href,0,,Element with value ReturnLegPaymentCurrency could not be mapped to a rosettaField @@ -730,8 +655,6 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-cal cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].amount.currency[id=ReturnLegPaymentCurrency].id,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].amount.currency[id=ReturnLegPaymentCurrency].id,0,,Element with value ReturnLegPaymentCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].interestCalculation[id=InterestCalculation].id,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].interestCalculation[id=InterestCalculation].id,0,,Element with value InterestCalculation could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].interestAmount.referenceAmount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].interestAmount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Success,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].notional[id=NotionalAmount].notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].notional[id=NotionalAmount].notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[212000.0000, 6243400] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[6243400]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.sellerPartyReference[href=Party_2].href,trade[id=trs-eq1-trade].returnSwap.sellerPartyReference[href=Party_2].href,0,,Element with value Party_2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id].legIdScheme,0,,Element with value http://www.partyA.com/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedMultiple,party(0)[id=Party_1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=Party_1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -739,7 +662,5 @@ cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-cal cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].amount.referenceAmount,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].amount.referenceAmount,0,,Element with value StandardISDA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedMultiple,party(1)[id=Party_2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=Party_2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,trade[id=trs-eq1-trade].returnSwap.returnLeg[id=id_ReturnLeg].rateOfReturn.initialPrice.netPrice.priceExpression,0,,Element with value AbsoluteTerms could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Success,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].notional.notionalAmount.amount,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].notional.notionalAmount.amount,2,"TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(0).value.value=[212000.0000, 6243400] -TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).priceQuantity.quantitySchedule.value.value=[6243400]",Element mapped to already populated field cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],trade[id=trs-eq1-trade].returnSwap.interestLeg[id=id_InterestLeg].legIdentifier.legId[legIdScheme=http://www.partyA.com/leg-id],0,,Element with value 56789 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.xml,Fail_MappedNone,trade[id=trs-eq1-trade].returnSwap.buyerPartyReference[href=Party_1].href,trade[id=trs-eq1-trade].returnSwap.buyerPartyReference[href=Party_1].href,0,,Element with value Party_1 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-aggregated-mapping-failure-report.csv index 72b38c8491..d046db9ae8 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-aggregated-mapping-failure-report.csv @@ -1,7 +1,9 @@ -Mapping Coverage,70.23 +Mapping Coverage,67.32 Input Path,Failed Mapping Count trade.fxOption.europeanExercise.expiryTime.businessCenter.id,1 +trade.fxSingleLeg.exchangedCurrency1.payerPartyReference.href,6 +trade.fxSwap.nearLeg.tenorPeriod.period,1 trade.fxSwap.farLeg.tradeIdentifierReference.href,3 trade.fxOption.premium.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId,2 trade.fxSingleLeg.exchangeRate.pointValue,1 @@ -15,17 +17,20 @@ trade.fxSingleLeg.disruption.referenceCurrency,1 trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId,2 trade.fxVolatilitySwap.vegaNotional.currency,1 correlationId.correlationIdScheme,15 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,1 trade.fxSwap.farLeg.exchangeRate.pointValue,1 sequenceNumber,15 trade.fxOption.features.asian.rateObservation.rate,10 +trade.fxSwap.farLeg.tenorPeriod.period,1 header.sendTo.messageAddressScheme,16 trade.fxSwap.nearLeg.tradeIdentifierReference.href,3 trade.fxSingleLeg.disruption.baseCurrency,1 +trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference.href,3 header.creationTimestamp,17 trade.fxVarianceSwap.fixingInformationSource.primaryRateSource.rateSource,1 +trade.fxSingleLeg.tenorPeriod.period,1 trade.fxOption.premium.settlementInformation.settlementInstruction.correspondentInformation.routingIds.routingId.routingIdCodeScheme,2 trade.fxSingleLeg.exchangedCurrency2.settlementInformation.standardSettlementStyle,1 +trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference.href,6 header.messageId,17 header.sentBy.messageAddressScheme,16 trade.fxOption.premium.quote.quoteBasis,2 @@ -33,20 +38,24 @@ trade.fxSwap.farLeg.dealtCurrency,1 party.partyId.partyIdScheme,30 trade.fxSwap.nearLeg.dealtCurrency,1 trade.fxSingleLeg.disruption.provisions.applicableTerms,1 +trade.fxSwap.farLeg.tenorPeriod.periodMultiplier,1 +trade.fxSingleLeg.tenorPeriod.periodMultiplier,1 +trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference.href,3 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.primaryRateSource,1 trade.fxOption.premium.quote.value,2 trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,1 +trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference.href,3 trade.fxOption.features.asian.rateObservationQuoteBasis,2 correlationId,15 header.sentBy,17 header.messageId.messageIdScheme,17 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,1 trade.fxVolatilitySwap.fixingInformationSource.primaryRateSource.rateSource,1 isCorrection,17 +trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference.href,3 header.sendTo,17 trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,1 trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.secondaryRateSource,1 -trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,1 +trade.fxSwap.nearLeg.tenorPeriod.periodMultiplier,1 trade.fxSingleLeg.exchangeRate.crossRate.rate,2 trade.fxSingleLeg.exchangeRate.crossRate.quoteBasis,2 trade.fxOption.premium.settlementInformation.settlementInstruction.beneficiary.routingIds.routingId.routingIdCodeScheme,2 diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-failed-mappings-report.csv index b8e3f7c071..a5e8f5036c 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-fx-derivatives-failed-mappings-report.csv @@ -5,6 +5,8 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_Mapp cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value MATCHSRV could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-10-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -25,6 +27,8 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rat cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(1).currency1,trade.fxSingleLeg.exchangeRate.crossRate.currency1,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(0).currency2,trade.fxSingleLeg.exchangeRate.crossRate.currency2,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.crossRate(1).rate,trade.fxSingleLeg.exchangeRate.crossRate.rate,0,,Element with value 0.9325 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-10-23T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -39,6 +43,8 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_Mappe cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value ABN could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-11-19T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -53,6 +59,8 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangeRate.pointValue,trade.fxSingleLeg.exchangeRate.pointValue,0,,Element with value 0.0001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value ABN could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2001-11-19T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField @@ -64,15 +72,14 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId],correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId],0,,Element with value FX987 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value CSFBUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency2,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.currency2.value=[INR] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.currency2.value=[INR],Element mapped to already populated field -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.quoteBasis,3,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.quoteBasis=[Currency2PerCurrency1] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.quoteBasis=[Currency2PerCurrency1] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.assetClass=[ForeignExchange],Element mapped to already populated field -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Success,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,trade.fxSingleLeg.nonDeliverableSettlement.fixing.quotedCurrencyPair.currency1,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.ForeignExchangeRate.quotedCurrencyPair.currency1.value=[USD] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.forwardPayout(0).settlementTerms.cashSettlementTerms(0).valuationMethod.valuationSource.quotedCurrencyPair.currency1.value=[USD],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value PARTYAUS33 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-01-05T15:38:00-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.xml,Fail_MappedNone,correlationId[correlationIdScheme=hhttp://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,correlationId[correlationIdScheme=hhttp://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,0,,Element with value hhttp://www.partyA.com/coding-scheme/correlationId could not be mapped to a rosettaField @@ -83,9 +90,13 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_Mapp cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-01-05T15:38:00-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.partyA.com/coding-scheme/correlationId].correlationIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/correlationId could not be mapped to a rosettaField @@ -177,34 +188,38 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-param cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservationQuoteBasis,trade.fxOption.features.asian.rateObservationQuoteBasis,0,,Element with value PutCurrencyPerCallCurrency could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],0,,Element with value FX87654 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CRR/2007/01/04/2342342 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(3).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.21616 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(1).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.34527 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(2).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.26109 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],0,,Element with value FX87654 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(3).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.21616 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value PARTYAUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2010-11-05T12:34:56-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(4).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.24930 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(0).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.34527 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservation(2).rate,trade.fxOption.features.asian.rateObservation.rate,0,,Element with value 12.26109 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,trade.fxOption.features.asian.rateObservationQuoteBasis,trade.fxOption.features.asian.rateObservationQuoteBasis,0,,Element with value PutCurrencyPerCallCurrency could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId],0,,Element with value FX87654 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CRR/2007/01/04/2342342 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],header.sendTo[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value PARTYAUS33 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],header.sentBy[messageAddressScheme=http://www.partyA.com/partyId],0,,Element with value DEUTDEFF could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-01-05T15:38:00-05:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLegId].href,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLegId].href,0,,Element with value nearLegId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/messageId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLegId].href,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLegId].href,0,,Element with value farLegId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.partyA.com/partyId].messageAddressScheme,0,,Element with value http://www.partyA.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields @@ -219,6 +234,9 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-dis cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,trade.fxSingleLeg.disruption.provisions.events.priceMateriality.secondaryRateSource,0,,Element with value BRL12 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],header.sentBy[messageAddressScheme=http://www.matchingservice.com/partyId],0,,Element with value ABN could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,trade.fxSingleLeg.disruption.provisions.fallbacks.fallbackReferencePrice.primaryRateSource,0,,Element with value BRL09 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,trade.fxSingleLeg.exchangedCurrency1.receiverPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.tenorPeriod.period,trade.fxSingleLeg.tenorPeriod.period,0,,Element with value M could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,trade.fxSingleLeg.exchangedCurrency1.payerPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2013-04-16T22:00:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId].messageIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/messageId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField @@ -228,12 +246,15 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-dis cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.disruption.baseCurrency,trade.fxSingleLeg.disruption.baseCurrency,0,,Element with value USD could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,header.sendTo[messageAddressScheme=http://www.matchingservice.com/partyId].messageAddressScheme,0,,Element with value http://www.matchingservice.com/partyId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId].correlationIdScheme,0,,Element with value http://www.matchingservice.com/coding-scheme/correlationId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,trade.fxSingleLeg.tenorPeriod.periodMultiplier,trade.fxSingleLeg.tenorPeriod.periodMultiplier,0,,Element with value 6 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId],header.messageId[messageIdScheme=http://www.matchingservice.com/coding-scheme/messageId],0,,Element with value FX456a789b could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId],correlationId[correlationIdScheme=http://www.matchingservice.com/coding-scheme/correlationId],0,,Element with value FX987 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,correlationId[correlationIdScheme=MarkitSERV],correlationId[correlationIdScheme=MarkitSERV],0,,Element with value CORRELATIONID could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2013-01-01T00:00:00.000Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,correlationId[correlationIdScheme=MarkitSERV].correlationIdScheme,correlationId[correlationIdScheme=MarkitSERV].correlationIdScheme,0,,Element with value MarkitSERV could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tenorPeriod.period,trade.fxSwap.farLeg.tenorPeriod.period,0,,Element with value Y could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.dealtCurrency,trade.fxSwap.farLeg.dealtCurrency,0,,Element with value ExchangedCurrency2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tenorPeriod.periodMultiplier,trade.fxSwap.nearLeg.tenorPeriod.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.dealtCurrency,trade.fxSwap.nearLeg.dealtCurrency,0,,Element with value ExchangedCurrency1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tradeIdentifierReference(1)[href=farLeg2].href,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLeg2].href,0,,Element with value farLeg2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value STP_Client could not be mapped to a rosettaField @@ -241,12 +262,18 @@ cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangeRate.pointValue,trade.fxSwap.farLeg.exchangeRate.pointValue,0,,Element with value 0.001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tradeIdentifierReference(1)[href=nearLeg2].href,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLeg2].href,0,,Element with value nearLeg2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=Counterparty].href,trade.fxSwap.nearLeg.exchangedCurrency1.payerPartyReference[href=Counterparty].href,0,,Element with value Counterparty could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=ExecutingParty].href,trade.fxSwap.nearLeg.exchangedCurrency1.receiverPartyReference[href=ExecutingParty].href,0,,Element with value ExecutingParty could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=Counterparty].href,trade.fxSwap.farLeg.exchangedCurrency1.receiverPartyReference[href=Counterparty].href,0,,Element with value Counterparty could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.exchangeRate.pointValue,trade.fxSwap.nearLeg.exchangeRate.pointValue,0,,Element with value 0.001 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.messageId[messageIdScheme=MarkitSERV].messageIdScheme,header.messageId[messageIdScheme=MarkitSERV].messageIdScheme,0,,Element with value MarkitSERV could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,header.messageId[messageIdScheme=MarkitSERV],header.messageId[messageIdScheme=MarkitSERV],0,,Element with value MESSAGEID could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tradeIdentifierReference(0)[href=nearLeg].href,trade.fxSwap.nearLeg.tradeIdentifierReference[href=nearLeg].href,0,,Element with value nearLeg could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tradeIdentifierReference(0)[href=farLeg].href,trade.fxSwap.farLeg.tradeIdentifierReference[href=farLeg].href,0,,Element with value farLeg could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.nearLeg.tenorPeriod.period,trade.fxSwap.nearLeg.tenorPeriod.period,0,,Element with value Y could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.tenorPeriod.periodMultiplier,trade.fxSwap.farLeg.tenorPeriod.periodMultiplier,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.xml,Fail_MappedNone,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=ExecutingParty].href,trade.fxSwap.farLeg.exchangedCurrency1.payerPartyReference[href=ExecutingParty].href,0,,Element with value ExecutingParty could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2011-03-01T08:57:00Z could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.xml,Fail_MappedNone,header.sendTo[messageAddressScheme=http://www.executionnotificationservice.com/partyId],header.sendTo[messageAddressScheme=http://www.executionnotificationservice.com/partyId],0,,Element with value PARTYA could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.executionnotificationservice.com/partyId],header.sentBy[messageAddressScheme=http://www.executionnotificationservice.com/partyId],0,,Element with value EXECSRV could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-aggregated-mapping-failure-report.csv index 6fa22c66b2..a01ab8f7e5 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-aggregated-mapping-failure-report.csv @@ -1,8 +1,9 @@ -Mapping Coverage,96.07 +Mapping Coverage,95.64 Input Path,Failed Mapping Count trade.swap.swapStream.id,60 trade.tradeHeader.partyTradeInformation.category,6 +trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters.businessCenter,2 trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedRelevantSwapEffectiveDate,1 trade.swap.earlyTerminationProvision.optionalEarlyTermination.cashSettlement.collateralizedCashPriceMethod.agreedDiscountRate,1 trade.swaption.cashSettlement.collateralizedCashPriceMethod.cashSettlementCurrency,1 @@ -27,15 +28,15 @@ trade.swaption.cashSettlement.collateralizedCashPriceMethod.mutuallyAgreedCleari trade.tradeHeader.partyTradeInformation.executionVenueType,2 trade.tradeHeader.partyTradeInformation.relatedParty.partyReference.href,2 header.messageId,3 +trade.bulletPayment.payment.receiverPartyReference.href,1 header.sentBy.messageAddressScheme,3 trade.swaption.swap.earlyTerminationProvision.mandatoryEarlyTermination.mandatoryEarlyTerminationDate.id,1 party.partyId.partyIdScheme,90 trade.swaption.europeanExercise.expirationDate.adjustableDate.unadjustedDate.id,1 trade.tradeHeader.partyTradeInformation.reportingRegime.supervisorRegistration.supervisoryBody,6 trade.swaption.physicalSettlement.mutuallyAgreedClearinghouse.identifier.idScheme,1 -trade.swap.swapStream.calculationPeriodAmount.calculation.floatingRateCalculation.floatingRateIndex,1 +trade.bulletPayment.payment.payerPartyReference.href,1 trade.swaption.cashSettlement.collateralizedCashPriceMethod.settlementRateSource.informationSource.rateSource,1 -trade.swap.swapStream.stubCalculationPeriodAmount.initialStub.floatingRate.floatingRateIndex,1 trade.tradeHeader.partyTradeIdentifier.partyReference.href,2 trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedExerciseDate,1 trade.tradeHeader.partyTradeInformation.clearingStatus,2 @@ -43,6 +44,8 @@ trade.swaption.swap.swapStream.id,6 trade.swaption.physicalSettlement.agreedDiscountRate,1 trade.swaption.cashSettlement.collateralizedCashPriceMethod.mutuallyAgreedClearinghouse.identifier,1 trade.swap.swapStream.settlementProvision.nonDeliverableSettlement.priceSourceDisruption.fallbackReferencePrice.valuationPostponement.maximumDaysOfPostponement,1 +trade.bulletPayment.payment.paymentDate.dateAdjustments.businessDayConvention,1 +trade.bulletPayment.payment.paymentDate.unadjustedDate,1 trade.tradeHeader.partyTradeInformation.timestamps.timestamp.value,6 correlationId,3 trade.swap.earlyTerminationProvision.optionalEarlyTermination.cashSettlement.collateralizedCashPriceMethod.cashSettlementCurrency,1 @@ -54,6 +57,7 @@ trade.swaption.physicalSettlement.settlementRateSource.informationSource.rateSou isCorrection,3 trade.swap.swapStream.resetDates.rateCutOffDaysOffset.dayType,1 trade.swaption.physicalSettlement.quotationRateType,1 +trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters.id,1 header.sendTo,3 trade.swap.swapStream.settlementProvision.nonDeliverableSettlement.priceSourceDisruption.fallbackReferencePrice.fallbackSettlementRateOption,1 trade.swap.swapStream.calculationPeriodAmount.calculation.floatingRateCalculation.averagingMethod,2 @@ -64,5 +68,4 @@ trade.tradeHeader.partyTradeInformation.category.categoryScheme,6 trade.swaption.physicalSettlement.mutuallyAgreedClearinghouse.identifier,1 originatingEvent.originatingEventScheme,2 trade.tradeHeader.partyTradeInformation.reportingRegime.name,6 -trade.swap.swapStream.settlementProvision.nonDeliverableSettlement.priceSourceDisruption.fallbackReferencePrice.calculationAgentDetermination.calculationAgentParty,1 -trade.swap.swapStream.stubCalculationPeriodAmount.finalStub.floatingRate.floatingRateIndex,1 \ No newline at end of file +trade.swap.swapStream.settlementProvision.nonDeliverableSettlement.priceSourceDisruption.fallbackReferencePrice.calculationAgentDetermination.calculationAgentParty,1 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-failed-mappings-report.csv index 7ed7eb22c1..84872da0df 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-interest-rate-derivatives-failed-mappings-report.csv @@ -18,12 +18,9 @@ cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04a-arrears- cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05-long-stub-swap.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05-long-stub-swap.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedNone,trade.swap.swapStream(1)[id=InterestRateSwap-64209466-Fixed-leg-1].id,trade.swap.swapStream[id=InterestRateSwap-64209466-Fixed-leg-1].id,0,,Element with value InterestRateSwap-64209466-Fixed-leg-1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=InterestRateSwap-64209466-Floating-leg-2].calculationPeriodAmount.calculation.floatingRateCalculation.floatingRateIndex,trade.swap.swapStream[id=InterestRateSwap-64209466-Floating-leg-2].calculationPeriodAmount.calculation.floatingRateCalculation.floatingRateIndex,0,,Element with value JPY-TIBOR-DTIBOR could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=InterestRateSwap-64209466-Floating-leg-2].stubCalculationPeriodAmount.finalStub.floatingRate.floatingRateIndex,trade.swap.swapStream[id=InterestRateSwap-64209466-Floating-leg-2].stubCalculationPeriodAmount.finalStub.floatingRate.floatingRateIndex,0,,Element with value JPY-TIBOR-DTIBOR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=InterestRateSwap-64209466-Floating-leg-2].id,trade.swap.swapStream[id=InterestRateSwap-64209466-Floating-leg-2].id,0,,Element with value InterestRateSwap-64209466-Floating-leg-2 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=InterestRateSwap-64209466-Floating-leg-2].stubCalculationPeriodAmount.initialStub.floatingRate.floatingRateIndex,trade.swap.swapStream[id=InterestRateSwap-64209466-Floating-leg-2].stubCalculationPeriodAmount.initialStub.floatingRate.floatingRateIndex,0,,Element with value JPY-TIBOR-DTIBOR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06-xccy-swap.xml,Fail_MappedMultiple,party(0)[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party1].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06-xccy-swap.xml,Fail_MappedMultiple,party(1)[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=party2].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06a-xccy-swap.xml,Fail_MappedNone,trade.swap.swapStream(1)[id=CrossCurrencySwap-64209467-Fixed-leg-1].id,trade.swap.swapStream[id=CrossCurrencySwap-64209467-Fixed-leg-1].id,0,,Element with value CrossCurrencySwap-64209467-Fixed-leg-1 could not be mapped to a rosettaField @@ -54,7 +51,7 @@ cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09a-euro-swa cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09a-euro-swaption-explicit.xml,Fail_MappedNone,trade.swaption.swap.swapStream(1)[id=Swaption-64209470-Fixed-leg-1].id,trade.swaption.swap.swapStream[id=Swaption-64209470-Fixed-leg-1].id,0,,Element with value Swaption-64209470-Fixed-leg-1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09a-euro-swaption-explicit.xml,Fail_MappedMultiple,party(0)[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyA].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(0).partyId(0).identifierType=[LEI] TradeState.trade.party(0).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09a-euro-swaption-explicit.xml,Fail_MappedMultiple,party(1)[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=partyB].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,TradeState.trade.party(1).partyId(0).identifierType=[LEI] TradeState.trade.party(1).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/external/iso17442],Element mapped to multiple rosettaFields -cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex11-euro-swaption-partial-auto-ex.xml,Success,trade.swaption.europeanExercise.partialExercise.notionalReference(1)[href=notional1].href,trade.swaption.europeanExercise.partialExercise.notionalReference[href=notional1].href,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).exerciseTerms.partialExercise.notionaReference.externalReference=[notional0],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex11-euro-swaption-partial-auto-ex.xml,Success,trade.swaption.europeanExercise.partialExercise.notionalReference(1)[href=notional1].href,trade.swaption.europeanExercise.partialExercise.notionalReference[href=notional1].href,1,TradeState.trade.product.economicTerms.payout.optionPayout(0).exerciseTerms.partialExercise.notionaReference.externalReference=[notional0],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex13-euro-swaption-cash-with-cfs.xml,Fail_MappedNone,trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedRelevantSwapEffectiveDate,trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedRelevantSwapEffectiveDate,0,,Element with value 2001-08-30 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex13-euro-swaption-cash-with-cfs.xml,Fail_MappedNone,trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedExerciseDate,trade.swaption.swaptionAdjustedDates.exerciseEvent.adjustedExerciseDate,0,,Element with value 2001-08-28 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex14-berm-swaption.xml,Fail_MappedNone,trade.swaption.bermudaExercise[id=bermudaExercise0].id,trade.swaption.bermudaExercise[id=bermudaExercise0].id,0,,Element with value bermudaExercise0 could not be mapped to a rosettaField @@ -66,6 +63,13 @@ cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex18-opt-berm- cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex19-opt-amer-term-swap.xml,Success,trade.swap.earlyTerminationProvision.optionalEarlyTermination.exerciseNotice.partyReference[href=party2].href,trade.swap.earlyTerminationProvision.optionalEarlyTermination.exerciseNotice.partyReference[href=party2].href,0,,no destination cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex20-euro-cancel-swap.xml,Success,trade.swap.cancelableProvision.exerciseNotice.partyReference[href=party1].href,trade.swap.cancelableProvision.exerciseNotice.partyReference[href=party1].href,0,,no destination cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex21-euro-extend-swap.xml,Success,trade.swap.extendibleProvision.exerciseNotice.partyReference[href=party1].href,trade.swap.extendibleProvision.exerciseNotice.partyReference[href=party1].href,0,,no destination +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter(1),trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter,0,,Element with value USNY could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessDayConvention,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessDayConvention,0,,Element with value MODFOLLOWING could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].id,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].id,0,,Element with value businessCenters0 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.receiverPartyReference[href=party2].href,trade.bulletPayment.payment.receiverPartyReference[href=party2].href,0,,Element with value party2 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter(0),trade.bulletPayment.payment.paymentDate.dateAdjustments.businessCenters[id=businessCenters0].businessCenter,0,,Element with value GBLO could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.paymentDate.unadjustedDate,trade.bulletPayment.payment.paymentDate.unadjustedDate,0,,Element with value 2001-07-27 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.xml,Fail_MappedNone,trade.bulletPayment.payment.payerPartyReference[href=party1].href,trade.bulletPayment.payment.payerPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex30-swap-comp-avg-relative-date.xml,Fail_MappedNone,trade.swap.swapStream(0)[id=swapStream_0_0].id,trade.swap.swapStream[id=swapStream_0_0].id,0,,Element with value swapStream_0_0 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex30-swap-comp-avg-relative-date.xml,Fail_MappedNone,trade.swap.swapStream(1)[id=swapStream_0_1].id,trade.swap.swapStream[id=swapStream_0_1].id,0,,Element with value swapStream_0_1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/interest-rate-derivatives/ird-ex31-non-deliverable-settlement-swap.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-aggregated-mapping-failure-report.csv index 3d7187cf43..0251e15284 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-aggregated-mapping-failure-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-aggregated-mapping-failure-report.csv @@ -1,4 +1,4 @@ -Mapping Coverage,72.04 +Mapping Coverage,74.67 Input Path,Failed Mapping Count trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,2 @@ -18,7 +18,6 @@ trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.lossOfStockBor trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.failureToDeliver,1 header.creationTimestamp,5 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,1 -trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,2 trade.varianceSwap.extraordinaryEvents.tenderOffer,1 trade.varianceOptionTransactionSupplement.equityExercise.equityValuation.futuresPriceValuation,2 header.messageId,5 @@ -33,10 +32,8 @@ trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.exp trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.version,3 trade.varianceSwap.extraordinaryEvents.representations.nonReliance,1 trade.varianceSwap.extraordinaryEvents.compositionOfCombinedConsideration,1 -trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,4 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.insolvencyFiling,1 trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.equity.currency,2 -trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,3 trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId.legIdScheme,3 trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,1 trade.varianceSwap.extraordinaryEvents.representations.agreementsRegardingHedging,1 @@ -55,7 +52,6 @@ trade.varianceSwap.extraordinaryEvents.nationalisationOrInsolvency,1 trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.currency,1 trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForShare,1 trade.varianceSwap.extraordinaryEvents.tenderOfferEvents.shareForCombined,1 -trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,2 trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,1 trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForOther,1 trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexCancellation,1 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-failed-mappings-report.csv index 7c2ebdac77..511b735c31 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-variance-swaps-failed-mappings-report.csv @@ -5,7 +5,6 @@ cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-singl cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.unadjustedDate,0,,Element with value 2004-09-23 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Success,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[350000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[350000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,trade.varianceSwap.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,trade.varianceSwap.varianceLeg.amount.variance.exchangeTradedContractNearest.expirationDate.adjustableDate.dateAdjustments.businessDayConvention,0,,Element with value NONE could not be mapped to a rosettaField @@ -21,14 +20,12 @@ cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.hedgingDisruption,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(0).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 234234234 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(1).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,0,,Element with value http://www.xyz.com/coding-scheme/leg-id could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Success,trade.varianceSwap.varianceLeg(0).amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[1000000] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.representations.agreementsRegardingHedging,trade.varianceSwap.extraordinaryEvents.representations.agreementsRegardingHedging,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.compositionOfCombinedConsideration,trade.varianceSwap.extraordinaryEvents.compositionOfCombinedConsideration,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(2).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,0,,Element with value http://www.xyz.com/coding-scheme/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForOther,trade.varianceSwap.extraordinaryEvents.mergerEvents.shareForOther,0,,Element with value CalculationAgent could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(2).underlyer.singleUnderlyer.equity.currency,trade.varianceSwap.varianceLeg.underlyer.singleUnderlyer.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.representations.nonReliance,trade.varianceSwap.extraordinaryEvents.representations.nonReliance,0,,Element with value true could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Success,trade.varianceSwap.varianceLeg(1).amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(1).priceQuantity.quantitySchedule.value.value=[1000000] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(1).quantity(1).value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.varianceLeg(1).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwap.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 93949033 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.changeInLaw,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexModification,0,,Element with value RelatedExchange could not be mapped to a rosettaField @@ -39,7 +36,6 @@ cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.abc.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.abc.com/coding-scheme/message-id],0,,Element with value 283920 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.abc.com/coding-scheme/party-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.determiningPartyReference[href=party1].href,0,,Element with value party1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Success,trade.varianceSwap.varianceLeg(2).amount.variance.varianceAmount.amount,trade.varianceSwap.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(2).priceQuantity.quantitySchedule.value.value=[1000000] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(2).quantity(1).value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,trade.varianceSwap.extraordinaryEvents.indexAdjustmentEvents.indexDisruption,0,,Element with value CalculationAgentAdjustment could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.abc.com/coding-scheme/party-id],0,,Element with value ABC290 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.xml,Fail_MappedNone,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,trade.varianceSwap.extraordinaryEvents.additionalDisruptionEvents.increasedCostOfStockBorrow,0,,Element with value false could not be mapped to a rosettaField @@ -74,10 +70,7 @@ cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id].legIdScheme,0,,Element with value http://www.xyz.com/coding-scheme/leg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 92902092 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(1).legIdentifier.version,trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.version,0,,Element with value 1 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Success,trade.varianceSwapTransactionSupplement.varianceLeg(0).amount.variance.varianceAmount.amount,trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Success,trade.varianceSwapTransactionSupplement.varianceLeg(2).amount.variance.varianceAmount.amount,trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(2).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Success,trade.varianceSwapTransactionSupplement.varianceLeg(1).amount.variance.varianceAmount.amount,trade.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,1,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.performancePayout(1).priceQuantity.quantitySchedule.value.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).legIdentifier.version,trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.version,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(2).underlyer.singleUnderlyer.equity.currency,trade.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.equity.currency,0,,Element with value EUR could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField @@ -85,28 +78,25 @@ cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,trade.varianceSwapTransactionSupplement.varianceLeg(0).legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],trade.varianceSwapTransactionSupplement.varianceLeg.legIdentifier.legId[legIdScheme=http://www.xyz.com/coding-scheme/leg-id],0,,Element with value 92002 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value 234239 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value BIC16C could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[33333.33],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value BIC1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2009-01-27T15:38:00-00:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,0,,Element with value http://www.fpml.org/msg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.documentation.masterConfirmation.masterConfirmationAnnexDate,trade.documentation.masterConfirmation.masterConfirmationAnnexDate,0,,Element with value 2009-01-07 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedMultiple,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[FTSE 100 INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[FTSE 100 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id],header.messageId[messageIdScheme=http://www.fpml.org/msg-id],0,,Element with value 123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value CW/2009/01/27/123 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.sendTo,header.sendTo,0,,Element with value BIC16C could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.varianceAmount.amount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[33333.33],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.sentBy,header.sentBy,0,,Element with value BIC1 could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2009-01-27T15:38:00-00:00 could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field +cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Success,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[33333.33] TradeState.trade.product.economicTerms.payout.optionPayout(0).underlier.Product.NonTransferableProduct.economicTerms.payout.performancePayout(0).returnTerms.varianceReturnTerms.vegaNotionalAmount.value=[1000000],Element mapped to already populated field cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,header.messageId[messageIdScheme=http://www.fpml.org/msg-id].messageIdScheme,0,,Element with value http://www.fpml.org/msg-id could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.amount.variance.closingLevel,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField @@ -114,7 +104,6 @@ cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-tra cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedMultiple,party(2)[id=clearing-svc].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,party[id=clearing-svc].partyId[partyIdScheme=http://www.fpml.org/coding-scheme/external/iso17442].partyIdScheme,2,"TradeState.trade.party(2).partyId(0).identifierType=[LEI] TradeState.trade.party(2).partyId(0).identifier.meta.scheme=[http://www.fpml.org/coding-scheme/dummy-party-id, http://www.fpml.org/coding-scheme/external/iso17442]",Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField -cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedMultiple,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.varianceLeg.underlyer.singleUnderlyer.index.description,2,TradeState.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).underlier.contractualProduct.economicTerms.payout.performancePayout(0).underlier.index.EquityIndex.name=[FTSE 100 INDEX] TradeState.trade.tradableProduct.tradeLot(1).priceQuantity(0).observable.index.EquityIndex.name=[FTSE 100 INDEX],Element mapped to multiple rosettaFields cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,trade.varianceOptionTransactionSupplement.equityExercise.equityValuation[id=valuationDate].futuresPriceValuation,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,trade.varianceOptionTransactionSupplement.varianceSwapTransactionSupplement.multipleExchangeIndexAnnexFallback,0,,Element with value false could not be mapped to a rosettaField cdm-sample-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-volatility-swaps-aggregated-mapping-failure-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-volatility-swaps-aggregated-mapping-failure-report.csv new file mode 100644 index 0000000000..3408baddd9 --- /dev/null +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-volatility-swaps-aggregated-mapping-failure-report.csv @@ -0,0 +1,17 @@ +Mapping Coverage,74.04 + +Input Path,Failed Mapping Count +sequenceNumber,2 +trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2 +isCorrection,2 +trade.documentation.contractualMatrix.publicationDate,1 +header.creationTimestamp,2 +trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource.determinationMethodScheme,2 +header.messageId,2 +header.sentBy.messageAddressScheme,2 +correlationId,2 +correlationId.correlationIdScheme,2 +trade.volatilitySwapTransactionSupplement.volatilityLeg.valuation.id,2 +trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource,2 +header.sentBy,2 +header.messageId.messageIdScheme,2 \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-volatility-swaps-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-volatility-swaps-failed-mappings-report.csv new file mode 100644 index 0000000000..7773018f43 --- /dev/null +++ b/rosetta-source/src/main/resources/mapping-analytics/fpml-5-13-products-volatility-swaps-failed-mappings-report.csv @@ -0,0 +1,28 @@ +File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,trade.documentation.contractualMatrix.publicationDate,trade.documentation.contractualMatrix.publicationDate,0,,Element with value 2011-12-01 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value 23902 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedMultiple,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[1000.00] TradeState.trade.product.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000.00],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,0,,Element with value http://www.fpml.org/coding-scheme/determination-method could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method],trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method],0,,Element with value ClosingPrice could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.valuation[id=valuationDate].id,trade.volatilitySwapTransactionSupplement.volatilityLeg.valuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value PA/2007/05/02/234234923415 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id].messageAddressScheme,0,,Element with value http://www.partyA.com/coding-scheme/party-id could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,sequenceNumber,sequenceNumber,0,,Element with value 1 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],header.sentBy[messageAddressScheme=http://www.partyA.com/coding-scheme/party-id],0,,Element with value 23902 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedMultiple,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.vegaNotionalAmount,2,TradeState.trade.tradeLot(0).priceQuantity(0).quantity(1).value.value=[1000.00] TradeState.trade.product.economicTerms.payout.performancePayout(0).priceQuantity.quantitySchedule.value.value=[1000.00],Element mapped to multiple rosettaFields +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.creationTimestamp,header.creationTimestamp,0,,Element with value 2007-05-02T08:57:00-00:00 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method].determinationMethodScheme,0,,Element with value http://www.fpml.org/coding-scheme/determination-method could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id].messageIdScheme,0,,Element with value http://www.partyA.com/coding-scheme/message-id could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,isCorrection,isCorrection,0,,Element with value false could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method],trade.volatilitySwapTransactionSupplement.volatilityLeg.amount.volatility.initialLevelSource[determinationMethodScheme=http://www.fpml.org/coding-scheme/determination-method],0,,Element with value ExpiringContractLevel could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,trade.volatilitySwapTransactionSupplement.volatilityLeg.valuation[id=valuationDate].id,trade.volatilitySwapTransactionSupplement.volatilityLeg.valuation[id=valuationDate].id,0,,Element with value valuationDate could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,correlationId[correlationIdScheme=http://www.example.com/conversationId].correlationIdScheme,0,,Element with value http://www.example.com/conversationId could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],header.messageId[messageIdScheme=http://www.partyA.com/coding-scheme/message-id],0,,Element with value 234233423420 could not be mapped to a rosettaField +cdm-sample-files/fpml-5-13/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.xml,Fail_MappedNone,correlationId[correlationIdScheme=http://www.example.com/conversationId],correlationId[correlationIdScheme=http://www.example.com/conversationId],0,,Element with value PA/2007/05/02/234234923415 could not be mapped to a rosettaField \ No newline at end of file diff --git a/rosetta-source/src/main/resources/mapping-analytics/ore-1-0-39-failed-mappings-report.csv b/rosetta-source/src/main/resources/mapping-analytics/ore-1-0-39-failed-mappings-report.csv index 3668c94184..4cac13cb7a 100644 --- a/rosetta-source/src/main/resources/mapping-analytics/ore-1-0-39-failed-mappings-report.csv +++ b/rosetta-source/src/main/resources/mapping-analytics/ore-1-0-39-failed-mappings-report.csv @@ -1,7 +1,7 @@ File Name,Result,Input Path,Indexless Input Path,Unmappable CDM Path Count,Unmappable CDM Paths,Reason For Failure cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml,Fail_MappedNone,Trade[id=Swap_20y].SwapData.LegData(0).ScheduleData.Rules.Rule,Trade[id=Swap_20y].SwapData.LegData.ScheduleData.Rules.Rule,0,,Element with value Forward could not be mapped to a rosettaField cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml,Fail_MappedNone,Trade[id=Swap_20y].Envelope.AdditionalFields.valuation_date,Trade[id=Swap_20y].Envelope.AdditionalFields.valuation_date,0,,Element with value 2018-02-19 could not be mapped to a rosettaField -cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml,Fail_MappedMultiple,Trade[id=Swap_20y].Envelope.AdditionalFields.party_id,Trade[id=Swap_20y].Envelope.AdditionalFields.party_id,2,"TradeState.trade.tradableProduct.counterparty(0).partyReference.value.partyId(1).identifier.value=[001B456BCDEFGH67XY89, 549300A08LH2961IPN13] +cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml,Fail_MappedMultiple,Trade[id=Swap_20y].Envelope.AdditionalFields.party_id,Trade[id=Swap_20y].Envelope.AdditionalFields.party_id,2,"TradeState.trade.counterparty(0).partyReference.value.partyId(1).identifier.value=[001B456BCDEFGH67XY89, 549300A08LH2961IPN13] TradeState.trade.party(0).partyId(1).identifier.value=[001B456BCDEFGH67XY89, 549300A08LH2961IPN13]",Element mapped to multiple rosettaFields cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml,Fail_MappedNone,Trade[id=Swap_20y].SwapData.LegData(1).Payer,Trade[id=Swap_20y].SwapData.LegData.Payer,0,,Element with value true could not be mapped to a rosettaField cdm-sample-files/ore-1-0-39/Vanilla_IR_Swap.xml,Fail_MappedNone,Trade[id=Swap_20y].SwapData.LegData(0).Payer,Trade[id=Swap_20y].SwapData.LegData.Payer,0,,Element with value false could not be mapped to a rosettaField diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR.json index 7cc1256376..b24f7902e3 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Basis-ex01-LIBOR-vs-SOFR.json @@ -5,164 +5,75 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369931", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401077-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401077", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401965", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401077", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369931", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "9fac2c6c" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "4710a047" - } - }, - "meta" : { - "globalKey" : "4710a047" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -177,640 +88,540 @@ "globalKey" : "5a9469c9" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "b72a0ef1", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "4710a047" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "4710a047" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "245965f8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "b72a0ef1", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "f84de987", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "b72a0ef1", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "b72a0ef1", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "f84de987", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "f84de987", - "externalKey" : "floatingLegResetDates" + "globalKey" : "245965f8" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : 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"USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "float2PrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "d02603bc", + "externalKey" : "floating2LegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f5d68523", + "externalReference" : "floating2CalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1bc532b" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], + "meta" : { + "globalKey" : "27e40a" + } + }, + "dateRelativeTo" : { + "globalReference" : "14c801bf", + "externalReference" : "floatingLeg2ResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "float2PrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "cdc49572" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "3ff9943" + } + }, + "meta" : { + "globalKey" : "14c801bf", + "externalKey" : "floatingLeg2ResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "36ad0d3e" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-11-01", + "observedRate" : 0, "meta" : { - "globalKey" : "36ad0d3e" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43d8f" - } - } ] + "globalKey" : "7a43d8f" } - } ], - "meta" : { - "globalKey" : "28200204" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "28200204" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "75afc645" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-10-30", + "observedRate" : 0, "meta" : { - "globalKey" : "75afc645" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-10-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53152" - } - } ] + "globalKey" : "7a53152" } - } ], - "meta" : { - "globalKey" : "6211e509" - } - }, { - "adjustedPaymentDate" : "2021-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2020-11-02", - "adjustedEndDate" : "2021-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "6211e509" + } + }, { + "adjustedPaymentDate" : "2021-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2020-11-02", + "adjustedEndDate" : "2021-11-02", + "meta" : { + "globalKey" : "e4834c00" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2021-11-01", + "observedRate" : 0, "meta" : { - "globalKey" : "e4834c00" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2021-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a62d8f" - } - } ] + "globalKey" : "7a62d8f" } - } ], - "meta" : { - "globalKey" : "f45d72c4" - } - }, { - "adjustedPaymentDate" : "2022-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2021-11-02", - "adjustedEndDate" : "2022-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "f45d72c4" + } + }, { + "adjustedPaymentDate" : "2022-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2021-11-02", + "adjustedEndDate" : "2022-11-02", + "meta" : { + "globalKey" : "bd234400" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2022-11-01", + "observedRate" : 0, "meta" : { - "globalKey" : "bd234400" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2022-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a7258f" - } - } ] + "globalKey" : "7a7258f" } - } ], - "meta" : { - "globalKey" : "f07572c4" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "fc4c3335" + "globalKey" : "f07572c4" } - } ], - "meta" : { - "globalKey" : "e1ec2220" - } + } ] + }, + "meta" : { + "globalKey" : "fc4c3335" } - }, + } ], "meta" : { "globalKey" : "e1ec2220" } - }, - "meta" : { - "globalKey" : "e1ec2220" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0002, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "e1ec2220" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0002, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e7d93b10" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "globalKey" : "94c343f6" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "fbce0222" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "845fcd4c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369931", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401077-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401077", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401965", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401077", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369931", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "9fac2c6c" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1132,11 +1163,11 @@ } } ], "meta" : { - "globalKey" : "7e3c63d0" + "globalKey" : "4c2f6b8c" } }, "meta" : { - "globalKey" : "7e3c63d0" + "globalKey" : "4c2f6b8c" } } } @@ -1319,6 +1350,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "2e10acc2" + "globalKey" : "b910d67e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex01.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex01.json index ad518e6cee..87a08b136b 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex01.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex01.json @@ -5,418 +5,430 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC_11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "2a8fe05a" - } - } ], - "tradeDate" : { - "value" : "2014-10-03", - "meta" : { - "globalKey" : "3ef283" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-01-07", - "meta" : { - "globalKey" : "3ef847" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-04-08", - "meta" : { - "globalKey" : "3ef908" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-01-07", "meta" : { - "globalKey" : "0" + "globalKey" : "3ef847" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-04-08", "meta" : { - "globalKey" : "aa" + "globalKey" : "3ef908" } }, "meta" : { - "globalKey" : "aa" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2015-01-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "meta" : { - "globalKey" : "3659d96b" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "meta" : { + "globalKey" : "aa" + } + }, + "paymentDate" : { + "unadjustedDate" : "2015-01-07", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "AUSY" + } ], "meta" : { - "globalKey" : "57ddf584" + "globalKey" : "1ed59a" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "93e0510a" + "globalKey" : "3659d96b" + } + }, + "meta" : { + "globalKey" : "57ddf584" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "93e0510a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-01-07", + "meta" : { + "globalKey" : "3ef847" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-01-07", - "meta" : { - "globalKey" : "3ef847" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2015-04-08", - "meta" : { - "globalKey" : "3ef908" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2015-04-08", "meta" : { - "globalKey" : "0" + "globalKey" : "3ef908" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2015-01-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "1ed59a" - } - }, - "meta" : { - "globalKey" : "3659d96b" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "2015-01-07", + "dateAdjustments" : { + 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"94a13cf0" + "globalKey" : "1ed59a" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "29b3d386" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } - } ], + }, "meta" : { - "globalKey" : "21f4bbc" + "globalKey" : "94a13cf0" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "29b3d386" } - }, + } ], "meta" : { "globalKey" : "21f4bbc" } - }, - "meta" : { - "globalKey" : "21f4bbc" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0125, - "unit" : { - "currency" : { - "value" : "AUD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "21f4bbc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0125, + "unit" : { + "currency" : { + "value" : "AUD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 125000000.00, - "unit" : { - "currency" : { - "value" : "AUD" - } + "perUnitOf" : { + "currency" : { + "value" : "AUD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 125000000.00, + "unit" : { + "currency" : { + "value" : "AUD" + } } - } ], + }, "meta" : { - "globalKey" : "cb6c1d37" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 125000000.00, - "unit" : { - "currency" : { - "value" : "AUD" - } + } ], + "meta" : { + "globalKey" : "cb6c1d37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 125000000.00, + "unit" : { + "currency" : { + "value" : "AUD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "AUD-BBR-BBSW" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "AUD-BBR-BBSW" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "AUD-BBR-BBSW" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "1c23a5f2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "586caa2d" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" + "identifier" : { + "value" : "QAC_11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "2a8fe05a" + } + } ], + "tradeDate" : { + "value" : "2014-10-03", + "meta" : { + "globalKey" : "3ef283" + } }, "party" : [ { "partyId" : [ { @@ -494,11 +506,11 @@ } } ], "meta" : { - "globalKey" : "b7387dc7" + "globalKey" : "b3b152c" } }, "meta" : { - "globalKey" : "b7387dc7" + "globalKey" : "b3b152c" } } } @@ -563,6 +575,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "b3421222" + "globalKey" : "49a4757f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex02.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex02.json index c12f74b83a..38b1da6030 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex02.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/FRA-ex02.json @@ -5,429 +5,441 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369927", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401180-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401180", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401871", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401180", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369927", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "4fc92e1f" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-05-13", - "meta" : { - "globalKey" : "3f194d" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - 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"3a0ba7ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "3a0ba7ac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e4e087" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369927", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401180-2", + "meta" : { + "scheme" : "client_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401180", + "meta" : { + "scheme" : "platform_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401871", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401180", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369927", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "4fc92e1f" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -505,11 +517,11 @@ } } ], "meta" : { - "globalKey" : "85a20f9b" + "globalKey" : "2665a98d" } }, "meta" : { - "globalKey" : "85a20f9b" + "globalKey" : "2665a98d" } } } @@ -692,6 +704,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "98149443" + "globalKey" : "538a07fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float.json index 63411d81db..128d509977 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex01-Fixed-Float.json @@ -5,205 +5,117 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC_11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "ac9c54a0" - } - } ], - "tradeDate" : { - "value" : "2016-09-27", - "meta" : { - "globalKey" : "3f025b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "cdb25d21" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" + } } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "2f19a22e" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "51499835" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85edd731", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "96a507c8" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "globalKey" : "51499835" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "4f80e30" } }, - "meta" : { - "globalKey" : "0" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "85edd731", + "externalReference" : "floatingLegPaymentDates" + } ] } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "96a507c8" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "572978ed" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "572978ed" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -218,327 +130,328 @@ "globalKey" : "5a9469c9" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7b" - }, - "rollConvention" : "28" - }, "meta" : { - "globalKey" : "39439663", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "572978ed" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "572978ed" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "46f4e10", + "externalReference" : "floatPrimaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "46f4e10", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97f8a1a1" - } + "meta" : { + "globalKey" : "245965f8" + } + }, + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7b" + }, + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "39439663", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "46f4e10", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97f8a1a1" + } + }, + "meta" : { + "globalKey" : "85edd731", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "39439663", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "b674cc3a" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "2355f9" + } + }, + "dateRelativeTo" : { + "globalReference" : "1d8be023", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "46f4e10", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "85edd731", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "245965f8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "39439663", - "externalReference" : "floatingCalcPeriodDates" + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "meta" : { + "globalKey" : "1d8be023", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2016-12-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2016-12-28", + "meta" : { + "globalKey" : "4f0ed0f3" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "b674cc3a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - } ], + "notionalAmount" : 1000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2016-09-27", + "observedRate" : 1.34528, "meta" : { - "globalKey" : "2355f9" + "globalKey" : "7918ac42" } - }, - "dateRelativeTo" : { - "globalReference" : "1d8be023", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } ] + } + } ], + "meta" : { + "globalKey" : "a516f80f" + } + }, { + "adjustedPaymentDate" : "2017-03-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-12-28", + "adjustedEndDate" : "2017-03-28", + "meta" : { + "globalKey" : "5a218826" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "floatPrimaryBusinessCenters" - }, + "notionalAmount" : 1000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2016-12-27", + "observedRate" : 0, "meta" : { - "globalKey" : "245965f8" + "globalKey" : "7a16075" } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "1d8be023", - "externalKey" : "floatingLegResetDates" + } ] } - }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2016-12-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2016-12-28", + } ], + "meta" : { + "globalKey" : "39a7f502" + } + }, { + "adjustedPaymentDate" : "2017-06-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-03-28", + "adjustedEndDate" : "2017-06-28", + "meta" : { + "globalKey" : "cd996766" + }, + "notionalAmount" : 1000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2017-03-27", + "observedRate" : 0, "meta" : { - "globalKey" : "4f0ed0f3" - }, - "notionalAmount" : 1000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2016-09-27", - "observedRate" : 1.34528, - "meta" : { - "globalKey" : "7918ac42" - } - } ] + "globalKey" : "7a212b5" } - } ], - "meta" : { - "globalKey" : "a516f80f" - } - }, { - "adjustedPaymentDate" : "2017-03-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-12-28", - "adjustedEndDate" : "2017-03-28", + } ] + } + } ], + "meta" : { + "globalKey" : "e0731502" + } + }, { + "adjustedPaymentDate" 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"address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "224e3900" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "447e2f07" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85edd731", - "externalReference" : "fixedLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "89d99e9a" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecac8294" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "46f4e10", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "443cdc05" - } - }, - "meta" : { - "globalKey" : "443cdc05" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -553,227 +466,328 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7b" - }, - "rollConvention" : "28" - }, "meta" : { - "globalKey" : "3f2e4563", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "443cdc05" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "46f4e10", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97f8a1a1" - } + "meta" : { + "globalKey" : "443cdc05" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "46f4e10", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "85edd731", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2016-12-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2016-12-28", - "meta" : { - "globalKey" : "b5a08ce1" - }, - "notionalAmount" : 1000000.00, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "53131b45" - } - }, { - "adjustedPaymentDate" : "2017-03-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-12-28", - "adjustedEndDate" : "2017-03-28", - "meta" : { - "globalKey" : "b60d69e1" - }, - "notionalAmount" : 1000000.00, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "235d8a85" - } - }, { - "adjustedPaymentDate" : "2017-06-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-03-28", - "adjustedEndDate" : "2017-06-28", - "meta" : { - "globalKey" : "b8ad5ce1" - }, - "notionalAmount" : 1000000.00, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "6d9ff4c5" - } + "meta" : { + "globalKey" : "47a7cce1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7b" + }, + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "3f2e4563", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" }, { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2017-06-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "b90774e1" - }, - "notionalAmount" : 1000000.00, - "fixedRate" : 0.044 - } ], - "meta" : { - "globalKey" : "b59c8405" - } - } ] + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "46f4e10", + "externalKey" : "fixedPrimaryBusinessCenters" + } }, "meta" : { - "globalKey" : "58c2611c" + "globalKey" : "97f8a1a1" } - } ], + }, "meta" : { - "globalKey" : "59eae60c" + "globalKey" : "85edd731", + "externalKey" : "fixedLegPaymentDates" } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2016-12-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2016-12-28", + "meta" : { + "globalKey" : "b5a08ce1" + }, + "notionalAmount" : 1000000.00, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "53131b45" + } + }, { + "adjustedPaymentDate" : "2017-03-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-12-28", + "adjustedEndDate" : "2017-03-28", + "meta" : { + "globalKey" : "b60d69e1" + }, + "notionalAmount" : 1000000.00, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "235d8a85" + } + }, { + "adjustedPaymentDate" : "2017-06-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-03-28", + "adjustedEndDate" : "2017-06-28", + "meta" : { + "globalKey" : "b8ad5ce1" + }, + "notionalAmount" : 1000000.00, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "6d9ff4c5" + } + }, { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2017-06-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "b90774e1" + }, + "notionalAmount" : 1000000.00, + "fixedRate" : 0.044 + } ], + "meta" : { + "globalKey" : "b59c8405" + } + } ] + }, + "meta" : { + "globalKey" : "d79f4ff1" } - }, + } ], "meta" : { - "globalKey" : "59eae60c" + "globalKey" : "e1250110" } - }, - "meta" : { - "globalKey" : "59eae60c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "KRW" - } + "meta" : { + "globalKey" : "e1250110" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "KRW" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "KRW-CD-KSDA-Bloomberg" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "KRW-CD-KSDA-Bloomberg" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "KRW-CD-KSDA-Bloomberg" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a3732dc5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.044, - "unit" : { - "currency" : { - "value" : "KRW" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "4e901c34" + } + }, { + "price" : [ { + "value" : { + "value" : 0.044, + "unit" : { + "currency" : { + "value" : "KRW" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "KRW" - } + "perUnitOf" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } } - } ], + }, "meta" : { - "globalKey" : "62f02ec4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "62f02ec4" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC_11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "ac9c54a0" + } + } ], + "tradeDate" : { + "value" : "2016-09-27", + "meta" : { + "globalKey" : "3f025b" + } }, "party" : [ { "partyId" : [ { @@ -851,11 +865,11 @@ } } ], "meta" : { - "globalKey" : "805243eb" + "globalKey" : "6a823f5e" } }, "meta" : { - "globalKey" : "805243eb" + "globalKey" : "6a823f5e" } } } @@ -920,6 +934,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "5d433e86" + "globalKey" : "4983e371" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float.json index 1544e3756f..be429358f4 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex02-Fixed-Float.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369929", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401154", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401919", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401154", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369929", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7d1e6a67" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "dae8fb5f" - } - }, - "meta" : { - "globalKey" : "dae8fb5f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,367 +82,274 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "9866d134", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dae8fb5f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "dae8fb5f" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-05-02", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-05-02", - "meta" : { - "globalKey" : "1e163e9f" - }, 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"globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e3836a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369929", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401154-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401154", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401919", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401154", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369929", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "7d1e6a67" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1189,11 +1201,11 @@ } } ], "meta" : { - "globalKey" : "ba2ab8a3" + "globalKey" : "d7f78c3" } }, "meta" : { - "globalKey" : "ba2ab8a3" + "globalKey" : "d7f78c3" } } } @@ -1376,6 +1388,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "317178d6" + "globalKey" : "b5c4592e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule.json index 5bc993d56d..432f8da33d 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex03-Fixed-Float-with-Amortizing-Schedule.json @@ -5,156 +5,67 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - 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"partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "8f4af392" + } + } ], + "tradeDate" : { + "value" : "2018-04-20", + "meta" : { + "globalKey" : "3f1114" + } }, "party" : [ { "partyId" : [ { @@ -1185,7 +1197,7 @@ } } ], "meta" : { - "globalKey" : "32093f7b" + "globalKey" : "3c2ada98" } }, "transferHistory" : [ { @@ -1244,7 +1256,7 @@ } } ], "meta" : { - "globalKey" : "2a7b9d07" + "globalKey" : "aadef7ca" } } } @@ -1381,6 +1393,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "1debf20" + "globalKey" : "7a10a56b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding.json index 3c7e4a0220..578586dfef 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex04-Fixed-Float-with-Compounding.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "package_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "position_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "8f4af392" - } - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-07-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec508292" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-07-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" 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- "globalKey" : "778f9a9f" - } + } ] + }, + "meta" : { + "globalKey" : "6934f16a" } - }, + } ], "meta" : { "globalKey" : "778f9a9f" } - }, - "meta" : { - "globalKey" : "778f9a9f" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01453, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "778f9a9f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01453, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 17000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 17000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "31579442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 17000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "31579442" + } + }, { + "quantity" : [ { + "value" : { + "value" : 17000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f59f22c7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "1a311a1f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "package_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "position_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "8f4af392" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -1547,11 +1559,11 @@ } } ], "meta" : { - "globalKey" : "54429f77" + "globalKey" : "ffc93169" } }, "meta" : { - "globalKey" : "54429f77" + "globalKey" : "ffc93169" } } } @@ -1619,6 +1631,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "c08b1fa4" + "globalKey" : "9495b2a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub.json index f4f8a6cecc..1f29640336 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex05-Fixed-Float-with-Long-Stub.json @@ -5,172 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "risk_approval_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "package_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "position_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "e36256f6" - } - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-24", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3d250" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-24", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "meta" : { - "globalKey" : "ece3d250" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-04-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "7623407" - } - }, - "meta" : { - "globalKey" : "7623407" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3d250" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-04-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -185,371 +82,276 @@ "globalKey" : "47a7cce1" } }, - "firstRegularPeriodStartDate" : "2018-10-26", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abc" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "13499ad", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "7623407" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "7623407" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2018-10-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-04-24", - "adjustedEndDate" : "2018-10-26", - "meta" : { - "globalKey" : "4cbf649a" - }, - "notionalAmount" : 700000.00, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "59e5e240" - } - }, { - "adjustedPaymentDate" : "2019-04-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-10-26", - "adjustedEndDate" : "2019-04-26", - "meta" : { - "globalKey" : "4d874258" - }, - "notionalAmount" : 700000.00, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "722dc97e" - } - }, { - "adjustedPaymentDate" : "2019-10-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-04-26", - "adjustedEndDate" : "2019-10-28", - "meta" : { - "globalKey" : "508154da" - }, - "notionalAmount" : 700000.00, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "7d67bbe" - } - }, { - "adjustedPaymentDate" : "2020-04-27", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-10-28", - "adjustedEndDate" : "2020-04-27", - "meta" : { - "globalKey" : "51492ed7" - }, - "notionalAmount" : 700000.00, - "fixedRate" : 0.032 - } ], - "meta" : { - "globalKey" : "1e69869c" - } - }, { - "adjustedPaymentDate" : "2020-10-26", - 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"location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "683bc2f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "aeb15c92" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "risk_approval_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "package_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "position_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "e36256f6" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -1247,11 +1259,11 @@ } } ], "meta" : { - "globalKey" : "a6e45f2e" + "globalKey" : "673f738c" } }, "meta" : { - "globalKey" : "a6e45f2e" + "globalKey" : "673f738c" } } } @@ -1319,6 +1331,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "bf225a8f" + "globalKey" : "66b8ddb9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable.json index 4c8c83aa5c..29d8ef9e30 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex06-Fixed-Float-Non-Deliverable.json @@ -5,207 +5,119 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" 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: "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "e7b4c96f", - "externalReference" : "fixedLegPaymentDates" - } ] - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc" } }, - "meta" : { - "globalKey" : "7e851105" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "e7b4c96f", + "externalReference" : "fixedLegPaymentDates" + } ] } - } ] + } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "7e851105" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "443cdc05" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "443cdc05" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -220,251 +132,145 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796d" - }, - "rollConvention" : "28" - }, "meta" : { - "globalKey" : "3f2e3f55", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "443cdc05" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea4ab7fc" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97da8c8d" - } + "meta" : { + "globalKey" : "443cdc05" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "e7b4c96f", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "b5bbc461" - }, - "notionalAmount" : 1000000.00, - "fixedRate" : 0.066 - } ], - "meta" : { - "globalKey" : "b250d385" - } - } ] + "meta" : { + "globalKey" : "47a7cce1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796d" }, + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "3f2e3f55", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "835b8920" + "globalKey" : "78" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea4ab7fc" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "45138fc", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, + "meta" : { + "globalKey" : "97da8c8d" + } + }, + "meta" : { + "globalKey" : "e7b4c96f", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2017-09-28", "meta" : { - "globalKey" : "23c51499" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "7ac4e9e9" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "e7b4c96f", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "8b507a33" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } - }, - "meta" : { - "globalKey" : "ecac8294" - } + "globalKey" : "b5bbc461" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "572978ed" - } - }, - "meta" : { - "globalKey" : "572978ed" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "45138fc", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" + "notionalAmount" : 1000000.00, + "fixedRate" : 0.066 + } ], + "meta" : { + "globalKey" : "b250d385" + } + } ] + }, + "meta" : { + "globalKey" : "c43c6eaf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "c25dcf8c" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "5a9469c9" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1796d" - }, - "rollConvention" : "28" - }, - "meta" : { - "globalKey" : "39439055", - "externalKey" : "floatingCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "ea4ab7fc" + "globalKey" : "7ac4e9e9" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" @@ -472,53 +278,60 @@ "value" : "USNY" } ], "meta" : { - "globalKey" : "45138fc", - "externalKey" : "floatPrimaryBusinessCenters" + "globalKey" : "45138fc" } }, - "meta" : { - "globalKey" : "97da8c8d" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "e7b4c96f", + "externalReference" : "floatingLegPaymentDates" + } ] } - }, - "meta" : { - "globalKey" : "e7b4c96f", - "externalKey" : "floatingLegPaymentDates" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "39439055", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "c9b9dd8c" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - } ], - "meta" : { - "globalKey" : "225d8d" - } - }, - "dateRelativeTo" : { - "globalReference" : "841727cc", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "8b507a33" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ecac8294" + } + }, + "meta" : { + "globalKey" : "ecac8294" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-28", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -534,146 +347,347 @@ } }, "meta" : { - "globalKey" : "841727cc", - "externalKey" : "floatingLegResetDates" + "globalKey" : "572978ed" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2017-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-09-28", - "adjustedEndDate" : "2017-09-28", - "meta" : { - "globalKey" : "3cbae6c5" - }, - "notionalAmount" : 1000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2017-09-28", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a24154" - } - } ] - } - } ], - "meta" : { - "globalKey" : "82e7d521" - } - } ] + "meta" : { + "globalKey" : "572978ed" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "245965f8" + } }, "meta" : { - "globalKey" : "9150f5ea" + "globalKey" : "5a9469c9" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1796d" + }, + "rollConvention" : "28" + }, "meta" : { - "globalKey" : "323468ca" + "globalKey" : "39439055", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "323468ca" - } - }, - "meta" : { - "globalKey" : "323468ca" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.066, - "unit" : { - "currency" : { - "value" : "INR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "INR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea4ab7fc" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97da8c8d" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e7b4c96f", + "externalKey" : "floatingLegPaymentDates" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "INR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "39439055", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "c9b9dd8c" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + } ], + "meta" : { + "globalKey" : "225d8d" + } + }, + "dateRelativeTo" : { + "globalReference" : "841727cc", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "45138fc", + "externalReference" : "floatPrimaryBusinessCenters" + }, + "meta" : { + "globalKey" : "245965f8" + } + }, + "meta" : { + "globalKey" : "5a9469c9" } + }, + "meta" : { + "globalKey" : "841727cc", + "externalKey" : "floatingLegResetDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2017-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-09-28", + "adjustedEndDate" : "2017-09-28", + "meta" : { + "globalKey" : "3cbae6c5" + }, + "notionalAmount" : 1000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2017-09-28", + "observedRate" : 0, + "meta" : { + "globalKey" : "7a24154" + } + } ] + } + } ], + "meta" : { + "globalKey" : "82e7d521" + } } ] + }, + "meta" : { + "globalKey" : "89d2b0ff" } } ], "meta" : { - "globalKey" : "bb444747" + "globalKey" : "33d18cae" } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "INR" - } + } + }, + "meta" : { + "globalKey" : "33d18cae" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.066, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "INR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "INR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "bb444747" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f651ac0f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "22aaee27" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "8f4af392" + } + } ], + "tradeDate" : { + "value" : "2016-09-27", + "meta" : { + "globalKey" : "3f025b" + } }, "party" : [ { "partyId" : [ { @@ -751,11 +765,11 @@ } } ], "meta" : { - "globalKey" : "d5300e12" + "globalKey" : "e41f3518" } }, "meta" : { - "globalKey" : "d5300e12" + "globalKey" : "e41f3518" } } } @@ -820,6 +834,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "60a28911" + "globalKey" : "7a59885f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI.json index 4891ade78e..494f0ac999 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex07-Fixed-Float-Zero-Coupon-BRL-CDI.json @@ -5,252 +5,56 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "risk_approval_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "8f4af392" - } - } ], - "tradeDate" : { - "value" : "2015-05-20", - "meta" : { - "globalKey" : "3ef954" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "e54a07e5" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "79e4d95b" - }, - "dayType" : "Business", - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "500aa139", - "externalReference" : "floatingLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "4cd56d7f" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "CAL/252" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec8a9b8c" - } - }, - "meta" : { - "globalKey" : "ec8a9b8c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "a97eaa5a" - } - }, - "meta" : { - "globalKey" : "500aa139" - } - }, - "meta" : { - "globalKey" : "500aa139", - "externalKey" : "floatingLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1f3c92", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "83e2c2d8" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "cdb8d3c0" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "d5e8c5c0", - "externalKey" : "floatingCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -1, "period" : "D", "meta" : { - "globalKey" : "ea4abbbd" + "globalKey" : "79e4d95b" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "PRECEDING", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" @@ -261,447 +65,657 @@ "globalKey" : "3f03a97" } }, + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "500aa139", + "externalReference" : "floatingLegTerminationDate" + } ] + } + } + }, + "meta" : { + "globalKey" : "4cd56d7f" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "da1616c6" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "75aaa442", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "ec8a9b8c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d5e8c5c0", - "externalReference" : "floatingCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "16b5d1dc" - }, + "meta" : { + "globalKey" : "ec8a9b8c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-07-01", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" } ], "meta" : { - "globalKey" : "1f3c92" + "globalKey" : "1f3c92", + "externalKey" : "floatPrimaryBusinessCenters" } }, - "dateRelativeTo" : { - "globalReference" : "1f9fcf70", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "D", "meta" : { - "globalKey" : "63" + "globalKey" : "a97eaa5a" } }, - 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"period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3f03a97" + } + }, + "meta" : { + "globalKey" : "da1616c6" + } + }, + "meta" : { + "globalKey" : "75aaa442", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-07-02", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-05-20", + "adjustedEndDate" : "2015-07-01", + "meta" : { + "globalKey" : "bfaee0f6" + }, + "notionalAmount" : 9856218.36, + "fixedRate" : 0.1323 + } ], + "meta" : { + "globalKey" : "67efb074" + } + } ] + }, + "meta" : { + "globalKey" : "f4b5ea0e" } - }, + } ], "meta" : { - "globalKey" : "d2b46cf4" + "globalKey" : "81056ee4" } - }, - "meta" : { - "globalKey" : "d2b46cf4" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 9856218.36, - "unit" : { - "currency" : { - "value" : "BRL" - } + "meta" : { + "globalKey" : "81056ee4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 9856218.36, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4d0f7677" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.1323, - "unit" : { - "currency" : { - "value" : "BRL" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "ada65945" + } + }, { + "price" : [ { + "value" : { + "value" : 0.1323, + "unit" : { + "currency" : { + "value" : "BRL" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9856218.36, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9856218.36, + "unit" : { + "currency" : { + "value" : "BRL" + } } - }, { - "value" : { - "value" : 9998162.07, - "unit" : { - "currency" : { - "value" : "BRL" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 9998162.07, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "4acc5833" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "4acc5833" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "dd19", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "dd19", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "risk_approval_id" + } + } + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "8f4af392" + } + } ], + "tradeDate" : { + "value" : "2015-05-20", + "meta" : { + "globalKey" : "3ef954" + } }, "party" : [ { "partyId" : [ { @@ -779,11 +793,11 @@ } } ], "meta" : { - "globalKey" : "3a74d92f" + "globalKey" : "2d13ac8d" } }, "meta" : { - "globalKey" : "3a74d92f" + "globalKey" : "2d13ac8d" } } } @@ -894,6 +908,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "40778579" + "globalKey" : "b628269f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero.json index 1532030fba..213482c25c 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex08-Fixed-Float-Zero.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369921", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401224-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401224", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401813", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401224", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369921", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "d4d9c53c" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "3fd51b5f" - } - }, - "meta" : { - "globalKey" : "3fd51b5f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,148 +82,148 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "2b433acd", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "3fd51b5f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "3fd51b5f" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd103" - }, - "notionalAmount" : 100000000.00, - "fixedRate" : 0.02178 - } ], - "meta" : { - "globalKey" : "19b2d0bf" - } - } ] - }, "meta" : { - "globalKey" : "8da7a4af" + "globalKey" : "47a7cce1" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "2b433acd", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd103" + }, + "notionalAmount" : 100000000.00, + "fixedRate" : 0.02178 + } ], + "meta" : { + "globalKey" : "19b2d0bf" + } + } ] + }, + "meta" : { + "globalKey" : "8da7a4af" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "52c1b847" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "52c1b847" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -327,296 +238,397 @@ "globalKey" : "5a9469c9" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "2533f6f1", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "52c1b847" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "52c1b847" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "245965f8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2533f6f1", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "f84de987", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "2533f6f1", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2533f6f1", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "f84de987", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "f84de987", - "externalKey" : "floatingLegResetDates" + "globalKey" : "245965f8" } }, - "compoundingMethod" : "Straight", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-02-04", + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "meta" : { + "globalKey" : "f84de987", + "externalKey" : "floatingLegResetDates" + } + }, + "compoundingMethod" : "Straight", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-02-04", + "meta" : { + "globalKey" : "5fc4ab60" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2018-10-31", + "observedRate" : 0, "meta" : { - "globalKey" : "5fc4ab60" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2018-10-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a34171" - } - } ] + "globalKey" : "7a34171" } - }, { - "adjustedStartDate" : "2019-02-04", - "adjustedEndDate" : "2019-05-02", + } ] + } + }, { + "adjustedStartDate" : "2019-02-04", + "adjustedEndDate" : "2019-05-02", + "meta" : { + "globalKey" : "399f4fe4" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-01-31", + "observedRate" : 0, "meta" : { - "globalKey" : "399f4fe4" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-01-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a3f3b1" - } - } ] + "globalKey" : "7a3f3b1" } - }, { - "adjustedStartDate" : "2019-05-02", - "adjustedEndDate" : "2019-08-02", + } ] + } + }, { + "adjustedStartDate" : "2019-05-02", + "adjustedEndDate" : "2019-08-02", + "meta" : { + "globalKey" : "c421d883" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-04-30", + "observedRate" : 0, "meta" : { - "globalKey" : "c421d883" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-04-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a40ad2" - } - } ] + "globalKey" : "7a40ad2" } - }, { - "adjustedStartDate" : "2019-08-02", - "adjustedEndDate" : "2019-11-04", + } ] + } + }, { + "adjustedStartDate" : "2019-08-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "bbda8920" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-07-31", + "observedRate" : 0, "meta" : { - "globalKey" : "bbda8920" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-07-31", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a42231" - } - } ] + "globalKey" : "7a42231" } - } ], - "meta" : { - "globalKey" : "ca509385" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "8d3df8a2" + "globalKey" : "ca509385" } - } ], - "meta" : { - "globalKey" : "9ff0aa11" - } + } ] + }, + "meta" : { + "globalKey" : "8d3df8a2" } - }, + } ], "meta" : { "globalKey" : "9ff0aa11" } - }, - "meta" : { - "globalKey" : "9ff0aa11" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02178, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "9ff0aa11" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02178, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "479b170e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "479b170e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e3836a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369921", + "meta" : { + "scheme" : "cme_trade_id" + } + } + }, { + "identifier" : { + "value" : "43401224-2", + "meta" : { + "scheme" : "client_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401224", + "meta" : { + "scheme" : "platform_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401813", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401224", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369921", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "d4d9c53c" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -694,11 +706,11 @@ } } ], "meta" : { - "globalKey" : "60e28bc7" + "globalKey" : "bc5b8131" } }, "meta" : { - "globalKey" : "60e28bc7" + "globalKey" : "bc5b8131" } } } @@ -881,6 +893,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "f8a8331" + "globalKey" : "2e6dbbd3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex09-OIS.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex09-OIS.json index e1c44e6fb8..52f017dbfb 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex09-OIS.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex09-OIS.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369935", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400962-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400962", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402071", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43400962", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369935", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "e1a06bf7" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "e69a135f" - } - }, - "meta" : { - "globalKey" : "e69a135f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,168 +82,168 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "670a7e3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "e69a135f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "e69a135f" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd427" - }, - "notionalAmount" : 100000000.00, - "fixedRate" : 0.02226 - } ], - "meta" : { - "globalKey" : "1d1c8521" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "21ddb563" - }, - "notionalAmount" : 100000000.00, - "fixedRate" : 0.02226 - } ], - "meta" : { - "globalKey" : "c439ad1f" - } - } ] + "meta" : { + "globalKey" : "47a7cce1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "670a7e3", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "385e880b" + "globalKey" : "78" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd427" + }, + "notionalAmount" : 100000000.00, + "fixedRate" : 0.02226 + } ], + "meta" : { + "globalKey" : "1d1c8521" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "21ddb563" + }, + "notionalAmount" : 100000000.00, + "fixedRate" : 0.02226 + } ], + "meta" : { + "globalKey" : "c439ad1f" + } + } ] + }, + "meta" : { + "globalKey" : "385e880b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "f986b047" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f986b047" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -347,267 +258,368 @@ "globalKey" : "5a9469c9" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "85f8e3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f986b047" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "f986b047" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "245965f8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85f8e3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "1e502c28", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "85f8e3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "85f8e3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de7afde8" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "1e502c28", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1e502c28", - "externalKey" : "floatingLegResetDates" + "globalKey" : "245965f8" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "meta" : { + "globalKey" : "1e502c28", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "36ad0d3e" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-11-01", + "observedRate" : 0, "meta" : { - "globalKey" : "36ad0d3e" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43d8f" - } - } ] + "globalKey" : "7a43d8f" } - } ], - "meta" : { - "globalKey" : "28200204" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "28200204" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "75afc645" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-10-30", + "observedRate" : 0, "meta" : { - "globalKey" : "75afc645" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-10-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53152" - } - } ] + "globalKey" : "7a53152" } - } ], - "meta" : { - "globalKey" : "6211e509" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "8f519c80" + "globalKey" : "6211e509" } - } ], - "meta" : { - "globalKey" : "41ad9b8b" - } + } ] + }, + "meta" : { + "globalKey" : "8f519c80" } - }, + } ], "meta" : { "globalKey" : "41ad9b8b" } - }, - "meta" : { - "globalKey" : "41ad9b8b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02226, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "41ad9b8b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02226, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "b5b7e76a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "b5b7e76a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "36f327a2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f7ea09fc" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369935", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43400962-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43400962", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402071", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43400962", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369935", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "e1a06bf7" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -685,11 +697,11 @@ } } ], "meta" : { - "globalKey" : "20dca676" + "globalKey" : "1d8072de" } }, "meta" : { - "globalKey" : "20dca676" + "globalKey" : "1d8072de" } } } @@ -872,6 +884,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "1c15ff87" + "globalKey" : "59ad6c27" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex10-OIS.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex10-OIS.json index a15c94858b..fe01ae274d 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex10-OIS.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex10-OIS.json @@ -5,158 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369933", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401034-2", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "43401034", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "43402020", - "meta" : { - "scheme" : "platform_side_id" - } - } - }, { - "identifier" : { - "value" : "43401034", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS9369933", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3276e1c8" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "e69a135f" - } - }, - "meta" : { - "globalKey" : "e69a135f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -171,168 +82,168 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "670a7e3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "e69a135f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "e69a135f" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", - "meta" : { - "globalKey" : "1e1bd825" - }, - "notionalAmount" : 100000000.00, - "fixedRate" : 0.02345 - } ], - "meta" : { - "globalKey" : "1d1c891f" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", - "meta" : { - "globalKey" : "21ddb961" - }, - "notionalAmount" : 100000000.00, - "fixedRate" : 0.02345 - } ], - "meta" : { - "globalKey" : "c439b11d" - } - } ] + "meta" : { + "globalKey" : "47a7cce1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "670a7e3", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "677f1987" + "globalKey" : "78" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "fixedPrimaryBusinessCenters" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "1e1bd825" + }, + "notionalAmount" : 100000000.00, + "fixedRate" : 0.02345 + } ], + "meta" : { + "globalKey" : "1d1c891f" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "21ddb961" + }, + "notionalAmount" : 100000000.00, + "fixedRate" : 0.02345 + } ], + "meta" : { + "globalKey" : "c439b11d" + } + } ] + }, + "meta" : { + "globalKey" : "677f1987" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "f986b047" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f986b047" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -347,267 +258,368 @@ "globalKey" : "5a9469c9" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "85f8e3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f986b047" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } + "meta" : { + "globalKey" : "f986b047" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "245965f8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85f8e3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de77b8c9" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "6b187609", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "85f8e3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "floatPrimaryBusinessCenters" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "85f8e3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de77b8c9" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], + "meta" : { + "globalKey" : "27e40a" + } + }, + "dateRelativeTo" : { + "globalReference" : "6b187609", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "6b187609", - "externalKey" : "floatingLegResetDates" + "globalKey" : "245965f8" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2019-11-06", - "calculationPeriod" : [ { - "adjustedStartDate" : "2018-11-02", - "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "meta" : { + "globalKey" : "6b187609", + "externalKey" : "floatingLegResetDates" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2019-11-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2018-11-02", + "adjustedEndDate" : "2019-11-04", + "meta" : { + "globalKey" : "36ad0d3e" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2019-11-01", + "observedRate" : 0, "meta" : { - "globalKey" : "36ad0d3e" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2019-11-01", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a43d8f" - } - } ] + "globalKey" : "7a43d8f" } - } ], - "meta" : { - "globalKey" : "28200204" - } - }, { - "adjustedPaymentDate" : "2020-11-04", - "calculationPeriod" : [ { - "adjustedStartDate" : "2019-11-04", - "adjustedEndDate" : "2020-11-02", + } ] + } + } ], + "meta" : { + "globalKey" : "28200204" + } + }, { + "adjustedPaymentDate" : "2020-11-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2019-11-04", + "adjustedEndDate" : "2020-11-02", + "meta" : { + "globalKey" : "75afc645" + }, + "notionalAmount" : 100000000.00, + "floatingRateDefinition" : { + "rateObservation" : [ { + "adjustedFixingDate" : "2020-10-30", + "observedRate" : 0, "meta" : { - "globalKey" : "75afc645" - }, - "notionalAmount" : 100000000.00, - "floatingRateDefinition" : { - "rateObservation" : [ { - "adjustedFixingDate" : "2020-10-30", - "observedRate" : 0, - "meta" : { - "globalKey" : "7a53152" - } - } ] + "globalKey" : "7a53152" } - } ], - "meta" : { - "globalKey" : "6211e509" - } - } ] - }, + } ] + } + } ], "meta" : { - "globalKey" : "f064d7a1" + "globalKey" : "6211e509" } - } ], - "meta" : { - "globalKey" : "b839d428" - } + } ] + }, + "meta" : { + "globalKey" : "f064d7a1" } - }, + } ], "meta" : { "globalKey" : "b839d428" } - }, - "meta" : { - "globalKey" : "b839d428" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02345, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b839d428" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02345, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "3a0ba7ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "3a0ba7ac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fbce0222" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "845fcd4c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "9369933", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43401034-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43401034", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402020", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43401034", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369933", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "3276e1c8" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -685,11 +697,11 @@ } } ], "meta" : { - "globalKey" : "bd0576e0" + "globalKey" : "bfe35ba" } }, "meta" : { - "globalKey" : "bd0576e0" + "globalKey" : "bfe35ba" } } } @@ -872,6 +884,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "83a05c96" + "globalKey" : "68587ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex11-OIS.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex11-OIS.json index 9a0b9b838a..9f21dd745e 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex11-OIS.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/IRS-ex11-OIS.json @@ -5,142 +5,67 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2894761", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "QAC-11111", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "22222", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2894761", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "e6021e2e" - } - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-07-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec508292" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-07-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "meta" : { - "globalKey" : "ec508292" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-07-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "af7b382f" - } - }, - "meta" : { - "globalKey" : "af7b382f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec508292" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-07-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -155,459 +80,459 @@ "globalKey" : "5a9469c9" } }, - 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- "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "QAC-11111", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "22222", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "e6021e2e" + } + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -1044,7 +1056,7 @@ } } ], "meta" : { - "globalKey" : "4ff700c1" + "globalKey" : "5cc44f6f" } }, "transferHistory" : [ { @@ -1103,7 +1115,7 @@ } } ], "meta" : { - "globalKey" : "4f2d4012" + "globalKey" : "89234a4" } } } @@ -1171,6 +1183,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "3e8ee80f" + "globalKey" : "51b564f5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE.json index f3c8ce0a75..fb4316c993 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAPTION_TERMINATED_DUE_TO_EXERCISE.json @@ -5,803 +5,814 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "844409", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : 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+ "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a032462e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f901da98" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9d362d34", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "844409", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9d362d34", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS844409", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "3cdc657d" + } + } ], + "tradeDate" : { + "value" : "2013-08-21", + "meta" : { + "globalKey" : "3eea15" + } }, "party" : [ { "partyId" : [ { @@ -879,7 +890,7 @@ } } ], "meta" : { - "globalKey" : "8d3addf4" + "globalKey" : "203ae9c4" } }, "transferHistory" : [ { @@ -938,7 +949,7 @@ } } ], "meta" : { - "globalKey" : "3e2c110d" + "globalKey" : "7053233d" } } } @@ -977,6 +988,6 @@ "workflowStatus" : "Terminated" }, "meta" : { - "globalKey" : "9a863818" + "globalKey" : "5b741a48" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE.json index 3c67e12097..8d2b8ec54b 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/SWAP_CREATED_DUE_TO_EXERCISE.json @@ -5,151 +5,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "844510", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "scenario1", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "844409", - "meta" : { - "scheme" : "swaption_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS844510", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "87bb59c" - } - } ], - "tradeDate" : { - "value" : "2014-09-24", - "meta" : { - "globalKey" : "3ef258" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec706b12" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "fixedPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "116cc910" - } - }, - "meta" : { - "globalKey" : "47a7cce1" - } - }, - "meta" : { - "globalKey" : "9a0e32c7" - } - }, - "meta" : { - "globalKey" : "9a0e32c7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec706b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -164,189 +82,189 @@ "globalKey" : "47a7cce1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abc" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "c37bd764", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9a0e32c7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "fixedPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "9a0e32c7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "fixedPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89" + "globalKey" : "116cc910" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2015-03-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2014-09-26", - "adjustedEndDate" : "2015-03-26", - "meta" : { - "globalKey" : "f938a384" - }, - "notionalAmount" : 10000000.00, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "159522ea" - } - }, { - "adjustedPaymentDate" : "2015-09-28", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-03-26", - "adjustedEndDate" : "2015-09-28", - "meta" : { - "globalKey" : "fc32b606" - }, - "notionalAmount" : 10000000.00, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "ab3dd52a" - } - }, { - "adjustedPaymentDate" : "2016-03-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2015-09-28", - "adjustedEndDate" : "2016-03-29", - "meta" : { - "globalKey" : "fcfa9785" - }, - "notionalAmount" : 10000000.00, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "c53a98c8" - } + "meta" : { + "globalKey" : "47a7cce1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abc" + }, + "rollConvention" : "26" + }, + "meta" : { + "globalKey" : "c37bd764", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" }, { - "adjustedPaymentDate" : "2016-09-26", - "calculationPeriod" : [ { - "adjustedStartDate" : "2016-03-29", - "adjustedEndDate" : "2016-09-26", - "meta" : { - "globalKey" : "fff50ba1" - }, - "notionalAmount" : 10000000.00, - "fixedRate" : 0.0225 - } ], - "meta" : { - "globalKey" : "525b7187" - } - } ] + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b", + "externalKey" : "fixedPrimaryBusinessCenters" + } }, "meta" : { - "globalKey" : "c46e9a5e" + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2015-03-26", + "calculationPeriod" : [ { + "adjustedStartDate" : "2014-09-26", + "adjustedEndDate" : "2015-03-26", + "meta" : { + "globalKey" : "f938a384" + }, + "notionalAmount" : 10000000.00, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "159522ea" } }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "adjustedPaymentDate" : "2015-09-28", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-03-26", + "adjustedEndDate" : "2015-09-28", + "meta" : { + "globalKey" : "fc32b606" + }, + "notionalAmount" : 10000000.00, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "ab3dd52a" + } + }, { + "adjustedPaymentDate" : "2016-03-29", + "calculationPeriod" : [ { + "adjustedStartDate" : "2015-09-28", + "adjustedEndDate" : "2016-03-29", + "meta" : { + "globalKey" : "fcfa9785" }, + "notionalAmount" : 10000000.00, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "c53a98c8" + } + }, { + "adjustedPaymentDate" : "2016-09-26", + "calculationPeriod" : [ { + "adjustedStartDate" : "2016-03-29", + "adjustedEndDate" : "2016-09-26", "meta" : { - "globalKey" : "0" + "globalKey" : "fff50ba1" + }, + "notionalAmount" : 10000000.00, + "fixedRate" : 0.0225 + } ], + "meta" : { + "globalKey" : "525b7187" + } + } ] + }, + "meta" : { + "globalKey" : "c46e9a5e" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec706b12" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "meta" : { - "globalKey" : "ec706b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-09-26", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } - }, - "meta" : { - "globalKey" : "acfacfaf" - } - }, - "meta" : { - "globalKey" : "acfacfaf" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec706b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-09-26", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -361,377 +279,471 @@ "globalKey" : "5a9469c9" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f79" - }, - "rollConvention" : "26" - }, "meta" : { - "globalKey" : "bd911d21", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "acfacfaf" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "floatPrimaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } + "meta" : { + "globalKey" : "acfacfaf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "floatPrimaryBusinessCenters" }, "meta" : { - "globalKey" : "628a6d89" + "globalKey" : "245965f8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "bd911d21", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "f84de987", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "floatPrimaryBusinessCenters" - }, - "meta" : { - "globalKey" : "245965f8" - } - }, - "meta" : { - "globalKey" : "5a9469c9" - } + "meta" : { + "globalKey" : "5a9469c9" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f79" + }, + "rollConvention" : "26" + }, + "meta" : { + "globalKey" : "bd911d21", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + 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"externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "844510", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9d362d34", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "scenario1", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "844409", + "meta" : { + "scheme" : "swaption_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS844510", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "87bb59c" + } + } ], + "tradeDate" : { + "value" : "2014-09-24", + "meta" : { + "globalKey" : "3ef258" + } }, "party" : [ { "partyId" : [ { @@ -809,11 +821,11 @@ } } ], "meta" : { - "globalKey" : "14ac7ca8" + "globalKey" : "85785ece" } }, "meta" : { - "globalKey" : "14ac7ca8" + "globalKey" : "85785ece" } } } @@ -852,6 +864,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "e5060fef" + "globalKey" : "84f2e5cd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex01.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex01.json index 40ff43a907..8d5051a53e 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex01.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex01.json @@ -5,1413 +5,1424 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2896735", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "2098916", - "meta" : { - "scheme" : "client_trade_id" - } - } - }, { - "identifier" : { - "value" : "19427806", - "meta" : { - "scheme" : "platform_trade_id" - } - } - }, { - "identifier" : { - "value" : "19427806", - "meta" : { - "scheme" : "block_trade_id" - } - } - }, { - "identifier" : { - "value" : "CCCIRS2896735", - "meta" : { - "scheme" : "reg_trade_id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : 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"buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - 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}, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - 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: "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "2098916", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "19427806", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "19427806", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2896735", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "e3bf856" + } + } ], + "tradeDate" : { + "value" : "2015-01-13", + "meta" : { + "globalKey" : "3ef84d" + } }, "party" : [ { "partyId" : [ { @@ -1489,7 +1500,7 @@ } } ], "meta" : { - "globalKey" : "9a39ca1a" + "globalKey" : "6d13a2ea" } }, "transferHistory" : [ { @@ -1548,7 +1559,7 @@ } } ], "meta" : { - "globalKey" : "e711935b" + "globalKey" : "1ca6b88b" } } } @@ -1587,6 +1598,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "f4583e8e" + "globalKey" : "94aaf3be" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex02.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex02.json index 6039e98d54..328ce5af20 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex02.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex02.json @@ -5,958 +5,969 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - "meta" : { - "scheme" : "cftc_Namespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "9369939", - "meta" : { - "scheme" : "cme_trade_id" - } - } - }, { - "identifier" : { - "value" : "43400915-2", - "meta" : { - "scheme" : 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"clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "43400915-2", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "43400915", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "43402096", + "meta" : { + "scheme" : "platform_side_id" + } + } + }, { + "identifier" : { + "value" : "43400915", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS9369939", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "6863d1fa" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -1034,7 +1045,7 @@ } } ], "meta" : { - "globalKey" : "5ded9412" + "globalKey" : "862020c0" } }, "transferHistory" : [ { @@ -1093,7 +1104,7 @@ } } ], "meta" : { - "globalKey" : "ece2a438" + "globalKey" : "338b9aca" } } } @@ -1230,6 +1241,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "b1cc9333" + "globalKey" : "5c279245" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise.json b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise.json index 60bdf99791..ef7282c81b 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-cleared-confirm-1-17/Swaption-ex03-Straddle-Physical-Exercise.json @@ -5,1414 +5,1425 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" - }, - "issuer" : { - "value" : "1010000023", - 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"8aab34f0" - } - }, - "meta" : { - "globalKey" : "8aab34f0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "7566438b" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "5d1cb82c" } } ], - "quantity" : [ { - "value" : { - "value" : 3000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "5d1cb82c" + } + } + }, + "meta" : { + "globalKey" : "5d1cb82c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "ba521503" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 3000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "ba521503" + } + }, { + "quantity" : [ { + "value" : { + "value" : 3000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "edd0cb9a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "53e4aeac" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ba4f", + "externalReference" : "clearing_firm" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1051b", + "externalReference" : "clearing_service" + }, + "issuer" : { + "value" : "1010000023", + "meta" : { + "scheme" : "cftc_Namespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2894761", + "meta" : { + "scheme" : "cme_trade_id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ba4f", - "externalReference" : "clearing_firm" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1051b", - "externalReference" : "clearing_service" + "identifier" : { + "value" : "2052340", + "meta" : { + "scheme" : "client_trade_id" + } } - } ] + }, { + "identifier" : { + "value" : "19300360", + "meta" : { + "scheme" : "platform_trade_id" + } + } + }, { + "identifier" : { + "value" : "19300360", + "meta" : { + "scheme" : "block_trade_id" + } + } + }, { + "identifier" : { + "value" : "CCCIRS2894761", + "meta" : { + "scheme" : "reg_trade_id" + } + } + } ], + "meta" : { + "globalKey" : "2d85e789" + } + } ], + "tradeDate" : { + "value" : "2014-10-23", + "meta" : { + "globalKey" : "3ef297" + } }, "party" : [ { "partyId" : [ { @@ -1490,7 +1501,7 @@ } } ], "meta" : { - "globalKey" : "9eff20eb" + "globalKey" : "63aee2e5" } }, "transferHistory" : [ { @@ -1549,7 +1560,7 @@ } } ], "meta" : { - "globalKey" : "6e66f3e0" + "globalKey" : "f707c5a6" } } } @@ -1588,6 +1599,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "70b1715e" + "globalKey" : "be92cca4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/Contract_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/Contract_Submission.json index f7b4e5377e..5236e2dec0 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/Contract_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/Contract_Submission.json @@ -5,193 +5,74 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "195feba4" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "19606003" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "1960d462" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "5f686b9a" - } - }, - "meta" : { - "globalKey" : "5f686b9a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "84705d1", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -208,186 +89,186 @@ } }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "5f686b9a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "84705d1", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7b8857fc", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "5f686b9a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "7b8857fc", - "externalKey" : "floatingLegResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "5707891a" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "84705d1", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "42f910b" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "84705d1", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "30/360" + "dateRelativeTo" : { + "globalReference" : "7b8857fc", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "5f686b9a" - } - }, - "meta" : { - "globalKey" : "5f686b9a" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "7b8857fc", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "5707891a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "8471114", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -404,127 +285,258 @@ } }, "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "5f686b9a" + } + }, + "meta" : { + "globalKey" : "5f686b9a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "222a6234" + "globalKey" : "97b8e49c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8c" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "46958f4e" + "globalKey" : "8471114", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "222a6234" } - }, + } ], "meta" : { - "globalKey" : "29423021" + "globalKey" : "46958f4e" } - }, - "meta" : { - "globalKey" : "29423021" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "29423021" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02781, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02781, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "8b330b0" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401154-2", "meta" : { - "globalKey" : "8b330b0" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + "meta" : { + "globalKey" : "195feba4" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401154-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "19606003" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401154-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "1960d462" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -573,11 +585,11 @@ } } ], "meta" : { - "globalKey" : "58ddc56b" + "globalKey" : "4def3f5b" } }, "meta" : { - "globalKey" : "58ddc56b" + "globalKey" : "4def3f5b" } } } @@ -649,6 +661,6 @@ } ] }, "meta" : { - "globalKey" : "8a7eafc4" + "globalKey" : "3ed4b89c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_FRA_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_FRA_Submission.json index 702758d325..093050f5bc 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_FRA_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_FRA_Submission.json @@ -5,420 +5,432 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401180-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "196139bd" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401180-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "1961ae1c" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401180-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "1962227b" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-05-13", - "meta" : { - "globalKey" : "3f194d" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-11-12", - "meta" : { - "globalKey" : "3f1acc" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2019-05-13", "meta" : { - "globalKey" : "0" + "globalKey" : "3f194d" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2019-11-12", "meta" : { - "globalKey" : "107" + "globalKey" : "3f1acc" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "2019-05-13", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "2019-05-13", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "deb62aaf" + "globalKey" : "42f910b" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "554b591e" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "deb62aaf" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "554b591e" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2019-05-13", + "meta" : { + "globalKey" : "3f194d" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2019-05-13", - "meta" : { - "globalKey" : "3f194d" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - 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+ "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "deb62aaf" + "globalKey" : "42f910b" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" - } - }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "deb62aaf" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ce01227d" + "globalKey" : "21479e" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, - "meta" : { - "globalKey" : "2024e022" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } - } ], + }, "meta" : { - "globalKey" : "c8fb8244" + "globalKey" : "ce01227d" } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2024e022" } - }, + } ], "meta" : { "globalKey" : "c8fb8244" } - }, - "meta" : { - "globalKey" : "c8fb8244" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02345, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "c8fb8244" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02345, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { 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"scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f8e4e087" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401180-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + "meta" : { + "globalKey" : "196139bd" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401180-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "1961ae1c" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401180-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "1962227b" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -467,11 +479,11 @@ } } ], "meta" : { - "globalKey" : "90144e82" + "globalKey" : "11e3bf9a" } }, "meta" : { - "globalKey" : "90144e82" + "globalKey" : "11e3bf9a" } } } @@ -543,6 +555,6 @@ } ] }, "meta" : { - "globalKey" : "fcefffed" + "globalKey" : "cc762a9d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_IRS_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_IRS_Submission.json index f7b4e5377e..5236e2dec0 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_IRS_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_IRS_Submission.json @@ -5,193 +5,74 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "195feba4" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "19606003" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401154-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "1960d462" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "5f686b9a" - } - }, - "meta" : { - "globalKey" : "5f686b9a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "84705d1", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -208,186 +89,186 @@ } }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "5f686b9a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "84705d1", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7b8857fc", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "5f686b9a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "7b8857fc", - "externalKey" : "floatingLegResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "5707891a" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "84705d1", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "42f910b" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "84705d1", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "30/360" + "dateRelativeTo" : { + "globalReference" : "7b8857fc", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "5f686b9a" - } - }, - "meta" : { - "globalKey" : "5f686b9a" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "7b8857fc", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "5707891a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "8471114", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -404,127 +285,258 @@ } }, "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "5f686b9a" + } + }, + "meta" : { + "globalKey" : "5f686b9a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "222a6234" + "globalKey" : "97b8e49c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8c" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "46958f4e" + "globalKey" : "8471114", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "222a6234" } - }, + } ], "meta" : { - "globalKey" : "29423021" + "globalKey" : "46958f4e" } - }, - "meta" : { - "globalKey" : "29423021" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "29423021" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02781, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02781, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "8b330b0" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401154-2", "meta" : { - "globalKey" : "8b330b0" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + "meta" : { + "globalKey" : "195feba4" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401154-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "19606003" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401154-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "1960d462" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -573,11 +585,11 @@ } } ], "meta" : { - "globalKey" : "58ddc56b" + "globalKey" : "4def3f5b" } }, "meta" : { - "globalKey" : "58ddc56b" + "globalKey" : "4def3f5b" } } } @@ -649,6 +661,6 @@ } ] }, "meta" : { - "globalKey" : "8a7eafc4" + "globalKey" : "3ed4b89c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_LIBOR-SOFR_Basis_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_LIBOR-SOFR_Basis_Submission.json index 5fe0372027..eae9d74d8c 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_LIBOR-SOFR_Basis_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_LIBOR-SOFR_Basis_Submission.json @@ -5,163 +5,82 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401077-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "1952c824" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401077-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "19533c83" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401077-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "1953b0e2" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecea117a" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "5601739a" - } - }, - "meta" : { - "globalKey" : "5601739a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -177,231 +96,185 @@ "globalKey" : "97b8e49c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "b538fdd1", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "5601739a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "5601739a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "42f910b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "b538fdd1", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7b8857fc", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "b538fdd1", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "7b8857fc", - "externalKey" : "floatingLegResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "a1e9f438" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "b538fdd1", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "7b8857fc", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "7b8857fc", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "a1e9f438" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "5601739a" - } - }, - "meta" : { - "globalKey" : "5601739a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "b538f7c3", - "externalKey" : "floatingLeg2CalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -418,197 +291,355 @@ } }, "meta" : { - "globalKey" : "d02603bc", - "externalKey" : "floatingLeg2PaymentDates" + "globalKey" : "5601739a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "b538f7c3", - "externalReference" : "floatingLeg2CalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1bc532b" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "6680093a", - "externalReference" : "floatingLeg2ResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "5601739a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "6680093a", - "externalKey" : "floatingLeg2ResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "60614dbc" + "globalKey" : "97b8e49c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "f9e39bf4" + "globalKey" : "b538f7c3", + "externalKey" : "floatingLeg2CalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "ec9c0f41" - } - }, - "meta" : { - "globalKey" : "ec9c0f41" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0002, - "unit" : { - "currency" : { - "value" : "USD" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" } + }, + "meta" : { + "globalKey" : "d02603bc", + "externalKey" : "floatingLeg2PaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "b538f7c3", + "externalReference" : "floatingLeg2CalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1bc532b" }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], "meta" : { - "globalKey" : "aa" + "globalKey" : "27e40a" } + }, + "dateRelativeTo" : { + "globalReference" : "6680093a", + "externalReference" : "floatingLeg2ResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "6680093a", + "externalKey" : "floatingLeg2ResetDates" } + }, + "meta" : { + "globalKey" : "60614dbc" } - }, + } ], "meta" : { - "globalKey" : "e7d93b10" + "globalKey" : "f9e39bf4" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "ec9c0f41" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0002, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "fbce0222" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "94c343f6" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "845fcd4c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401077-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "1952c824" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401077-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "19533c83" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401077-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "1953b0e2" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -657,11 +688,11 @@ } } ], "meta" : { - "globalKey" : "17153055" + "globalKey" : "5f6a8145" } }, "meta" : { - "globalKey" : "17153055" + "globalKey" : "5f6a8145" } } } @@ -733,6 +764,6 @@ } ] }, "meta" : { - "globalKey" : "76e5bf41" + "globalKey" : "6b9ee451" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_SOFR_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_SOFR_Submission.json index d68d0c0e23..c2107a689e 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_SOFR_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_SOFR_Submission.json @@ -5,197 +5,74 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401034-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "1950eb65" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401034-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "19515fc4" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401034-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "1951d423" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "d5552f38" - } - }, - "meta" : { - "globalKey" : "d5552f38" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "ecec5783", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,187 +87,187 @@ } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "d5552f38" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ecec5783", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de77b8c9" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a42ad18", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "d5552f38" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "4a42ad18", - "externalKey" : "floatingLegResetDates" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "1330e0da" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "ecec5783", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ecec5783", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de77b8c9" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], + "meta" : { + "globalKey" : "27e40a" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "dateRelativeTo" : { + "globalReference" : "4a42ad18", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "d5552f38" - } - }, - "meta" : { - "globalKey" : "d5552f38" + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "4a42ad18", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "1330e0da" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "ecec5783", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -405,120 +282,255 @@ } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "d5552f38" + } + }, + "meta" : { + "globalKey" : "d5552f38" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6f522cbe" + "globalKey" : "3662e8ba" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "59ffa018" + "globalKey" : "ecec5783", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "6f522cbe" } - }, + } ], "meta" : { - "globalKey" : "d1ebf6a5" + "globalKey" : "59ffa018" } - }, - "meta" : { - "globalKey" : "d1ebf6a5" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "d1ebf6a5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fbce0222" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02345, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "845fcd4c" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02345, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3a0ba7ac" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401034-2", "meta" : { - "globalKey" : "3a0ba7ac" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + "meta" : { + "globalKey" : "1950eb65" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401034-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "19515fc4" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401034-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "1951d423" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -567,11 +579,11 @@ } } ], "meta" : { - "globalKey" : "fc4524f4" + "globalKey" : "76342cb4" } }, "meta" : { - "globalKey" : "fc4524f4" + "globalKey" : "76342cb4" } } } @@ -643,6 +655,6 @@ } ] }, "meta" : { - "globalKey" : "f763c93c" + "globalKey" : "b3498844" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_Submission.json index 6e6e82e26e..15ab547ae4 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_OIS_Submission.json @@ -5,197 +5,74 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43400962-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "181c3bea" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43400962-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "181cb049" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43400962-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "181d24a8" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "d5552f38" - } - }, - "meta" : { - "globalKey" : "d5552f38" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "ecec5783", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,187 +87,187 @@ } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "d5552f38" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ecec5783", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "fd7a6337", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "d5552f38" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "fd7a6337", - "externalKey" : "floatingLegResetDates" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "c66896f9" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "ecec5783", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ecec5783", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de7afde8" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "dateRelativeTo" : { + "globalReference" : "fd7a6337", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "d5552f38" - } - }, - "meta" : { - "globalKey" : "d5552f38" + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "fd7a6337", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "c66896f9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "ecec5783", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -405,120 +282,255 @@ } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "d5552f38" + } + }, + "meta" : { + "globalKey" : "d5552f38" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6f522cbe" + "globalKey" : "3662e8ba" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" + }, + "rollConvention" : "2" + }, "meta" : { - "globalKey" : "15f377f7" + "globalKey" : "ecec5783", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "6f522cbe" } - }, + } ], "meta" : { - "globalKey" : "8ddfce84" + "globalKey" : "15f377f7" } - }, - "meta" : { - "globalKey" : "8ddfce84" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "8ddfce84" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "36f327a2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : 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: { + "value" : "43400962-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "181cb049" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43400962-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "181d24a8" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -567,11 +579,11 @@ } } ], "meta" : { - "globalKey" : "f0e28ef6" + "globalKey" : "e4c35488" } }, "meta" : { - "globalKey" : "f0e28ef6" + "globalKey" : "e4c35488" } } } @@ -643,6 +655,6 @@ } ] }, "meta" : { - "globalKey" : "38e08d1e" + "globalKey" : "4842694" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_Swaption_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_Swaption_Submission.json index a7ec3aec0a..e61710ec92 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_Swaption_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_Swaption_Submission.json @@ -5,606 +5,617 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43400915-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "181a0152" - } - }, { - 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"location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02356, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02356, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "6c47638c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43400915-2", "meta" : { - "globalKey" : "6c47638c" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + "meta" : { + "globalKey" : "181a0152" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43400915-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "181a75b1" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43400915-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "181aea10" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -653,7 +664,7 @@ } } ], "meta" : { - "globalKey" : "b3bb41cd" + "globalKey" : "698cc1cb" } }, "transferHistory" : [ { @@ -714,7 +725,7 @@ } } ], "meta" : { - "globalKey" : "63b7bdd9" + "globalKey" : "3ffce69b" } } } @@ -786,6 +797,6 @@ } ] }, "meta" : { - "globalKey" : "d6e83d31" + "globalKey" : "da9ffeaf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_ZCS_Submission.json b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_ZCS_Submission.json index f9b7728069..8f671045d1 100644 --- a/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_ZCS_Submission.json +++ b/rosetta-source/src/main/resources/result-json-files/cme-submission-irs-1-0/USD_ZCS_Submission.json @@ -5,193 +5,74 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401224-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "196ca608" - } - }, { - "issuerReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401224-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "196d1a67" - } - }, { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43401224-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "196d8ec6" - } - } ], - "tradeDate" : { - "value" : "2018-10-31", - "meta" : { - "globalKey" : "3f129f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "39cc8b9a" - } - }, - "meta" : { - "globalKey" : "39cc8b9a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2049" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "bc0ee5d1", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -208,177 +89,187 @@ } }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "39cc8b9a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "bc0ee5d1", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a78799e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7b8857fc", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "39cc8b9a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "7b8857fc", - "externalKey" : "floatingLegResetDates" + "globalKey" : "42f910b" } }, - "compoundingMethod" : "Straight", "meta" : { - "globalKey" : "36eb3277" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2049" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "bc0ee5d1", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "42f910b" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "aafa40f5", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "bc0ee5d1", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a78799e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "dateRelativeTo" : { + "globalReference" : "7b8857fc", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "meta" : { - "globalKey" : "ecea117a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-11-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "39cc8b9a" - } - }, - "meta" : { - "globalKey" : "39cc8b9a" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "7b8857fc", + "externalKey" : "floatingLegResetDates" + } + }, + "compoundingMethod" : "Straight", + "meta" : { + "globalKey" : "36eb3277" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-02", + "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "99c6cdf1", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "ecea117a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecea117a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-11-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -395,127 +286,248 @@ } }, "meta" : { - "globalKey" : "aafa40f5", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "39cc8b9a" } }, "meta" : { - "globalKey" : "865eb265" + "globalKey" : "39cc8b9a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "99c6cdf1", + "externalKey" : "fixedLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, "meta" : { - "globalKey" : "130d3b8e" + "globalKey" : "aafa40f5", + "externalKey" : "fixedLegPaymentDates" } + }, + "meta" : { + "globalKey" : "865eb265" } - }, + } ], "meta" : { - "globalKey" : "aaf93de1" + "globalKey" : "130d3b8e" } - }, - "meta" : { - "globalKey" : "aaf93de1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "aaf93de1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02178, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02178, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "479b170e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "479b170e" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7ffa3ef", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401224-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d18c5c37", - "externalReference" : "partyB" + "meta" : { + "globalKey" : "196ca608" + } + }, { + "issuerReference" : { + "globalReference" : "d18c5c37", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401224-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7ffa3ef", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "196d1a67" + } + }, { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43401224-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "196d8ec6" + } + } ], + "tradeDate" : { + "value" : "2018-10-31", + "meta" : { + "globalKey" : "3f129f" + } }, "party" : [ { "partyId" : [ { @@ -564,11 +576,11 @@ } } ], "meta" : { - "globalKey" : "e71cc36d" + "globalKey" : "5108c1dd" } }, "meta" : { - "globalKey" : "e71cc36d" + "globalKey" : "5108c1dd" } } } @@ -640,6 +652,6 @@ } ] }, "meta" : { - "globalKey" : "68b6dfad" + "globalKey" : "b3541805" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade1.json b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade1.json index c7dc344adf..e9ac54ee6e 100644 --- a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade1.json +++ b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade1.json @@ -70,6 +70,272 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-05-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26edb64a" + } + }, + "meta" : { + "globalKey" : "26edb64a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2781d47f" + } + }, + "meta" : { + "globalKey" : "2781d47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-03-20", + "meta" : { + "globalKey" : "3f08d4" + } + }, + "meta" : { + "globalKey" : "3f08d4" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "4527fe47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2017-06-20", + "meta" : { + "globalKey" : "3f1e2a" + } + }, + "meta" : { + "globalKey" : "c1d79704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "21657K", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "PFIZED INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "a16dcbbc" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US635405AQ55", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "e7dc2716" + } + }, + "meta" : { + "globalKey" : "a49e8992" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "5a12cc45" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0100, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d478ac4b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "50f20d5", + "externalReference" : "DTCCDEMO0321" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "50f24f8", + "externalReference" : "DTCCDEMO0456" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "50f20d5", + "externalReference" : "DTCCDEMO0321" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "50f20d5", @@ -127,279 +393,6 @@ "globalKey" : "3f095e" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-05-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26edb64a" - } - }, - "meta" : { - "globalKey" : "26edb64a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2781d47f" - } - }, - "meta" : { - "globalKey" : "2781d47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-03-20", - "meta" : { - "globalKey" : "3f08d4" - } - }, - "meta" : { - "globalKey" : "3f08d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "4527fe47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2017-06-20", - "meta" : { - "globalKey" : "3f1e2a" - } - }, - "meta" : { - "globalKey" : "c1d79704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "21657K", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "PFIZED INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "a16dcbbc" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US635405AQ55", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "e7dc2716" - } - }, - "meta" : { - "globalKey" : "a49e8992" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "5a12cc45" - } - }, - "meta" : { - "globalKey" : "5a12cc45" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0100, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d478ac4b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "50f20d5", - "externalReference" : "DTCCDEMO0321" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "50f24f8", - "externalReference" : "DTCCDEMO0456" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "50f20d5", - "externalReference" : "DTCCDEMO0321" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -463,7 +456,7 @@ } }, "meta" : { - "globalKey" : "72d63a7e" + "globalKey" : "6aed31be" } }, "transferHistory" : [ { @@ -479,29 +472,16 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2017-06-02" } }, "meta" : { - "globalKey" : "f5aaa12e" + "globalKey" : "1e916af9" } } ], "meta" : { - "globalKey" : "ce245af0" + "globalKey" : "b6d4efb" } } } @@ -622,6 +602,6 @@ "warehouseIdentity" : "DTCC_TIW_Gold" }, "meta" : { - "globalKey" : "51affa4" + "globalKey" : "b56ec079" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade2.json b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade2.json index 94873fa2a0..f22411529b 100644 --- a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade2.json +++ b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade2.json @@ -73,372 +73,373 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "288d59d8", - "externalReference" : "DTCC00001234" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "810RI27100804CP", - "meta" : { - "scheme" : "TradeRefNbr" - } - } - } ], - "meta" : { - "globalKey" : "1e5c4c79" - } - }, { - "issuerReference" : { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "810RI27100803", - "meta" : { - "scheme" : "TradeRefNbr" - } - } - } ], - "meta" : { - "globalKey" : "d2db4a8b" - } - }, { - "issuer" : { - "value" : "1030229152", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IL196459337", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "ee859c79" - } - } ], - "tradeDate" : { - "value" : "2018-07-17", - "meta" : { - "globalKey" : "3f11d1" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2709b47f" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "2709b47f" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "27a2ad3f" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "27a2ad3f" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "58b93681" + "globalKey" : "0", + "externalKey" : "calculationAmount" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "0" + } + } + }, + "meta" : { + "globalKey" : "58b93681" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "ITRAXX EUROPE CROSSOVER SERIES 29 VERSION 1", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" } }, - "indexId" : [ { + "identifierType" : "Other" + }, { + "identifier" : { "value" : "2I667KFN3", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" } - } ], - "meta" : { - "globalKey" : "a36eae15" - } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "ITRAXX EUROPE CROSSOVER SERIES 29 VERSION 1" + }, + "assetClass" : "Credit", + "meta" : { + "globalKey" : "8a33374f" } - }, - "meta" : { - "globalKey" : "a93f9e16" } }, "meta" : { - "globalKey" : "2c4cfcf5" + "globalKey" : "dc55742e" } + }, + "meta" : { + "globalKey" : "6c486c6f" } - }, - "meta" : { - "globalKey" : "4d49d15" } }, "meta" : { - "globalKey" : "4d49d15" + "globalKey" : "f612684f" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2018-09-19", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "270f523e" - } - }, + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2018-09-19", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "270f523e" + "globalKey" : "3a4b88ab" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "00:00:00" - }, - "expirationTime" : { - "hourMinuteTime" : "23:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "84cb57ac" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0003000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "270f523e" } }, "meta" : { - "globalKey" : "2527d3a6" + "globalKey" : "270f523e" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "00:00:00" + }, + "expirationTime" : { + "hourMinuteTime" : "23:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "2527d3a6" + "globalKey" : "84cb57ac" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.0003000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "c67ac2ac" } - }, + } ], "meta" : { - "globalKey" : "c6cd6b10" + "globalKey" : "c67ac2ac" } }, - "meta" : { - "globalKey" : "c6cd6b10" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0500000000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + "meta" : { + "globalKey" : "5f20b096" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0500000000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "74b8700e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000.00000, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } ], + "meta" : { + "globalKey" : "74b8700e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 15000000.00000, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "a104e1c2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "a104e1c2" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "288d59d8", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "288d59d8", + "externalReference" : "DTCC00001234" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "810RI27100804CP", + "meta" : { + "scheme" : "TradeRefNbr" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "288d59d8", - "externalReference" : "DTCC00001234" + "meta" : { + "globalKey" : "1e5c4c79" + } + }, { + "issuerReference" : { + "globalReference" : "85d9bc1b", + "externalReference" : "DTCC00005678" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "810RI27100803", + "meta" : { + "scheme" : "TradeRefNbr" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" + } ], + "meta" : { + "globalKey" : "d2db4a8b" + } + }, { + "issuer" : { + "value" : "1030229152", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IL196459337", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "85d9bc1b", - "externalReference" : "DTCC00005678" - } ] - } ] + "meta" : { + "globalKey" : "ee859c79" + } + } ], + "tradeDate" : { + "value" : "2018-07-17", + "meta" : { + "globalKey" : "3f11d1" + } }, "party" : [ { "partyId" : [ { @@ -496,7 +497,7 @@ } } ], "meta" : { - "globalKey" : "9f8cb65d" + "globalKey" : "9ef06b45" } }, "transferHistory" : [ { @@ -553,7 +554,7 @@ } } ], "meta" : { - "globalKey" : "f183fb66" + "globalKey" : "79d1784e" } } } @@ -619,6 +620,6 @@ "warehouseIdentity" : "DTCC_TIW_Gold" }, "meta" : { - "globalKey" : "a54ec1eb" + "globalKey" : "43f7a643" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade3.json b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade3.json index a2c0c5a8ea..da7435888f 100644 --- a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade3.json +++ b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade3.json @@ -65,6 +65,223 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "meta" : { + "globalKey" : "2709b47f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "meta" : { + "globalKey" : "27a2ad3f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX.NA.IG.30", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65BYDP7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX.NA.IG.30" + }, + "assetClass" : "Credit", + "indexAnnexDate" : "2018-03-20", + "meta" : { + "globalKey" : "5c6e78ef" + } + } + }, + "meta" : { + "globalKey" : "df7bd7ce" + } + }, + "meta" : { + "globalKey" : "d616a5cf" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "9f664f19" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0100000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000.00000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a371086b", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e2088a33", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a371086b", + "externalReference" : "DTCC00001234" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "e2088a33", @@ -140,221 +357,6 @@ "globalKey" : "3f1288" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2709b47f" - } - }, - "meta" : { - "globalKey" : "2709b47f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27a2ad3f" - } - }, - "meta" : { - "globalKey" : "27a2ad3f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "meta" : { - "globalKey" : "5a5ff79f" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX.NA.IG.30", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "indexId" : [ { - "value" : "2I65BYDP7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" - } - } ], - "indexAnnexDate" : "2018-03-20", - "meta" : { - "globalKey" : "d84ac6ed" - } - } - }, - "meta" : { - "globalKey" : "2c92d4ee" - } - }, - "meta" : { - "globalKey" : "7f19560d" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "394adb97" - } - }, - "meta" : { - "globalKey" : "394adb97" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0100000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.00000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "280b774f" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a371086b", - "externalReference" : "DTCC00001234" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e2088a33", - "externalReference" : "DTCC00005678" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a371086b", - "externalReference" : "DTCC00001234" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -411,7 +413,7 @@ } } ], "meta" : { - "globalKey" : "8dcf701" + "globalKey" : "690f8b3f" } }, "transferHistory" : [ { @@ -459,7 +461,7 @@ } } ], "meta" : { - "globalKey" : "ade4491b" + "globalKey" : "7c105259" } } } @@ -522,6 +524,6 @@ "warehouseIdentity" : "DTCC_TIW_Gold" }, "meta" : { - "globalKey" : "55de616d" + "globalKey" : "6f3045b9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade4.json b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade4.json index 1704a808be..03770b4dc2 100644 --- a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade4.json +++ b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade4.json @@ -70,6 +70,272 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-10-23", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "27105182" + } + }, + "meta" : { + "globalKey" : "27105182" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-20", + "meta" : { + "globalKey" : "3f1254" + } + }, + "meta" : { + "globalKey" : "3f1254" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "cb0747c7" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-12-20", + "meta" : { + "globalKey" : "3f27aa" + } + }, + "meta" : { + "globalKey" : "7b8a4704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "57BGE9AD0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "LEXMARK INTERNATIONAL, INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "36296790" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US529772AF23", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "209b2f4d" + } + }, + "meta" : { + "globalKey" : "d5cce1c9" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "6a593b7f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0100000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.00000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "57f73a0b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f5442030", + "externalReference" : "DTCC00001234" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "379b9853", + "externalReference" : "DTCC00005678" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "f5442030", + "externalReference" : "DTCC00001234" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "f5442030", @@ -145,279 +411,6 @@ "globalKey" : "3f1296" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-10-23", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27105182" - } - }, - "meta" : { - "globalKey" : "27105182" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-20", - "meta" : { - "globalKey" : "3f1254" - } - }, - "meta" : { - "globalKey" : "3f1254" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "cb0747c7" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-12-20", - "meta" : { - "globalKey" : "3f27aa" - } - }, - "meta" : { - "globalKey" : "7b8a4704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "57BGE9AD0", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "LEXMARK INTERNATIONAL, INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "36296790" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US529772AF23", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "209b2f4d" - } - }, - "meta" : { - "globalKey" : "d5cce1c9" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "6a593b7f" - } - }, - "meta" : { - "globalKey" : "6a593b7f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0100000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.00000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "57f73a0b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f5442030", - "externalReference" : "DTCC00001234" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "379b9853", - "externalReference" : "DTCC00005678" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "f5442030", - "externalReference" : "DTCC00001234" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -474,7 +467,7 @@ } } ], "meta" : { - "globalKey" : "b7ea6c57" + "globalKey" : "76ccd8d7" } }, "transferHistory" : [ { @@ -525,7 +518,7 @@ } } ], "meta" : { - "globalKey" : "c8a95b69" + "globalKey" : "577f67e9" } } } @@ -597,6 +590,6 @@ "warehouseIdentity" : "DTCC_TIW_Gold" }, "meta" : { - "globalKey" : "21a4bdb8" + "globalKey" : "5f5a98f8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade5.json b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade5.json index bc9ed05097..e2ef62f994 100644 --- a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade5.json +++ b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade5.json @@ -59,6 +59,200 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-25", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "270f68c4" + } + }, + "meta" : { + "globalKey" : "270f68c4" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2046-09-25", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2a5848c4" + } + }, + "meta" : { + "globalKey" : "2a5848c4" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + }, { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "b7a5bb40" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "THEISSUEROFTHEREFERENCEOBLIGATION", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "260265d9" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US02147DAK72", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "protectionTerms" : [ { + "floatingAmountEvents" : { + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "globalKey" : "cddbd672" + } + } ], + "meta" : { + "globalKey" : "96c72f93" + } + }, + "meta" : { + "globalKey" : "96c72f93" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "3103f0a6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 23000000.00000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "7ef45e5b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "48967e90", + "externalReference" : "DTCC00001234" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "48967e90", @@ -116,207 +310,6 @@ "globalKey" : "3f1259" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-25", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "270f68c4" - } - }, - "meta" : { - "globalKey" : "270f68c4" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2046-09-25", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2a5848c4" - } - }, - "meta" : { - "globalKey" : "2a5848c4" - } - }, - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - }, { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "b7a5bb40" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "THEISSUEROFTHEREFERENCEOBLIGATION", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "260265d9" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US02147DAK72", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "protectionTerms" : [ { - "floatingAmountEvents" : { - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : false, - "rateSource" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - } - }, - "meta" : { - "globalKey" : "cddbd672" - } - } ], - "meta" : { - "globalKey" : "96c72f93" - } - }, - "meta" : { - "globalKey" : "96c72f93" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "3103f0a6" - } - }, - "meta" : { - "globalKey" : "3103f0a6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 23000000.00000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7ef45e5b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "48967e90", - "externalReference" : "DTCC00001234" - } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -373,11 +366,11 @@ } } ], "meta" : { - "globalKey" : "2016c7f3" + "globalKey" : "5a02f3d1" } }, "meta" : { - "globalKey" : "2016c7f3" + "globalKey" : "5a02f3d1" } } } @@ -427,6 +420,6 @@ "warehouseIdentity" : "DTCC_TIW_Gold" }, "meta" : { - "globalKey" : "98b597f7" + "globalKey" : "ada3f699" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade6.json b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade6.json index 82ce8951ab..1af7f54247 100644 --- a/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade6.json +++ b/rosetta-source/src/main/resources/result-json-files/dtcc-11-0/DDL_NewTrade6.json @@ -70,6 +70,265 @@ "before" : { "value" : { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-11-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26f31f7b" + } + }, + "meta" : { + "globalKey" : "26f31f7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "meta" : { + "globalKey" : "2745c47f" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-09-20", + "meta" : { + "globalKey" : "3f0a54" + } + }, + "meta" : { + "globalKey" : "3f0a54" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "5a4b3fc7" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2017-12-20", + "meta" : { + "globalKey" : "3f1faa" + } + }, + "meta" : { + "globalKey" : "30014704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "57BGE9AD0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" + } + } ], + "name" : { + "value" : "LEXMARK INTERNATIONAL, INC.", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + } + }, + "meta" : { + "globalKey" : "36296790" + } + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US529772AF23", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + } + } ] + } + }, + "meta" : { + "globalKey" : "209b2f4d" + } + }, + "meta" : { + "globalKey" : "47f5e1c9" + } + }, + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement", + "calculationAgentBusinessCenter" : { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2000/business-center" + } + } + } + }, + "meta" : { + "globalKey" : "9c41fbb9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0100000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000.00000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d478ac4b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "233cfd90", + "externalReference" : "DTCC00005678" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "780f3919", + "externalReference" : "DTCC00001234" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "233cfd90", @@ -127,272 +386,6 @@ "globalKey" : "3f0acf" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26f31f7b" - } - }, - "meta" : { - "globalKey" : "26f31f7b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "meta" : { - "globalKey" : "2745c47f" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-09-20", - "meta" : { - "globalKey" : "3f0a54" - } - }, - "meta" : { - "globalKey" : "3f0a54" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "5a4b3fc7" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2017-12-20", - "meta" : { - "globalKey" : "3f1faa" - } - }, - "meta" : { - "globalKey" : "30014704" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "57BGE9AD0", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED" - } - } ], - "name" : { - "value" : "LEXMARK INTERNATIONAL, INC.", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "meta" : { - "globalKey" : "36296790" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US529772AF23", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "meta" : { - "globalKey" : "209b2f4d" - } - }, - "meta" : { - "globalKey" : "47f5e1c9" - } - }, - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement", - "calculationAgentBusinessCenter" : { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2000/business-center" - } - } - } - }, - "meta" : { - "globalKey" : "9c41fbb9" - } - }, - "meta" : { - "globalKey" : "9c41fbb9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0100000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000.00000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d478ac4b" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "233cfd90", - "externalReference" : "DTCC00005678" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "780f3919", - "externalReference" : "DTCC00001234" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -449,7 +442,7 @@ } } ], "meta" : { - "globalKey" : "761c92fc" + "globalKey" : "6e8c18bc" } }, "transferHistory" : [ { @@ -465,29 +458,16 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2017-11-20" } }, "meta" : { - "globalKey" : "57a853ad" + "globalKey" : "f842c338" } } ], "meta" : { - "globalKey" : "a22be931" + "globalKey" : "6fc0bdfc" } } } @@ -604,6 +584,6 @@ "warehouseIdentity" : "DTCC_TIW_Gold" }, "meta" : { - "globalKey" : "c4a09c9e" + "globalKey" : "b6446f3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fis/isla1.json b/rosetta-source/src/main/resources/result-json-files/fis/isla1.json index 38bbb05e78..1e2a6d9880 100644 --- a/rosetta-source/src/main/resources/result-json-files/fis/isla1.json +++ b/rosetta-source/src/main/resources/result-json-files/fis/isla1.json @@ -3,387 +3,350 @@ "eventDate" : "2020-09-22", "instruction" : [ { "before" : { - "globalReference" : "20cef919", + "globalReference" : "7883bb24", "externalReference" : "TradeState" } } ], "after" : [ { "trade" : { - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } - } ], - "meta" : { - "globalKey" : "438fa6af" - } - } ], - "tradeDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "fa42f5cf" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "914a2b74" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, "meta" : { - "globalKey" : "d3c969a8" + "globalKey" : "fa42f5cf" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "d3c969a8" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "c4a17b46" - } - }, - "durationType" : { - "durationType" : "Open" - }, - "minimumFee" : { - "value" : 0.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "171b36" - } - }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1.00 - } - }, - "meta" : { - "globalKey" : "eaf5e842" - } - } ], - "meta" : { - "globalKey" : "eaf5e842" - } - } - }, - "meta" : { - "globalKey" : "eaf5e842" - } - }, - "meta" : { - "globalKey" : "eaf5e842" - } - } + "globalKey" : "914a2b74" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], "meta" : { - "globalKey" : "eaf5e842" + "globalKey" : "20a71d" } + }, + "meta" : { + "globalKey" : "365baaee" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 1.00 - } - } - } ] }, "meta" : { - "globalKey" : "983fd0a6" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "d3c969a8" } - }, - "meta" : { - "globalKey" : "9bd2bc23" - } - }, - "meta" : { - "globalKey" : "9bd2bc23" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "24a738" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } 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"partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "438fa6af" + } + } ], + "tradeDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } }, "party" : [ { "partyId" : [ { @@ -1746,389 +1598,352 @@ } }, "meta" : { - "globalKey" : "69d36397" + "globalKey" : "340b6462" } }, "meta" : { - "globalKey" : "69d36397" + "globalKey" : "340b6462" } }, { "trade" : { - "tradeIdentifier" : [ { - "assignedIdentifier" : [ { - "identifier" : { - "value" : "0266001" - } - } ], - "meta" : { - "globalKey" : "438fa6af" - } - } ], - "tradeDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "SecuritiesFinance" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "meta" : { - "globalKey" : "e742daa5" + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "fa42f5cf" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "meta" : { + "globalKey" : "e742daa5" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "e742daa5" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "meta" : { - "globalKey" : "fa42f5cf" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "fa42f5cf", - "externalKey" : "Effective_Date" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "meta" : { "globalKey" : "fa42f5cf" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "914a2b74" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2020-09-22", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f2256" } }, "meta" : { - "globalKey" : "fa98fa5b" + "globalKey" : "fa42f5cf", + "externalKey" : "Effective_Date" } }, "meta" : { - "globalKey" : "d3c969a8" + "globalKey" : "fa42f5cf" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "d3c969a8" - } - }, - "collateral" : { - "collateralPortfolio" : [ { - "value" : { - "collateralPosition" : [ { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "assetPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "assetLeg" : [ { - "settlementDate" : { - "adjustableDate" : { - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2020-09-22", - "meta" : { - "globalKey" : "3f2256" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "24a738" - } - }, - "deliveryMethod" : "DeliveryVersusPayment" - } ], - "securityInformation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ST001" - }, - "identifierType" : "SEDOL" - } ], - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "c4a17b46" - } - }, - "durationType" : { - "durationType" : "Open" - }, - "minimumFee" : { - "value" : 0.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "171b36" - } - }, - "dividendTerms" : { - "manufacturedIncomeRequirement" : { - "totalRatio" : 1.00 - } - }, - "meta" : { - "globalKey" : "eaf5e842" - } - } ], - "meta" : { - "globalKey" : "eaf5e842" - } - } - }, - "meta" : { - "globalKey" : "eaf5e842" - } - }, - "meta" : { - "globalKey" : "eaf5e842" - } - } + "globalKey" : "914a2b74" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], "meta" : { - "globalKey" : "eaf5e842" + "globalKey" : "20a71d" } + }, + "meta" : { + "globalKey" : "365baaee" } - } ], - "collateralProvisions" : { - "collateralType" : "Cash", - "eligibleCollateral" : [ { - "treatment" : { - "valuationTreatment" : { - "marginPercentage" : 1.00 - } - } - } ] }, "meta" : { - "globalKey" : "983fd0a6" + "globalKey" : "fa98fa5b" } + }, + "meta" : { + "globalKey" : "d3c969a8" } - }, - "meta" : { - "globalKey" : "9bd2bc23" - } - }, - "meta" : { - "globalKey" : "9bd2bc23" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "assetPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "assetLeg" : [ { + "settlementDate" : { + "adjustableDate" : { + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } + }, + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "24a738" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "deliveryMethod" : "DeliveryVersusPayment" + } ], + "underlier" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.00, + "minimumFee" : { + "value" : 0.00, "unit" : { "currency" : { "value" : "USD" } + }, + "meta" : { + "globalKey" : "171b36" + } + }, + "dividendTerms" : { + "manufacturedIncomeRequirement" : { + "totalRatio" : 1.00 } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "54e9a4aa" } } ], "meta" : { - "globalKey" : "faec1b6b" + "globalKey" : "6c84cc52" } - }, { - "price" : [ { - "value" : { - "value" : 2.0000, - "unit" : { - "currency" : { - "value" : "USD" + }, + "collateral" : { + "collateralProvisions" : { + "collateralType" : "Cash", + "eligibleCollateral" : [ { + "treatment" : { + "valuationTreatment" : { + "marginPercentage" : 1.00 } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + } + } ] + }, + "meta" : { + "globalKey" : "2ffca1e4" + } + } + }, + "meta" : { + "globalKey" : "3d9b0277" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.050000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "faec1b6b" + } + }, { + "price" : [ { + "value" : { + "value" : 2.0000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "productIdentifier" : [ { - "value" : { - "identifier" : { - "value" : "ST001" - }, - "source" : "SEDOL", - "meta" : { - "globalKey" : "970a835f" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ST001" + }, + "identifierType" : "SEDOL" + } ], + "securityType" : "Equity" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "productIdentifier-1" - } ] } - } ] + } }, "meta" : { - "globalKey" : "fd6143dc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f80b47e1", - "externalReference" : "Lender3" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7c311b30", - "externalReference" : "Borrower" + }, + "meta" : { + "globalKey" : "84862355" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f80b47e1", + "externalReference" : "Lender3" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7c311b30", + "externalReference" : "Borrower" + } + } ], + "tradeIdentifier" : [ { + "assignedIdentifier" : [ { + "identifier" : { + "value" : "0266001" + } + } ], + "meta" : { + "globalKey" : "438fa6af" + } + } ], + "tradeDate" : { + "value" : "2020-09-22", + "meta" : { + "globalKey" : "3f2256" + } }, "party" : [ { "partyId" : [ { @@ -2186,15 +2001,15 @@ } }, "meta" : { - "globalKey" : "4f9e5c5" + "globalKey" : "6567e010" } }, "meta" : { - "globalKey" : "4f9e5c5" + "globalKey" : "6567e010" } } ], "meta" : { - "globalKey" : "775303a1" + "globalKey" : "a76978d8" } }, "timestamp" : [ { @@ -2202,6 +2017,6 @@ "qualification" : "eventCreationDateTime" } ], "meta" : { - "globalKey" : "da618dde" + "globalKey" : "dfd3f947" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex19-cds-execution-allocations.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex19-cds-execution-allocations.json index c93486bd02..67c5d29e46 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex19-cds-execution-allocations.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex19-cds-execution-allocations.json @@ -62,81 +62,32 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "101de221", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "10000", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "9843fe25" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "77e72f96" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "77e72f96" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -153,340 +104,382 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "77e72f96" + } + }, + "meta" : { + "globalKey" : "77e72f96" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "514e072e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "71dc9af5" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "514e072e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Agrium Inc." }, "meta" : { - "globalKey" : "0" + "globalKey" : "6b99b4c1", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "71dc9af5" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } }, - "notBearer" : true + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8badd6a0" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "ce9ae895" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e3224265" + "globalKey" : "8badd6a0" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "455c2cf7" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "ce9ae895" } + } ], + "meta" : { + "globalKey" : "e3224265" } }, "meta" : { - "globalKey" : "e8d1aed4" + "globalKey" : "455c2cf7" } }, - "meta" : { - "globalKey" : "e8d1aed4" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e8d1aed4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "14073d41" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "57f73a0b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8a389402", - "externalReference" : "party3" + } ], + "meta" : { + "globalKey" : "14073d41" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "101de221", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "57f73a0b" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "101de221", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8a389402", + "externalReference" : "party3" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "101de221", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "101de221", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "101de221", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "10000", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9843fe25" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -647,7 +640,7 @@ } } ], "meta" : { - "globalKey" : "b33eaf36" + "globalKey" : "36c7cab6" } }, "transferHistory" : [ { @@ -705,7 +698,7 @@ } } ], "meta" : { - "globalKey" : "1c031aee" + "globalKey" : "1f24cf6e" } } } @@ -738,6 +731,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "3156648" + "globalKey" : "4217af08" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.json index b91265dab9..e6a51e979d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex59-execution-advice-trade-amendment-F02-00.json @@ -49,269 +49,271 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR3456", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:Index:CDX:CDXHY" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3eca48" } }, - "version" : 2 - } ], - "meta" : { - "globalKey" : "98dee5c4" - } - } ], - "tradeDate" : { - "value" : "2009-09-08", - "meta" : { - "globalKey" : "3eca48" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:Index:CDX:CDXHY" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-08", - "meta" : { - "globalKey" : "3eca48" - } - }, - "meta" : { - "globalKey" : "3eca48" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-20", - "meta" : { - "globalKey" : "3ec994" - } - }, - "meta" : { - "globalKey" : "3ec994" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "c9d95f07" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-20", "meta" : { - "globalKey" : "3edeea" + "globalKey" : "3ec994" } }, "meta" : { - "globalKey" : "9ca46f04" + "globalKey" : "3ec994" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "c9d95f07" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "3edeea" + } + }, + "meta" : { + "globalKey" : "9ca46f04" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX-NAIGHVOLS10.5Y" + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65B3BA0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX-NAIGHVOLS10.5Y" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX-NAIGHVOLS10.5Y" - }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "16a21cc9" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "16a21cc9" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2b60005c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "98dee5c4" + } + } ], + "tradeDate" : { + "value" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } }, "party" : [ { "partyId" : [ { @@ -406,7 +408,7 @@ } } ], "meta" : { - "globalKey" : "bea4b280" + "globalKey" : "974f452f" } }, "transferHistory" : [ { @@ -448,7 +450,7 @@ } } ], "meta" : { - "globalKey" : "1182c930" + "globalKey" : "c9c02e5f" } } } @@ -484,6 +486,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "9cca6d16" + "globalKey" : "4858d2d5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json index c7a265beb0..c1dee942b3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json @@ -49,269 +49,271 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR3456", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:Index:CDX:CDXIG" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3eca48" } }, - "version" : 2 - } ], - "meta" : { - "globalKey" : "98dee5c4" - } - } ], - "tradeDate" : { - "value" : "2009-09-08", - "meta" : { - "globalKey" : "3eca48" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:Index:CDX:CDXIG" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-08", - "meta" : { - "globalKey" : "3eca48" - } - }, - "meta" : { - "globalKey" : "3eca48" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-20", - "meta" : { - "globalKey" : "3ec994" - } - }, - "meta" : { - "globalKey" : "3ec994" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "c9d95f07" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-20", "meta" : { - "globalKey" : "3edeea" + "globalKey" : "3ec994" } }, "meta" : { - "globalKey" : "9ca46f04" + "globalKey" : "3ec994" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "c9d95f07" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "3edeea" + } + }, + "meta" : { + "globalKey" : "9ca46f04" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX-NAIGHVOLS10.5Y" + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65B3BA0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX-NAIGHVOLS10.5Y" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX-NAIGHVOLS10.5Y" - }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "5ec551c" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "5ec551c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "44a854a9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "98dee5c4" + } + } ], + "tradeDate" : { + "value" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } }, "party" : [ { "partyId" : [ { @@ -406,7 +408,7 @@ } } ], "meta" : { - "globalKey" : "c22df453" + "globalKey" : "fceb59c2" } }, "transferHistory" : [ { @@ -448,7 +450,7 @@ } } ], "meta" : { - "globalKey" : "2ef3e383" + "globalKey" : "785f3b72" } } } @@ -484,6 +486,6 @@ } ], "action" : "Correct", "meta" : { - "globalKey" : "fa7b3484" + "globalKey" : "65fcf83" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex64-execution-advice-trade-initiation-correction.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex64-execution-advice-trade-initiation-correction.json index 7a99760c5d..ddaa00c416 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex64-execution-advice-trade-initiation-correction.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/msg-ex64-execution-advice-trade-initiation-correction.json @@ -49,131 +49,52 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "15e81583", - "externalReference" : "SKY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS2", - "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" - } - }, - "version" : 2 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "afb2105b" - } - } ], - "tradeDate" : { - "value" : "2007-07-27", - "meta" : { - "globalKey" : "3eb9db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "99ecd50c", - "externalKey" : "BCT1" - } - }, - "meta" : { - "globalKey" : "706f885d" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -188,137 +109,141 @@ "globalKey" : "365a0a2f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "b4c01db4", - "externalKey" : "CALC1" + "globalKey" : "d83acb11" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d83acb11" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "1f065e" + "globalKey" : "99ecd50c", + "externalKey" : "BCT1" } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "706f885d" } }, "meta" : { - "globalKey" : "3fe2ea5c" + "globalKey" : "9a6e183f" } }, "meta" : { - "globalKey" : "493035cb" + "globalKey" : "9a6e183f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "1f065e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "b4c01db4", + "externalKey" : "CALC1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "3fe2ea5c" + } + }, + "meta" : { + "globalKey" : "493035cb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "211c224d" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "99ecd50c", @@ -329,32 +254,21 @@ } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "211c224d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "81e1e301", - "externalKey" : "CALC2" + "globalKey" : "c2fce32f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c2fce32f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -370,172 +284,270 @@ } }, "meta" : { - "globalKey" : "b347d10d" + "globalKey" : "634fdb11" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "81e1e301", - "externalReference" : "CALC2" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "536cd230" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "cda103d8", - "externalReference" : "RES2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } + "meta" : { + "globalKey" : "634fdb11" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "cda103d8", - "externalKey" : "RES2" + "globalKey" : "1f065e" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "45e87af8" + "globalKey" : "365a0a2f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "e373b7cd" + "globalKey" : "81e1e301", + "externalKey" : "CALC2" } - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0987, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b347d10d" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "81e1e301", + "externalReference" : "CALC2" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "536cd230" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "cda103d8", + "externalReference" : "RES2" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "cda103d8", + "externalKey" : "RES2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "45e87af8" } } ], "meta" : { - "globalKey" : "83890fee" + "globalKey" : "e373b7cd" } - }, { - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } + }, + "meta" : { + "globalKey" : "e373b7cd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0987, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "JPY-BBSF-Bloomberg-15:00" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "83890fee" + } + }, { + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7ce2984e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "15e81583", - "externalReference" : "SKY" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "98985a5b", - "externalReference" : "FIRST" + }, + "meta" : { + "globalKey" : "45b8ec09" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "15e81583", + "externalReference" : "SKY" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "98985a5b", + "externalReference" : "FIRST" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "15e81583", + "externalReference" : "SKY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS2", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "afb2105b" + } + } ], + "tradeDate" : { + "value" : "2007-07-27", + "meta" : { + "globalKey" : "3eb9db" + } }, "party" : [ { "partyId" : [ { @@ -650,11 +662,11 @@ } } ], "meta" : { - "globalKey" : "bb54a409" + "globalKey" : "33065372" } }, "meta" : { - "globalKey" : "bb54a409" + "globalKey" : "33065372" } } } @@ -690,6 +702,6 @@ } ], "action" : "Correct", "meta" : { - "globalKey" : "6a923b13" + "globalKey" : "3ad94dd0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex02-swap-spread-single-trade-execution-notification.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex02-swap-spread-single-trade-execution-notification.json index bf6a42ae1b..c99c15d342 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex02-swap-spread-single-trade-execution-notification.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex02-swap-spread-single-trade-execution-notification.json @@ -5,308 +5,260 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "78f17bdb", - "externalReference" : "sef" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1", - "meta" : { - "scheme" : "http://www.sefco.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "c9faf35d" - } - } ], - "tradeDate" : { - "value" : "2014-01-15", - "meta" : { - "globalKey" : "3ef04f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-01-17", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec68c749" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-01-17", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-01-17", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "45e43309" - } - }, - "meta" : { - "globalKey" : "45e43309" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec68c749" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-01-17", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "774d8b35" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters1" } }, "meta" : { - "globalKey" : "ad888f06" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f5b" - }, - "rollConvention" : "17" - }, "meta" : { - "globalKey" : "c0b0d64f", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "45e43309" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } + "meta" : { + "globalKey" : "45e43309" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "7f6de896" + "globalKey" : "774d8b35" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c0b0d64f", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ff9b708" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "dateRelativeTo" : { - "globalReference" : "9cca214f", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } + "meta" : { + "globalKey" : "ad888f06" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f5b" + }, + "rollConvention" : "17" + }, + "meta" : { + "globalKey" : "c0b0d64f", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "9cca214f", - "externalKey" : "resetDates1" + "globalKey" : "774d8b35" } }, "meta" : { - "globalKey" : "ffbf377b" + "globalKey" : "ad888f06" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "7f6de896" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c0b0d64f", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ff9b708" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "dateRelativeTo" : { + "globalReference" : "9cca214f", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "774d8b35" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ad888f06" + } + }, + "meta" : { + "globalKey" : "9cca214f", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "ffbf377b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-01-17", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-01-17", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } - }, - "meta" : { - "globalKey" : "7b310155" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-01-17", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "7b310155" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec68c749" + } + }, + "meta" : { + "globalKey" : "ec68c749" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-01-17", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -321,176 +273,236 @@ "globalKey" : "ad888f06" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9e" - }, - "rollConvention" : "17" - }, "meta" : { - "globalKey" : "5fb968c6", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "7b310155" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "7b310155" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } + "meta" : { + "globalKey" : "774d8b35" + } + }, + "meta" : { + "globalKey" : "ad888f06" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9e" + }, + "rollConvention" : "17" + }, + "meta" : { + "globalKey" : "5fb968c6", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "b7116f33" + "globalKey" : "774d8b35" } }, "meta" : { - "globalKey" : "2a5a39a3" + "globalKey" : "ad888f06" } - } ], + }, "meta" : { - "globalKey" : "4094e75e" + "globalKey" : "b7116f33" } + }, + "meta" : { + "globalKey" : "2a5a39a3" } - }, + } ], "meta" : { "globalKey" : "4094e75e" } - }, - "meta" : { - "globalKey" : "4094e75e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "4094e75e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-CMS-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-CMS-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-CMS-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c6f45906" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02232, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "635a0fec" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02232, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "ff7e4a19" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1438febe", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6f175a98", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "ff7e4a19" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1438febe", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6f175a98", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "78f17bdb", + "externalReference" : "sef" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1", + "meta" : { + "scheme" : "http://www.sefco.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "c9faf35d" + } + } ], + "tradeDate" : { + "value" : "2014-01-15", + "meta" : { + "globalKey" : "3ef04f" + } }, "party" : [ { "partyId" : [ { @@ -600,11 +612,11 @@ } }, "meta" : { - "globalKey" : "dbf0c4d9" + "globalKey" : "d0111d5" } }, "meta" : { - "globalKey" : "dbf0c4d9" + "globalKey" : "d0111d5" } } } @@ -637,6 +649,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "4d0dd962" + "globalKey" : "5656441e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex61-clearing-confirmed.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex61-clearing-confirmed.json index 1732b48cb0..513121a682 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex61-clearing-confirmed.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-processes/pkg-ex61-clearing-confirmed.json @@ -5,308 +5,260 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "78f17bdb", - "externalReference" : "sef" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1", - "meta" : { - "scheme" : "http://www.sefco.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "c9faf35d" - } - } ], - "tradeDate" : { - "value" : "2014-01-15", - "meta" : { - "globalKey" : "3ef04f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-01-17", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec68c749" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-01-17", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-01-17", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "45e43309" - } - }, - "meta" : { - "globalKey" : "45e43309" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec68c749" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-01-17", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "774d8b35" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters1" } }, "meta" : { - "globalKey" : "ad888f06" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f5b" - }, - "rollConvention" : "17" - }, "meta" : { - "globalKey" : "c0b0d64f", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "45e43309" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } + "meta" : { + "globalKey" : "45e43309" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "7f6de896" + "globalKey" : "774d8b35" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c0b0d64f", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ff9b708" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "dateRelativeTo" : { - "globalReference" : "9cca214f", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } + "meta" : { + "globalKey" : "ad888f06" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f5b" + }, + "rollConvention" : "17" + }, + "meta" : { + "globalKey" : "c0b0d64f", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "9cca214f", - "externalKey" : "resetDates1" + "globalKey" : "774d8b35" } }, "meta" : { - "globalKey" : "ffbf377b" + "globalKey" : "ad888f06" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "7f6de896" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c0b0d64f", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ff9b708" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "dateRelativeTo" : { + "globalReference" : "9cca214f", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "774d8b35" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ad888f06" + } + }, + "meta" : { + "globalKey" : "9cca214f", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "ffbf377b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-01-17", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "meta" : { - "globalKey" : "ec68c749" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-01-17", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } - }, - "meta" : { - "globalKey" : "7b310155" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-01-17", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "7b310155" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec68c749" + } + }, + "meta" : { + "globalKey" : "ec68c749" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-01-17", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -321,176 +273,236 @@ "globalKey" : "ad888f06" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9e" - }, - "rollConvention" : "17" - }, "meta" : { - "globalKey" : "5fb968c6", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "7b310155" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "7b310155" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters1" - }, - "meta" : { - "globalKey" : "774d8b35" - } - }, - "meta" : { - "globalKey" : "ad888f06" - } + "meta" : { + "globalKey" : "774d8b35" + } + }, + "meta" : { + "globalKey" : "ad888f06" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9e" + }, + "rollConvention" : "17" + }, + "meta" : { + "globalKey" : "5fb968c6", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters1" }, "meta" : { - "globalKey" : "b7116f33" + "globalKey" : "774d8b35" } }, "meta" : { - "globalKey" : "2a5a39a3" + "globalKey" : "ad888f06" } - } ], + }, "meta" : { - "globalKey" : "4094e75e" + "globalKey" : "b7116f33" } + }, + "meta" : { + "globalKey" : "2a5a39a3" } - }, + } ], "meta" : { "globalKey" : "4094e75e" } - }, - "meta" : { - "globalKey" : "4094e75e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "4094e75e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-CMS-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-CMS-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-CMS-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2752a85e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.02232, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "2fe38394" + } + }, { + "price" : [ { + "value" : { + "value" : 0.02232, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "d0e0d7c1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f2c79d27", - "externalReference" : "dealer" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cd1f7baf", - "externalReference" : "fcm1" + } ], + "meta" : { + "globalKey" : "d0e0d7c1" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f2c79d27", + "externalReference" : "dealer" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cd1f7baf", + "externalReference" : "fcm1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "78f17bdb", + "externalReference" : "sef" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1", + "meta" : { + "scheme" : "http://www.sefco.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "c9faf35d" + } + } ], + "tradeDate" : { + "value" : "2014-01-15", + "meta" : { + "globalKey" : "3ef04f" + } }, "party" : [ { "partyId" : [ { @@ -621,11 +633,11 @@ } } ], "meta" : { - "globalKey" : "4661c663" + "globalKey" : "ca49d57" } }, "meta" : { - "globalKey" : "4661c663" + "globalKey" : "ca49d57" } } } @@ -660,6 +672,6 @@ } } ], "meta" : { - "globalKey" : "a35015c1" + "globalKey" : "526209ed" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/bond-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/bond-option.json index c86c00a3b6..a0b8ee1cf4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/bond-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/bond-option.json @@ -1,240 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-05-10", - "meta" : { - "globalKey" : "3eb14a", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2006-06-22", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2006-06-22", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "a15ed25a" + "globalKey" : "211ff630" } - }, - "meta" : { - "globalKey" : "35f85f44" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP1", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "39e279be" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-06-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } - }, + "meta" : { + "globalKey" : "a15ed25a" + } + }, + "meta" : { + "globalKey" : "35f85f44" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-06-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "9c40487d" + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "9c40487d" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "JPTO" + "globalKey" : "211ff630" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Buyer", - "businessCenter" : { - "value" : "JPTO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : false - }, "meta" : { - "globalKey" : "4f51319d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 99.7, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "globalKey" : "9c40487d" } }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "9c40487d" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", + "businessCenter" : { + "value" : "JPTO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : false + }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "4f51319d" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 99.7, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "27706b4" } - }, + } ], "meta" : { - "globalKey" : "85540b5c" + "globalKey" : "27706b4" } }, - "meta" : { - "globalKey" : "85540b5c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { + "meta" : { + "globalKey" : "8d1c129e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { "value" : 10000000000, "unit" : { "currency" : { "value" : "JPY" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -251,37 +213,61 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "6ba88276" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + }, + "meta" : { + "globalKey" : "2f386d63" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-05-10", + "meta" : { + "globalKey" : "3eb14a", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -317,7 +303,7 @@ } } ], "meta" : { - "globalKey" : "2ed413ee" + "globalKey" : "b8d465e1" } }, "transferHistory" : [ { @@ -376,6 +362,6 @@ } } ], "meta" : { - "globalKey" : "2aa9e0ab" + "globalKey" : "1a68eed8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option-2.json index ca3f77350b..4c3a438558 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option-2.json @@ -1,266 +1,229 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "PartyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Bond1", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "10ca1193" - } - } ], - "tradeDate" : { - "value" : "2004-12-24", - "meta" : { - "globalKey" : "3ea318" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "bfe34747" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd0515f1", - "externalReference" : "EXERCISE" - } - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", "meta" : { "globalKey" : "bfe34747" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "42a8663" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd0515f1", + "externalReference" : "EXERCISE" } - }, - "meta" : { - "globalKey" : "95fcb1" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN2", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276b39d" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-29", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "meta" : { - "globalKey" : "da506292" - } - }, + "meta" : { + "globalKey" : "bfe34747" + } + }, + "meta" : { + "globalKey" : "95fcb1" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-29", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "dc6674d5" + "globalKey" : "42a8663" } }, "meta" : { - "globalKey" : "dc6674d5" + "globalKey" : "da506292" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "meta" : { - "globalKey" : "da506292" - } - }, + "meta" : { + "globalKey" : "dc6674d5" + } + }, + "meta" : { + "globalKey" : "dc6674d5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "dd0515f1" + "globalKey" : "42a8663" } }, "meta" : { - "globalKey" : "dd0515f1", - "externalKey" : "EXERCISE" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da506292" } }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 20, - "maximumNumberOfOptions" : 200 - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, "meta" : { - "globalKey" : "cb57346b" - } - }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "JPY-LIBOR-BBA", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 27 - } + "globalKey" : "dd0515f1" } }, "meta" : { - "globalKey" : "f029c577" + "globalKey" : "dd0515f1", + "externalKey" : "EXERCISE" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 20, + "maximumNumberOfOptions" : 200 + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, "meta" : { - "globalKey" : "f029c577" + "globalKey" : "cb57346b" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "JPY-LIBOR-BBA", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "spread" : 27 + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e028571a" } - }, + } ], "meta" : { - "globalKey" : "d91a2ca1" + "globalKey" : "e028571a" } }, - "meta" : { - "globalKey" : "d91a2ca1" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 200, + "meta" : { + "globalKey" : "c3bae184" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 200, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 10000000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "currency" : { + "value" : "JPY" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -277,37 +240,60 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "25784004" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "1e8deed3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "PartyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Bond1", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "PartyA" - } ] - } ] + "meta" : { + "globalKey" : "10ca1193" + } + } ], + "tradeDate" : { + "value" : "2004-12-24", + "meta" : { + "globalKey" : "3ea318" + } }, "party" : [ { "partyId" : [ { @@ -343,10 +329,10 @@ } } ], "meta" : { - "globalKey" : "388f9d3e" + "globalKey" : "e10cedf0" } }, "meta" : { - "globalKey" : "388f9d3e" + "globalKey" : "e10cedf0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option.json index e9a401da99..d31b92d89e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/bond-options/cb-option.json @@ -1,275 +1,237 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", + "meta" : { + "globalKey" : "b3836fa6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" + } + }, + "dateRelativeTo" : { + "globalReference" : "7683e50c", + "externalReference" : "EXERCISE" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "b3836fa6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "dateRelativeTo" : { - "globalReference" : "7683e50c", - "externalReference" : "EXERCISE" - } + "meta" : { + "globalKey" : "b3836fa6" + } + }, + "meta" : { + "globalKey" : "7b9413e" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "b3836fa6" + "globalKey" : "da4d16b1" } }, "meta" : { - "globalKey" : "7b9413e" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN1", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276afdc" + "globalKey" : "3529f2fe" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, + "meta" : { + "globalKey" : "3529f2fe" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2010-08-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "3529f2fe" + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "3529f2fe" + "globalKey" : "da4d16b1" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2010-08-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, - "meta" : { - "globalKey" : "7683e50c" - } - }, - "meta" : { - "globalKey" : "7683e50c", - "externalKey" : "EXERCISE" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", + "meta" : { + "globalKey" : "7683e50c" + } + }, + "meta" : { + "globalKey" : "7683e50c", + "externalKey" : "EXERCISE" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", "businessCenter" : { "value" : "GBLO" } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, + "meta" : { + "globalKey" : "f86a126c" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "EUR-LIBOR-BBA", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, - "meta" : { - "globalKey" : "f86a126c" - } + "spread" : 85, + "side" : "Bid" }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "EUR-LIBOR-BBA", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 85, - "side" : "Bid" - }, - "makeWholeAmount" : { - "floatingRateIndex" : "EUR-LIBOR-BBA", - "spread" : 85, - "side" : "Bid", - "interpolationMethod" : "LinearZeroYield", - "earlyCallDate" : { - "value" : "2006-07-19", - "meta" : { - "globalKey" : "3eb1d3" - } - } + "makeWholeAmount" : { + "floatingRateIndex" : "EUR-LIBOR-BBA", + "spread" : 85, + "side" : "Bid", + "interpolationMethod" : "LinearZeroYield", + "earlyCallDate" : { + "value" : "2006-07-19", + "meta" : { + "globalKey" : "3eb1d3" } } - }, - "meta" : { - "globalKey" : "f83f7031" } - } ], - "meta" : { - "globalKey" : "f83f7031" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "aee3dbd5" } - }, + } ], "meta" : { - "globalKey" : "327010db" + "globalKey" : "aee3dbd5" } }, - "meta" : { - "globalKey" : "327010db" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1, + "meta" : { + "globalKey" : "d1a8237f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1100000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1100000, - "unit" : { - "currency" : { - "value" : "CHF" - } + "currency" : { + "value" : "CHF" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -286,37 +248,61 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "92382e01" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + }, + "meta" : { + "globalKey" : "8b5b7ff2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -352,10 +338,10 @@ } } ], "meta" : { - "globalKey" : "d150ae96" + "globalKey" : "2ded5f2b" } }, "meta" : { - "globalKey" : "d150ae96" + "globalKey" : "2ded5f2b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json index 6b68fb2169..3bb5517865 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json @@ -1,5 +1,141 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "5a4c1a06" + } + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "meta" : { + "globalKey" : "34164625" + } + } + }, + "meta" : { + "globalKey" : "63752c82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "887868a8" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,144 +175,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - }, - "meta" : { - "globalKey" : "b14a72a8" - } - }, - "meta" : { - "globalKey" : "b75425e2" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "meta" : { - "globalKey" : "743d0401" - } - } - }, - "meta" : { - "globalKey" : "ea3cab04" - } - }, - "meta" : { - "globalKey" : "ea3cab04" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - } - } - }, - "meta" : { - "globalKey" : "b14a72a8" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -263,10 +261,10 @@ } }, "meta" : { - "globalKey" : "7f889e5f" + "globalKey" : "8d302803" } }, "meta" : { - "globalKey" : "7f889e5f" + "globalKey" : "8d302803" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json index 38dba0f81e..47f134ee71 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "dc85c3fe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.45, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USGAL" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "217175b9" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "dc85c3fe" - } - }, - "meta" : { - "globalKey" : "dc85c3fe" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.45, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USGAL" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "217175b9" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -247,10 +240,10 @@ } }, "meta" : { - "globalKey" : "96189596" + "globalKey" : "7d8491d6" } }, "meta" : { - "globalKey" : "96189596" + "globalKey" : "7d8491d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json index d9724acd98..dbe3065645 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fb252c" + } + }, + "meta" : { + "globalKey" : "25fb252c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fb95ca" + } + }, + "meta" : { + "globalKey" : "25fb95ca" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "262fbfe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 5.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "capacityUnit" : "GJ" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "bf9be60d" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fb252c" - } - }, - "meta" : { - "globalKey" : "25fb252c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fb95ca" - } - }, - "meta" : { - "globalKey" : "25fb95ca" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "262fbfe" - } - }, - "meta" : { - "globalKey" : "262fbfe" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 5.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "capacityUnit" : "GJ" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "bf9be60d" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -247,10 +240,10 @@ } }, "meta" : { - "globalKey" : "332c80c2" + "globalKey" : "5b951b02" } }, "meta" : { - "globalKey" : "332c80c2" + "globalKey" : "5b951b02" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json index 30d60a9dc8..81d2ab16ff 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json @@ -1,5 +1,168 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-04-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fc156c" + } + }, + "meta" : { + "globalKey" : "25fc156c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-04-04", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fc20af" + } + }, + "meta" : { + "globalKey" : "25fc20af" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "commodityPriceReturnTerms" : { + "spread" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + } + }, + "pricingDates" : { + "parametricDates" : { + "dayDistribution" : "All" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "6cbbb1dc" + } + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "meta" : { + "globalKey" : "d2aa02fb" + } + } + }, + "meta" : { + "globalKey" : "1fa67298" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 15.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "40d8dcb0" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,171 +202,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-04-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fc156c" - } - }, - "meta" : { - "globalKey" : "25fc156c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-04-04", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fc20af" - } - }, - "meta" : { - "globalKey" : "25fc20af" - } - }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "commodityPriceReturnTerms" : { - "spread" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - }, - "pricingDates" : { - "parametricDates" : { - "dayDistribution" : "All" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - }, - "meta" : { - "globalKey" : "96f67959" - } - }, - "meta" : { - "globalKey" : "676437fd" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "meta" : { - "globalKey" : "9b70909c" - } - } - }, - "meta" : { - "globalKey" : "5281c65f" - } - }, - "meta" : { - "globalKey" : "5281c65f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 15.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - } - } - }, - "meta" : { - "globalKey" : "d9d23270" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -290,10 +288,10 @@ } }, "meta" : { - "globalKey" : "793af97a" + "globalKey" : "8205aed5" } }, "meta" : { - "globalKey" : "793af97a" + "globalKey" : "8205aed5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json index 65082ddd17..6d18fb291e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fee62c" + } + }, + "meta" : { + "globalKey" : "25fee62c" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "ff785120" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.2, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "capacityUnit" : "USTHM" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "62fd50a5" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fee62c" - } - }, - "meta" : { - "globalKey" : "25fee62c" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "ff785120" - } - }, - "meta" : { - "globalKey" : "ff785120" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.2, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "capacityUnit" : "USTHM" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "62fd50a5" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -228,10 +221,10 @@ } }, "meta" : { - "globalKey" : "391ab047" + "globalKey" : "2540c187" } }, "meta" : { - "globalKey" : "391ab047" + "globalKey" : "2540c187" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json index debc111393..739b293f5d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json @@ -1,5 +1,140 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2602a72c" + } + }, + "meta" : { + "globalKey" : "2602a72c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-11-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26031409" + } + }, + "meta" : { + "globalKey" : "26031409" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 20, + "period" : "D", + "meta" : { + "globalKey" : "24053e8e" + }, + "dayType" : "Calendar" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NEAREST", + "meta" : { + "globalKey" : "979ebc3e" + } + }, + "meta" : { + "globalKey" : "3e8c9ba6" + } + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "c7c08b39" + } + } ], + "meta" : { + "globalKey" : "3e03b67a" + } + } + }, + "meta" : { + "globalKey" : "201d4197" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 41.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USGAL" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "474bbb7a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,148 +174,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2602a72c" - } - }, - "meta" : { - "globalKey" : "2602a72c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-11-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26031409" - } - }, - "meta" : { - "globalKey" : "26031409" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 20, - "period" : "D", - "meta" : { - "globalKey" : "24053e8e" - }, - "dayType" : "Calendar" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NEAREST", - "meta" : { - "globalKey" : "979ebc3e" - } - }, - "meta" : { - "globalKey" : "3e8c9ba6" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "c7c08b39" - } - } ], - "meta" : { - "globalKey" : "3e03b67a" - } - } - }, - "meta" : { - "globalKey" : "201d4197" - } - }, - "meta" : { - "globalKey" : "201d4197" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 41.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USGAL" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "474bbb7a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -223,10 +216,10 @@ } } ], "meta" : { - "globalKey" : "2b0ed37b" + "globalKey" : "df83473b" } }, "meta" : { - "globalKey" : "2b0ed37b" + "globalKey" : "df83473b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json index 0699dfb535..5e85dc79a9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json @@ -1,5 +1,191 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "commodityPriceReturnTerms" : { + "spread" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + } + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "ICE/10X-DAILY" + } ], + "meta" : { + "globalKey" : "802f9b7f" + } + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" + }, + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "27cac490" + } + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "meta" : { + "globalKey" : "75c89baf" + } + } + }, + "meta" : { + "globalKey" : "7879264d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 3.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ELECTRICITY-ERCOT-NORTH PEAK-ICE/10X DAILY-POWER", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "MeanOfHighAndLow" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "4fcdf4ea" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,194 +225,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "commodityPriceReturnTerms" : { - "spread" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "ICE/10X-DAILY" - } ], - "meta" : { - "globalKey" : "802f9b7f" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-ERCOT-NORTH PEAK-ICE/10X DAILY-POWER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" - }, - "meta" : { - "globalKey" : "1c285c04" - } - }, - "meta" : { - "globalKey" : "52225574" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "meta" : { - "globalKey" : "96651a93" - } - } - }, - "meta" : { - "globalKey" : "acdf0235" - } - }, - "meta" : { - "globalKey" : "acdf0235" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 3.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-ERCOT-NORTH PEAK-ICE/10X DAILY-POWER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" - } - } - }, - "meta" : { - "globalKey" : "7e61c8ea" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -269,10 +267,10 @@ } } ], "meta" : { - "globalKey" : "f7032bf" + "globalKey" : "570f9b67" } }, "meta" : { - "globalKey" : "f7032bf" + "globalKey" : "570f9b67" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json index 92529ddaf6..34b2392bf5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json @@ -1,5 +1,82 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "meta" : { + "globalKey" : "cb7296a0" + } + } + }, + "meta" : { + "globalKey" : "a85f6ee3" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,90 +116,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "meta" : { - "globalKey" : "cb7296a0" - } - } - }, - "meta" : { - "globalKey" : "a85f6ee3" - } - }, - "meta" : { - "globalKey" : "a85f6ee3" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -165,10 +158,10 @@ } } ], "meta" : { - "globalKey" : "ba6abfef" + "globalKey" : "bc6fc8cd" } }, "meta" : { - "globalKey" : "ba6abfef" + "globalKey" : "bc6fc8cd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json index a87107307a..5ff5185103 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json @@ -1,5 +1,82 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-05-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "meta" : { + "globalKey" : "cb7296a0" + } + } + }, + "meta" : { + "globalKey" : "6d45ebc2" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,90 +116,6 @@ "globalKey" : "3e9116" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-05-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "meta" : { - "globalKey" : "cb7296a0" - } - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -165,10 +158,10 @@ } } ], "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } }, "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json index 10b3e81677..d23bcdd50f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "2bd8e8e0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 45.37, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "MT" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "908ec059" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "2bd8e8e0" - } - }, - "meta" : { - "globalKey" : "2bd8e8e0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 45.37, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "MT" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "908ec059" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -203,10 +196,10 @@ } } ], "meta" : { - "globalKey" : "327bce3" + "globalKey" : "3d42e5a3" } }, "meta" : { - "globalKey" : "327bce3" + "globalKey" : "3d42e5a3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json index a87107307a..5ff5185103 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json @@ -1,5 +1,82 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-05-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "meta" : { + "globalKey" : "cb7296a0" + } + } + }, + "meta" : { + "globalKey" : "6d45ebc2" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,90 +116,6 @@ "globalKey" : "3e9116" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-05-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "meta" : { - "globalKey" : "cb7296a0" - } - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -165,10 +158,10 @@ } } ], "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } }, "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json index d8cddfe057..9054243ca3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json @@ -1,5 +1,170 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf06b39" + } + }, + "meta" : { + "globalKey" : "ebf06b39", + "externalKey" : "physicalEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebfb2e97" + } + }, + "meta" : { + "globalKey" : "ebfb2e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "e365f6de" + } + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : false + }, + "followUpConfirmation" : false + }, + "meta" : { + "globalKey" : "af182c6f" + } + }, + "meta" : { + "globalKey" : "d3d46b44" + } + } ], + "meta" : { + "globalKey" : "d3d46b44" + } + } + }, + "meta" : { + "globalKey" : "d3d46b44" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 45.6, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "4483905f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,179 +204,6 @@ "globalKey" : "3ec916" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebf06b39" - } - }, - "meta" : { - "globalKey" : "ebf06b39", - "externalKey" : "physicalEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebfb2e97" - } - }, - "meta" : { - "globalKey" : "ebfb2e97", - "externalKey" : "physicalTerminationDate" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "e365f6de" - } - }, - "meta" : { - "globalKey" : "e365f6de" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : false - }, - "followUpConfirmation" : false - }, - "meta" : { - "globalKey" : "af182c6f" - } - }, - "meta" : { - "globalKey" : "8debf57a" - } - } ], - "meta" : { - "globalKey" : "8debf57a" - } - } - }, - "meta" : { - "globalKey" : "8debf57a" - } - }, - "meta" : { - "globalKey" : "8debf57a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 45.6, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USMMBTU" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4483905f" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -254,7 +246,7 @@ } } ], "meta" : { - "globalKey" : "70f7bea5" + "globalKey" : "9ac43af" } }, "transferHistory" : [ { @@ -313,6 +305,6 @@ } } ], "meta" : { - "globalKey" : "d6bcb76b" + "globalKey" : "6e875c21" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json index 5b6262556c..ad8c6bc787 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json @@ -1,5 +1,137 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "meta" : { + "globalKey" : "26174cac", + "externalKey" : "forwardEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2622100a" + } + }, + "meta" : { + "globalKey" : "2622100a", + "externalKey" : "forwardTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01", + "externalKey" : "electricityLeg" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f", + "externalKey" : "fixedLeg" + } + } ], + "meta" : { + "globalKey" : "c9cbd5a0" + } + } + }, + "meta" : { + "globalKey" : "40a7e082" + } + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationTime" : { + "hourMinuteTime" : "09:30:00" + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : false + }, + "followUpConfirmation" : false + }, + "meta" : { + "globalKey" : "2b33c6c9" + } + }, + "meta" : { + "globalKey" : "f71a27f0" + } + } ], + "meta" : { + "globalKey" : "f71a27f0" + } + } + }, + "meta" : { + "globalKey" : "f71a27f0" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,146 +171,6 @@ "globalKey" : "3ec2cc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "meta" : { - "globalKey" : "26174cac", - "externalKey" : "forwardEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2622100a" - } - }, - "meta" : { - "globalKey" : "2622100a", - "externalKey" : "forwardTerminationDate" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01", - "externalKey" : "electricityLeg" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f", - "externalKey" : "fixedLeg" - } - } ], - "meta" : { - "globalKey" : "c9cbd5a0" - } - } - }, - "meta" : { - "globalKey" : "40a7e082" - } - }, - "meta" : { - "globalKey" : "40a7e082" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationTime" : { - "hourMinuteTime" : "09:30:00" - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : false - }, - "followUpConfirmation" : false - }, - "meta" : { - "globalKey" : "2b33c6c9" - } - }, - "meta" : { - "globalKey" : "7ff3e47a" - } - } ], - "meta" : { - "globalKey" : "7ff3e47a" - } - } - }, - "meta" : { - "globalKey" : "7ff3e47a" - } - }, - "meta" : { - "globalKey" : "7ff3e47a" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -221,7 +213,7 @@ } } ], "meta" : { - "globalKey" : "4e3f988" + "globalKey" : "e18fb1dc" } }, "transferHistory" : [ { @@ -280,6 +272,6 @@ } } ], "meta" : { - "globalKey" : "274a9dd7" + "globalKey" : "f9a25103" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json index 21ba3ec69f..ead6a3f587 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json @@ -1,5 +1,65 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "263eb72c" + } + }, + "meta" : { + "globalKey" : "263eb72c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-04-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26569a49" + } + }, + "meta" : { + "globalKey" : "26569a49" + } + }, + "payout" : { + "commodityPayout" : [ { + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "meta" : { + "globalKey" : "7610bbd9" + } + } ], + "meta" : { + "globalKey" : "7610bbd9" + } + } + }, + "meta" : { + "globalKey" : "ff410b6" + } + }, "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "da2e6633", @@ -39,73 +99,6 @@ "globalKey" : "3ed949" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "263eb72c" - } - }, - "meta" : { - "globalKey" : "263eb72c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-04-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26569a49" - } - }, - "meta" : { - "globalKey" : "26569a49" - } - }, - "payout" : { - "commodityPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "meta" : { - "globalKey" : "7610bbd9" - } - } ], - "meta" : { - "globalKey" : "7610bbd9" - } - } - }, - "meta" : { - "globalKey" : "ff410b6" - } - }, - "meta" : { - "globalKey" : "ff410b6" - } - } - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -178,10 +171,10 @@ } }, "meta" : { - "globalKey" : "b1c287cf" + "globalKey" : "1727a34f" } }, "meta" : { - "globalKey" : "b1c287cf" + "globalKey" : "1727a34f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json index b33e961082..d53bcd2da8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json @@ -1,220 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec373e97" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "ec373e97" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "b141411f" } - } ], + }, "meta" : { - "globalKey" : "6faedabe" + "globalKey" : "b141411f" } + } ], + "meta" : { + "globalKey" : "6faedabe" } - }, - "meta" : { - "globalKey" : "9904e91e" } }, "meta" : { "globalKey" : "9904e91e" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "exerciseDate" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } - } ], - "expirationTime" : { - "hourMinuteTime" : "17:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "97e9a8e0" + "globalKey" : "ec373e97", + "externalKey" : "exerciseDate" } }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "ec373e97" } } ], + "expirationTime" : { + "hourMinuteTime" : "17:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "97e9a8e0" } + }, + "meta" : { + "globalKey" : "f621f96b" } - }, + } ], "meta" : { - "globalKey" : "a4e23942" + "globalKey" : "f621f96b" } - }, - "meta" : { - "globalKey" : "a4e23942" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7.38, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + "meta" : { + "globalKey" : "4e112abe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7.38, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - } ], + }, "meta" : { - "globalKey" : "460de4c3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b07e", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "460de4c3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b07e", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -258,7 +250,7 @@ } } ], "meta" : { - "globalKey" : "135a81be" + "globalKey" : "da05377a" } }, "transferHistory" : [ { @@ -314,6 +306,6 @@ } } ], "meta" : { - "globalKey" : "67865ca0" + "globalKey" : "6a53f164" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json index 7b877bd14d..dc49752164 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json @@ -1,153 +1,146 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "24a738" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "6faedabe" - } + "meta" : { + "globalKey" : "ec373e97" } }, "meta" : { - "globalKey" : "da399c31" + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" } }, - "meta" : { - "globalKey" : "da399c31" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7.38, - "unit" : { - "currency" : { - "value" : "EUR" + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "b141411f" } } ], "meta" : { - "globalKey" : "460de4c3" + "globalKey" : "6faedabe" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b07e", - "externalReference" : "partyB" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "da399c31" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7.38, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "460de4c3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b07e", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -191,10 +184,10 @@ } } ], "meta" : { - "globalKey" : "8a5aeb1d" + "globalKey" : "fd1bf9ed" } }, "meta" : { - "globalKey" : "8a5aeb1d" + "globalKey" : "fd1bf9ed" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json index f7ce47a719..0d61434c90 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json @@ -1,220 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a95", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec373e97" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "ec373e97" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "b141411f" } - } ], + }, "meta" : { - "globalKey" : "6faedabe" + "globalKey" : "b141411f" } + } ], + "meta" : { + "globalKey" : "6faedabe" } - }, - "meta" : { - "globalKey" : "9904e91e" } }, "meta" : { "globalKey" : "9904e91e" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "exerciseDate" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } - } ], - "expirationTime" : { - "hourMinuteTime" : "13:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "375fe07" + "globalKey" : "ec373e97", + "externalKey" : "exerciseDate" } }, "meta" : { - "globalKey" : "36e2b61c" + "globalKey" : "ec373e97" } } ], + "expirationTime" : { + "hourMinuteTime" : "13:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "36e2b61c" + "globalKey" : "375fe07" } + }, + "meta" : { + "globalKey" : "61ae4e92" } - }, + } ], "meta" : { - "globalKey" : "106e8e69" + "globalKey" : "61ae4e92" } - }, - "meta" : { - "globalKey" : "106e8e69" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.93, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + "meta" : { + "globalKey" : "b99d7fe5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.93, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - } ], + }, "meta" : { - "globalKey" : "851b27ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b080", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a95", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "851b27ac" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b080", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a95", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a95", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -258,7 +250,7 @@ } } ], "meta" : { - "globalKey" : "c05781d2" + "globalKey" : "5a38cb8e" } }, "transferHistory" : [ { @@ -314,6 +306,6 @@ } } ], "meta" : { - "globalKey" : "787566ac" + "globalKey" : "2e8fe770" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json index 5035c33ed1..7b4491cf28 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json @@ -1,5 +1,124 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec35ddb9" + } + }, + "meta" : { + "globalKey" : "ec35ddb9" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "c5ff16b6" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "externalReference" : "weatherCalculationPeriods" + } + } + }, + "meta" : { + "globalKey" : "c5ff16b6" + } + }, + "meta" : { + "globalKey" : "2f50a93d" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2013-03-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec4cd457" + } + }, + "meta" : { + "globalKey" : "ec4cd457" + } + } ], + "meta" : { + "globalKey" : "20277c68" + } + }, + "meta" : { + "globalKey" : "fef97d9c" + } + } ], + "meta" : { + "globalKey" : "fef97d9c" + } + } + }, + "meta" : { + "globalKey" : "fa3055d6" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ae333040", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "da2e6633", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "da2e6633", @@ -39,132 +158,6 @@ "globalKey" : "3ee104" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec35ddb9" - } - }, - "meta" : { - "globalKey" : "ec35ddb9" - } - }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "c5ff16b6" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "externalReference" : "weatherCalculationPeriods" - } - } - }, - "meta" : { - "globalKey" : "c5ff16b6" - } - }, - "meta" : { - "globalKey" : "2f50a93d" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2013-03-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec4cd457" - } - }, - "meta" : { - "globalKey" : "ec4cd457" - } - } ], - "meta" : { - "globalKey" : "20277c68" - } - }, - "meta" : { - "globalKey" : "fef97d9c" - } - } ], - "meta" : { - "globalKey" : "fef97d9c" - } - } - }, - "meta" : { - "globalKey" : "fa3055d6" - } - }, - "meta" : { - "globalKey" : "fa3055d6" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ae333040", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "da2e6633", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -251,7 +244,7 @@ } }, "meta" : { - "globalKey" : "8cd43ed" + "globalKey" : "b816cbcf" } }, "transferHistory" : [ { @@ -302,6 +295,6 @@ } } ], "meta" : { - "globalKey" : "a32dbce" + "globalKey" : "d9bb5db0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json index 5bb8231548..2e21466911 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json @@ -1,309 +1,309 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COA1234567", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec33fd39" + } + }, "meta" : { - "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + "globalKey" : "ec33fd39" } - } - } ], - "meta" : { - "globalKey" : "1e4fcb44" - } - }, { - "issuerReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COB7654321", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec346a16" + } + }, "meta" : { - "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + "globalKey" : "ec346a16" } - } - } ], - "meta" : { - "globalKey" : "ca865982" - } - } ], - "tradeDate" : { - "value" : "2012-04-10", - "meta" : { - "globalKey" : "3ee10a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec33fd39" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec33fd39" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "249651e1" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "externalReference" : "exerciseDate" + } } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "249651e1" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "e577103a" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "12bc", + "externalKey" : "calculationPeriodsSchedule" }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "249651e1" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "externalReference" : "exerciseDate" - } - } - }, - "meta" : { - "globalKey" : "249651e1" - } - }, - "meta" : { - "globalKey" : "e577103a" - } + "balanceOfFirstPeriod" : true }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "12bc", - "externalKey" : "calculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : true - }, - "meta" : { - "globalKey" : "12bc" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" - }, + "meta" : { + "globalKey" : "12bc" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc389813" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "6d55c53c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "12bc", - "externalReference" : "calculationPeriodsSchedule" - } - }, - "meta" : { - "globalKey" : "6d55c53c" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "6d55c53c" }, - "meta" : { - "globalKey" : "72b9fd64" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "12bc", + "externalReference" : "calculationPeriodsSchedule" } }, "meta" : { - "globalKey" : "d5acf865" + "globalKey" : "6d55c53c" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "d5acf865" + "globalKey" : "72b9fd64" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "3bb38f52" } - }, + } ], "meta" : { - "globalKey" : "2121e4c" + "globalKey" : "3bb38f52" } }, - "meta" : { - "globalKey" : "2121e4c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "b3e85fb9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 300000, - "unit" : { - "capacityUnit" : "USMMBTU" + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", + "meta" : { + "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Mid" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "ba5fda9e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "cccfe45e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COA1234567", + "meta" : { + "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "1e4fcb44" + } + }, { + "issuerReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COB7654321", + "meta" : { + "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ca865982" + } + } ], + "tradeDate" : { + "value" : "2012-04-10", + "meta" : { + "globalKey" : "3ee10a" + } }, "party" : [ { "partyId" : [ { @@ -391,7 +391,7 @@ } }, "meta" : { - "globalKey" : "4ff96894" + "globalKey" : "d8dccc05" } }, "transferHistory" : [ { @@ -442,6 +442,6 @@ } } ], "meta" : { - "globalKey" : "e789e63d" + "globalKey" : "be8646ae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json index b2d094f03e..318d112683 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json @@ -1,281 +1,281 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec321cb9" + } + }, "meta" : { - "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + "globalKey" : "ec321cb9" } - } - } ], - "meta" : { - "globalKey" : "ec3028aa" - } - }, { - "issuerReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec346a16" + } + }, "meta" : { - "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + "globalKey" : "ec346a16" } - } - } ], - "meta" : { - "globalKey" : "ec309d09" - } - } ], - "tradeDate" : { - "value" : "2012-04-10", - "meta" : { - "globalKey" : "3ee10a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec321cb9" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec321cb9" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 10, + "period" : "D", + "meta" : { + "globalKey" : "5f357a72" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "5f357a72" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "80cb6879" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "10cc", + "externalKey" : "calculationPeriodsSchedule" }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 10, - "period" : "D", - "meta" : { - "globalKey" : "5f357a72" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE" - } - }, - "meta" : { - "globalKey" : "5f357a72" - } - }, - "meta" : { - "globalKey" : "80cb6879" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "10cc", - "externalKey" : "calculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : true - }, - "meta" : { - "globalKey" : "10cc" - } - } + "balanceOfFirstPeriod" : true }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-CAISO-SP 15 GEN HUB-DAY AHEAD", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "LocationalMarginal" - }, + "meta" : { + "globalKey" : "10cc" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "565d1898" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "94ce921b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "pricingDates" - } - }, - "meta" : { - "globalKey" : "94ce921b" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "94ce921b" }, - "meta" : { - "globalKey" : "d5631025" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "pricingDates" } }, "meta" : { - "globalKey" : "35391b4a" + "globalKey" : "94ce921b" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "35391b4a" + "globalKey" : "d5631025" } + }, + "meta" : { + "globalKey" : "cc3da8f2" } - }, + } ], "meta" : { - "globalKey" : "9afbbcad" + "globalKey" : "cc3da8f2" } - }, - "meta" : { - "globalKey" : "9afbbcad" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25.00, - "unit" : { - "capacityUnit" : "MW" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "5b61d095" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25.00, + "unit" : { + "capacityUnit" : "MW" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 2300, - "unit" : { - "capacityUnit" : "MW" + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2300, + "unit" : { + "capacityUnit" : "MW" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-CAISO-SP 15 GEN HUB-DAY AHEAD", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "LocationalMarginal" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ELECTRICITY-CAISO-SP 15 GEN HUB-DAY AHEAD", + "meta" : { + "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "LocationalMarginal" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "ae151f23" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "4b651ba3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec3028aa" + } + }, { + "issuerReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec309d09" + } + } ], + "tradeDate" : { + "value" : "2012-04-10", + "meta" : { + "globalKey" : "3ee10a" + } }, "party" : [ { "partyId" : [ { @@ -364,7 +364,7 @@ } }, "meta" : { - "globalKey" : "fa75f45a" + "globalKey" : "eabf30b2" } }, "transferHistory" : [ { @@ -415,6 +415,6 @@ } } ], "meta" : { - "globalKey" : "38250a22" + "globalKey" : "e014be7a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json index 24964f0546..7184ebf780 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json @@ -1,329 +1,313 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COA24680", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec33fd39" + } + }, "meta" : { - "scheme" : "http://www.companyA.com/spec/2012/trade-id-1-0" + "globalKey" : "ec33fd39" } - } - } ], - "meta" : { - "globalKey" : "8a40d7fc" - } - }, { - "issuerReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COB13579", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec346a16" + } + }, "meta" : { - "scheme" : "http://www.companyB.com/spec/2012/trade-id-1-0" + "globalKey" : "ec346a16" } - } - } ], - "meta" : { - "globalKey" : "8be79543" - } - } ], - "tradeDate" : { - "value" : "2012-06-06", - "meta" : { - "globalKey" : "3ee186" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec33fd39" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec33fd39" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5951832e" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "5951832e" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "7ae77135" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5951832e" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING" - } - }, - "meta" : { - "globalKey" : "5951832e" - } + "globalKey" : "12bc", + "externalKey" : "calculationPeriodsSchedule" }, - "meta" : { - "globalKey" : "7ae77135" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "balanceOfFirstPeriod" : true }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "12bc", - "externalKey" : "calculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : true - }, - "meta" : { - "globalKey" : "12bc" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "First" - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.companyB.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "82" - } - } - } - }, + "meta" : { + "globalKey" : "12bc" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "First" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", "meta" : { - "globalKey" : "53f9191d" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "8c67b250" - }, - "businessDayConvention" : "MODFOLLOWING", - "dateRelativeTo" : { - "globalReference" : "12bc", - "externalReference" : "calculationPeriodsSchedule" - } - }, - "meta" : { - "globalKey" : "8c67b250" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "8c67b250" }, - "meta" : { - "globalKey" : "6d82b0e" + "businessDayConvention" : "MODFOLLOWING", + "dateRelativeTo" : { + "globalReference" : "12bc", + "externalReference" : "calculationPeriodsSchedule" } }, "meta" : { - "globalKey" : "66e4e2d6" + "globalKey" : "8c67b250" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "66e4e2d6" + "globalKey" : "6d82b0e" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "4c2260a5" } - }, + } ], "meta" : { - "globalKey" : "e4c5f3a3" + "globalKey" : "4c2260a5" } }, - "meta" : { - "globalKey" : "e4c5f3a3" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "119a2a0c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "capacityUnit" : "USMMBTU" + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.companyB.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "82" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-NYMEX", + "meta" : { + "scheme" : "http://www.companyB.com/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "deliveryDateRollConvention" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "82" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "46f3286" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "25a082c6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COA24680", + "meta" : { + "scheme" : "http://www.companyA.com/spec/2012/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "8a40d7fc" + } + }, { + "issuerReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COB13579", + "meta" : { + "scheme" : "http://www.companyB.com/spec/2012/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "8be79543" + } + } ], + "tradeDate" : { + "value" : "2012-06-06", + "meta" : { + "globalKey" : "3ee186" + } }, "party" : [ { "partyId" : [ { @@ -411,7 +395,7 @@ } }, "meta" : { - "globalKey" : "851fa466" + "globalKey" : "8b3b9daf" } }, "transferHistory" : [ { @@ -462,6 +446,6 @@ } } ], "meta" : { - "globalKey" : "2fc5ea33" + "globalKey" : "18cd87c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json index 4fddf62420..8585af8367 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json @@ -1,181 +1,91 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b1cc3da", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "BankA1234", + "value" : "Commodity:Metals:Precious:LoanLease:Cash", "meta" : { - "scheme" : "http://www.bankB.com/swaps/com-trade-id" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "54a3d798" } } ], - "meta" : { - "globalKey" : "a0a01d3c" - } - }, { - "issuerReference" : { - "globalReference" : "b1cc77c", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "BankB5678", - "meta" : { - "scheme" : "http://www.bankA.com/swaps/com-trade-id" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "a0b08a1c" - } - } ], - "tradeDate" : { - "value" : "2012-01-01", - "meta" : { - "globalKey" : "3ee041" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "595b0919" - } - }, - "meta" : { - "globalKey" : "595b0919" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, "meta" : { - "globalKey" : "5b4f46f0", - "externalKey" : "gofoperioddates1" + "globalKey" : "595b0919" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2012-04-01", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "595b0919" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -191,150 +101,168 @@ } }, "meta" : { - "globalKey" : "b690310a" + "globalKey" : "eb0b20ac" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "5b4f46f0", - "externalReference" : "gofoperioddates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c55408f5" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "dateRelativeTo" : { - "globalReference" : "850a7d83", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb0b20ac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "850a7d83", - "externalKey" : "resetDates1" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "2d41d182" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "5b4f46f0", + "externalKey" : "gofoperioddates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2012-04-01", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "floatingRate" : { - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "b690310a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "5b4f46f0", + "externalReference" : "gofoperioddates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "c55408f5" }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "444628ac" - } - }, - "meta" : { - "globalKey" : "444628ac" - } + "dateRelativeTo" : { + "globalReference" : "850a7d83", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "850a7d83", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "2d41d182" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -349,30 +277,18 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, "meta" : { - "globalKey" : "cdeadfbd", - "externalKey" : "gofoperioddates2" + "globalKey" : "444628ac" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2012-04-01", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "444628ac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -388,189 +304,322 @@ } }, "meta" : { - "globalKey" : "b690310a" + "globalKey" : "eb0b20ac" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "cdeadfbd", - "externalReference" : "gofoperioddates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c55408f6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "dateRelativeTo" : { - "globalReference" : "e6f94e45", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "eb0b20ac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" + }, + "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "cdeadfbd", + "externalKey" : "gofoperioddates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2012-04-01", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e6f94e45", - "externalKey" : "resetDates2" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "75816951" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "7784208f" + "globalKey" : "b690310a" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "Commodity:Metals:Precious:LoanLease:Cash", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "cdeadfbd", + "externalReference" : "gofoperioddates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "c55408f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "dateRelativeTo" : { + "globalReference" : "e6f94e45", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "e6f94e45", + "externalKey" : "resetDates2" } }, - "source" : "Other", "meta" : { - "globalKey" : "54a3d798" + "globalKey" : "75816951" } } ], "meta" : { - "globalKey" : "c9b95eba" + "globalKey" : "7784208f" } - }, - "meta" : { - "globalKey" : "c9b95eba" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100.00, - "unit" : { - "currency" : { - "value" : "XAU" - } + "meta" : { + "globalKey" : "323e1bba" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100.00, + "unit" : { + "currency" : { + "value" : "XAU" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "4339ec02" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.0001, - "unit" : { - "currency" : { - "value" : "XAU" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "XAU" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "70958344" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0001, + "unit" : { + "currency" : { + "value" : "XAU" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "XAU" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100.00, + "unit" : { + "currency" : { + "value" : "XAU" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 100.00, - "unit" : { - "currency" : { - "value" : "XAU" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GOFO" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "e852509d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b1cc3da", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b1cc77c", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "b153d059" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b1cc3da", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b1cc77c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b1cc3da", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BankA1234", + "meta" : { + "scheme" : "http://www.bankB.com/swaps/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "a0a01d3c" + } + }, { + "issuerReference" : { + "globalReference" : "b1cc77c", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BankB5678", + "meta" : { + "scheme" : "http://www.bankA.com/swaps/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "a0b08a1c" + } + } ], + "tradeDate" : { + "value" : "2012-01-01", + "meta" : { + "globalKey" : "3ee041" + } }, "party" : [ { "partyId" : [ { @@ -612,10 +661,10 @@ } } ], "meta" : { - "globalKey" : "a0e55b79" + "globalKey" : "fcc397b" } }, "meta" : { - "globalKey" : "a0e55b79" + "globalKey" : "fcc397b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json index 4aed0a10d6..9fe9a0ad7c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json @@ -1,5 +1,15 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" + } + }, + "meta" : { + "globalKey" : "6f06d7ab" + } + }, "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "7fd57548", @@ -24,23 +34,6 @@ "externalKey" : "TradeDate" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" - } - }, - "meta" : { - "globalKey" : "6f06d7ab" - } - }, - "meta" : { - "globalKey" : "6f06d7ab" - } - } - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -115,10 +108,10 @@ } }, "meta" : { - "globalKey" : "8ac8d2cc" + "globalKey" : "1912d48c" } }, "meta" : { - "globalKey" : "8ac8d2cc" + "globalKey" : "1912d48c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json index f27704f3ae..4947b32764 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json @@ -1,220 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec373e97" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "ec373e97" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "b141411f" } - } ], + }, "meta" : { - "globalKey" : "6faedabe" + "globalKey" : "b141411f" } + } ], + "meta" : { + "globalKey" : "6faedabe" } - }, - "meta" : { - "globalKey" : "9904e91e" } }, "meta" : { "globalKey" : "9904e91e" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "exerciseDate" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } - } ], - "expirationTime" : { - "hourMinuteTime" : "17:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "97e9a8e0" + "globalKey" : "ec373e97", + "externalKey" : "exerciseDate" } }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "ec373e97" } } ], + "expirationTime" : { + "hourMinuteTime" : "17:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "97e9a8e0" } + }, + "meta" : { + "globalKey" : "f621f96b" } - }, + } ], "meta" : { - "globalKey" : "a4e23942" + "globalKey" : "f621f96b" } - }, - "meta" : { - "globalKey" : "a4e23942" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7.38, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + "meta" : { + "globalKey" : "4e112abe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7.38, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - } ], + }, "meta" : { - "globalKey" : "460de4c3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b07e", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "460de4c3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b07e", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -278,7 +270,7 @@ } } ], "meta" : { - "globalKey" : "98ee146e" + "globalKey" : "5d1ab332" } }, "transferHistory" : [ { @@ -334,6 +326,6 @@ } } ], "meta" : { - "globalKey" : "c3fc9bf0" + "globalKey" : "26e6e2ac" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json index 3c3d3edfd8..157b548d9e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json @@ -1,98 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "9862eeec" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9863634b" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -111,341 +44,401 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "b883af02" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "b883af02" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 1000000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "57e64854" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8f38683" + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true - }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e36d84e6" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "be99fbf4" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "e36d84e6" } }, "meta" : { - "globalKey" : "8347d834" + "globalKey" : "be99fbf4" } }, - "meta" : { - "globalKey" : "8347d834" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "8347d834" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eeec" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9863634b" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -543,10 +536,10 @@ } }, "meta" : { - "globalKey" : "ded71c64" + "globalKey" : "409dc242" } }, "meta" : { - "globalKey" : "ded71c64" + "globalKey" : "409dc242" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json index 53d4b58ec6..1cca00c075 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json @@ -1,283 +1,276 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "meta" : { + "globalKey" : "3e9305" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9305" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "meta" : { + "globalKey" : "3ebb05" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb05" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "meta" : { - "globalKey" : "3e9305" - } - }, - "meta" : { - "globalKey" : "3e9305" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "meta" : { - "globalKey" : "3ebb05" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb05" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } - }, "meta" : { - "globalKey" : "6f25196e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "6f25196e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008FAQ" + } ], + "name" : { + "value" : "Aiful Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7abf9ebb", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008FAQ" - } ], - "name" : { - "value" : "Aiful Corporation" - }, - "meta" : { - "globalKey" : "7abf9ebb", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310504B117", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310504B117", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } }, - "primaryObligorReference" : { - "globalReference" : "7abf9ebb", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true - }, - "meta" : { - "globalKey" : "4cf" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4cf" + "primaryObligorReference" : { + "globalReference" : "7abf9ebb", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "e1a9f247" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "5aa4b099" - } - }, - "calculationAgent" : { - "calculationAgentBusinessCenter" : { - "value" : "JPTO" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "e1a9f247" } }, "meta" : { - "globalKey" : "5062d28" + "globalKey" : "5aa4b099" } }, - "meta" : { - "globalKey" : "5062d28" + "calculationAgent" : { + "calculationAgentBusinessCenter" : { + "value" : "JPTO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5062d28" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7b558f64" - } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "7b558f64" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -347,10 +340,10 @@ } }, "meta" : { - "globalKey" : "c0c06a5c" + "globalKey" : "3bd5d75c" } }, "meta" : { - "globalKey" : "c0c06a5c" + "globalKey" : "3bd5d75c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json index 40592e5502..443fb5553e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json @@ -1,284 +1,277 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "meta" : { + "globalKey" : "3e9305" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9305" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "meta" : { + "globalKey" : "3ebb05" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb05" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "meta" : { - "globalKey" : "3e9305" - } - }, - "meta" : { - "globalKey" : "3e9305" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "meta" : { - "globalKey" : "3ebb05" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb05" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } - }, "meta" : { - "globalKey" : "6f25196e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "6f25196e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008FAQ", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Aiful Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7abf9ebb", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008FAQ", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310504B117", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Aiful Corporation" - }, - "meta" : { - "globalKey" : "7abf9ebb", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310504B117", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "7abf9ebb", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "meta" : { - "globalKey" : "120d61" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "120d61" + "primaryObligorReference" : { + "globalReference" : "7abf9ebb", + "externalReference" : "referenceEntity" + } + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } - } ], + }, "meta" : { - "globalKey" : "1ef67cd9" + "globalKey" : "120d61" } }, "meta" : { - "globalKey" : "443aeeab" + "globalKey" : "120d61" } + } ], + "meta" : { + "globalKey" : "1ef67cd9" } }, "meta" : { - "globalKey" : "6b83348b" + "globalKey" : "443aeeab" } - }, - "meta" : { - "globalKey" : "6b83348b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6b83348b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7b558f64" - } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "7b558f64" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -348,10 +341,10 @@ } }, "meta" : { - "globalKey" : "ff528cbf" + "globalKey" : "7e74448f" } }, "meta" : { - "globalKey" : "ff528cbf" + "globalKey" : "7e74448f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json index 84110f6f63..73344b922b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json @@ -1,98 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37258", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "9862ef86" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37258", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "986363e5" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "81e165ef" - } - }, - "meta" : { - "globalKey" : "58641940" - } - }, - "meta" : { - "globalKey" : "34ad82bc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "34ad82bc" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-04", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -111,348 +44,408 @@ "globalKey" : "58641940" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "34ad82bc" + } + }, + "meta" : { + "globalKey" : "34ad82bc" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "AUSY" + } ], + "meta" : { + "globalKey" : "81e165ef" + } + }, + "meta" : { + "globalKey" : "58641940" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204b" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "4" + }, + "meta" : { + "globalKey" : "204b" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-04", + "meta" : { + "globalKey" : "3ead5a" + } + }, + "meta" : { + "globalKey" : "4de455ee" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "f0badb65" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204b" - }, - "rollConvention" : "4" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true, + "currency" : { + "value" : "AUD" + } }, - "meta" : { - "globalKey" : "204b" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-04", - "meta" : { - "globalKey" : "3ead5a" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4de455ee" + "globalKey" : "2f30c6a8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "GG3682", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "AMP Group Holdings Limited" }, "meta" : { - "globalKey" : "0" + "globalKey" : "d14d4364", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "f0badb65" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true, - "currency" : { - "value" : "AUD" - } - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0092202836", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "name" : { + "value" : "AMP (UK) Financial Services Plc" }, - "escrow" : true, "meta" : { - "globalKey" : "2f30c6a8" + "globalKey" : "50746d95" } } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "GG3682", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "AMP Group Holdings Limited" - }, - "meta" : { - "globalKey" : "d14d4364", - "externalKey" : "referenceEntity" + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS0092202836", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "AMP (UK) Financial Services Plc" - }, - "meta" : { - "globalKey" : "50746d95" - } - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" + "meta" : { + "globalKey" : "48eb1e55" } } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "publicSource" : [ "The Australian Financial Review" ], - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "98a09cd2" + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "69f4ea47" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "publicSource" : [ "The Australian Financial Review" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "b0c3e17a" + "globalKey" : "98a09cd2" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "206a9c4c" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "69f4ea47" } + } ], + "meta" : { + "globalKey" : "b0c3e17a" } }, "meta" : { - "globalKey" : "17bef49c" + "globalKey" : "206a9c4c" } }, - "meta" : { - "globalKey" : "17bef49c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0056, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "17bef49c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0056, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "f4b5a0cf" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "f4b5a0cf" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37258", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef86" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37258", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363e5" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -554,10 +547,10 @@ } }, "meta" : { - "globalKey" : "f4cfe624" + "globalKey" : "6548c824" } }, "meta" : { - "globalKey" : "f4cfe624" + "globalKey" : "6548c824" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json index 720633ab30..568cbee7d0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json @@ -1,288 +1,281 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-04", + "meta" : { + "globalKey" : "3ebb04" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb04" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-04", - "meta" : { - "globalKey" : "3ebb04" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb04" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204b" - }, - "rollConvention" : "4" - }, - "meta" : { - "globalKey" : "204b" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-04", - "meta" : { - "globalKey" : "3ead5a" } }, "meta" : { - "globalKey" : "6d7040ce" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "4" + }, + "meta" : { + "globalKey" : "204b" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-04", + "meta" : { + "globalKey" : "3ead5a" + } + }, + "meta" : { + "globalKey" : "6d7040ce" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0C575S", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Amcor Ltd" }, "meta" : { - "globalKey" : "0" + "globalKey" : "c9147109", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0C575S", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US867211AA21", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Amcor Ltd" }, - "meta" : { - "globalKey" : "c9147109", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US867211AA21", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Sunclipse, Inc." - }, - "meta" : { - "globalKey" : "890343f2" - } - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "name" : { + "value" : "Sunclipse, Inc." }, "meta" : { - "globalKey" : "4741344" + "globalKey" : "890343f2" } - }, - "meta" : { - "globalKey" : "4741344" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, "meta" : { - "globalKey" : "9fdf87a6" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "bcb9a774" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "9fdf87a6" } }, "meta" : { - "globalKey" : "1245df4" + "globalKey" : "bcb9a774" } - }, - "meta" : { - "globalKey" : "1245df4" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0056, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1245df4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0056, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "2a994caa" - } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "2a994caa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -352,10 +345,10 @@ } }, "meta" : { - "globalKey" : "836a5216" + "globalKey" : "dd4d8f96" } }, "meta" : { - "globalKey" : "836a5216" + "globalKey" : "dd4d8f96" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json index 761ebe55db..0ea8147e03 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37260", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862ef9d" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37260", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "986363fc" - } - } ], - "tradeDate" : { - "value" : "2002-08-22", - "meta" : { - "globalKey" : "3e9216" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-08-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-08-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "6cf5d300" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-08-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "6cf5d300" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-08-28", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,349 +42,407 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "6cf5d300" + } + }, + "meta" : { + "globalKey" : "6cf5d300" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7b" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "17f7b" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2002-11-28", + "meta" : { + "globalKey" : "3ea772" + } + }, + "meta" : { + "globalKey" : "94ceeed6" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7b" - }, - "rollConvention" : "28" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f7b" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2002-11-28", - "meta" : { - "globalKey" : "3ea772" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "94ceeed6" + "globalKey" : "90d2cafc" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "7I343A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "People's Republic of China" }, "meta" : { - "globalKey" : "0" + "globalKey" : "8695044e", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6584aa9f" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US061194AB21", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "8695044e", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "90d2cafc" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "7I343A", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "People's Republic of China" - }, - "meta" : { - "globalKey" : "8695044e", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US061194AB21", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "8695044e", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "5aca6c43" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BondOrLoan", - "notSubordinated" : true, - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "297cd662" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "62aec7dc" + "globalKey" : "5aca6c43" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSubordinated" : true, + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "34ae8732" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "297cd662" } + } ], + "meta" : { + "globalKey" : "62aec7dc" } }, "meta" : { - "globalKey" : "98187572" + "globalKey" : "34ae8732" } }, - "meta" : { - "globalKey" : "98187572" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0085, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "98187572" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0085, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "74983389" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "74983389" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37260", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9d" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37260", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fc" + } + } ], + "tradeDate" : { + "value" : "2002-08-22", + "meta" : { + "globalKey" : "3e9216" + } }, "party" : [ { "partyId" : [ { @@ -547,10 +540,10 @@ } }, "meta" : { - "globalKey" : "5961c304" + "globalKey" : "18f12aa2" } }, "meta" : { - "globalKey" : "5961c304" + "globalKey" : "18f12aa2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json index a8a1e83669..643e5de63f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37261", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862ef9e" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37261", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "986363fd" - } - } ], - "tradeDate" : { - "value" : "2002-07-10", - "meta" : { - "globalKey" : "3e91ca" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05f243" - } - }, - "meta" : { - "globalKey" : "eb05f243" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "854fa871" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-07-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "854fa871" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb05f243" + } + }, + "meta" : { + "globalKey" : "eb05f243" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-11", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,336 +42,394 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "854fa871" + } + }, + "meta" : { + "globalKey" : "854fa871" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f55" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "17f55" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2002-10-11", + "meta" : { + "globalKey" : "3ea721" + } + }, + "meta" : { + "globalKey" : "53f6c6eb" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "3a4ec62" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDaysNotSpecified" : true }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f55" - }, - "rollConvention" : "11" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f55" - } + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "transferable" : true, + "notBearer" : true }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "escrow" : true, + "meta" : { + "globalKey" : "4ab5d67f" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "1D216P", "meta" : { - "globalKey" : "aa" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Republic of Bulgaria" }, - "firstPaymentDate" : "2002-10-11", "meta" : { - "globalKey" : "3ea721" + "globalKey" : "b489e2c8", + "externalKey" : "referenceEntity" } }, - "meta" : { - "globalKey" : "53f6c6eb" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0145624432", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "0" + "primaryObligorReference" : { + "globalReference" : "b489e2c8", + "externalReference" : "referenceEntity" } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "globalKey" : "3a4ec62" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDaysNotSpecified" : true - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Bond", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "transferable" : true, - "notBearer" : true + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "4ab5d67f" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "1D216P", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Republic of Bulgaria" - }, - "meta" : { - "globalKey" : "b489e2c8", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS0145624432", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "b489e2c8", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "Bond", - "notSubordinated" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "3af66c67" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5365d343" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "Bond", + "notSubordinated" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "aef7fd6e" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "3af66c67" } + } ], + "meta" : { + "globalKey" : "5365d343" } }, "meta" : { - "globalKey" : "cc22044e" + "globalKey" : "aef7fd6e" } }, - "meta" : { - "globalKey" : "cc22044e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0027, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "cc22044e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0027, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "53c0bb41" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "53c0bb41" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37261", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9e" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37261", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fd" + } + } ], + "tradeDate" : { + "value" : "2002-07-10", + "meta" : { + "globalKey" : "3e91ca" + } }, "party" : [ { "partyId" : [ { @@ -530,10 +523,10 @@ } }, "meta" : { - "globalKey" : "4ae140df" + "globalKey" : "808bffc1" } }, "meta" : { - "globalKey" : "4ae140df" + "globalKey" : "808bffc1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json index 6eedbdec04..edfd5f0e08 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json @@ -1,440 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb0a857b" } - } - } ], - "meta" : { - "globalKey" : "9862ef9f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebb48fc7" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "ebb48fc7" } - } - } ], - "meta" : { - "globalKey" : "986363fe" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "da4e2f6e" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb0a857b" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebb48fc7" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" + }, + "rollConvention" : "15" }, "meta" : { - "globalKey" : "ebb48fc7" + "globalKey" : "17f59" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "428533f" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "5aca2f2b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "da4e2f6e" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "f95141be" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } + "notBearer" : true }, + "escrow" : true, + "sixtyBusinessDaySettlementCap" : true, "meta" : { - "globalKey" : "5aca2f2b" + "globalKey" : "f504e8d7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4A7324", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Invensys plc" }, "meta" : { - "globalKey" : "0" + "globalKey" : "68c6dc05", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "f95141be" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, - "sixtyBusinessDaySettlementCap" : true, - "meta" : { - "globalKey" : "f504e8d7" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4A7324", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US826166AA89", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Invensys plc" }, - "meta" : { - "globalKey" : "68c6dc05", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US826166AA89", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "68c6dc05", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "68c6dc05", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModModR" - }, - "multipleHolderObligation" : true, - "multipleCreditEventNotices" : true - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "a40177fd" + "globalKey" : "48eb1e55" } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModModR" }, - "obligations" : { - "category" : "BorrowedMoney" + "multipleHolderObligation" : true, + "multipleCreditEventNotices" : true + }, + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, "meta" : { - "globalKey" : "208ba6b2" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "85ae3db8" + "globalKey" : "a40177fd" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "4a759f6d" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "208ba6b2" } + } ], + "meta" : { + "globalKey" : "85ae3db8" } }, "meta" : { - "globalKey" : "c1e3f237" + "globalKey" : "4a759f6d" } }, - "meta" : { - "globalKey" : "c1e3f237" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "c1e3f237" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "88ace8cd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "88ace8cd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fe" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -528,10 +521,10 @@ } }, "meta" : { - "globalKey" : "96ec54fb" + "globalKey" : "2584545d" } }, "meta" : { - "globalKey" : "96ec54fb" + "globalKey" : "2584545d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json index 8f0c8888da..c2720a3321 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862ef9f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "986363fe" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "65d7bfa1" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "65d7bfa1" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,340 +42,398 @@ "globalKey" : "97b1a6d0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "65d7bfa1" + } + }, + "meta" : { + "globalKey" : "65d7bfa1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "97b1a6d0" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "17f59" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "5aca2f2b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "8c2be931" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "5aca2f2b" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4A7324", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Invensys plc" }, "meta" : { - "globalKey" : "0" + "globalKey" : "68c6dc05", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "8c2be931" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US826166AA89", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "68c6dc05", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4A7324", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Invensys plc" - }, - "meta" : { - "globalKey" : "68c6dc05", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US826166AA89", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "68c6dc05", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "768f5863" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "87230598" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e89e1ea0" + "globalKey" : "768f5863" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "f55ca2d5" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "87230598" } + } ], + "meta" : { + "globalKey" : "e89e1ea0" } }, "meta" : { - "globalKey" : "a262fd51" + "globalKey" : "f55ca2d5" } }, - "meta" : { - "globalKey" : "a262fd51" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a262fd51" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "88ace8cd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "88ace8cd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fe" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -538,10 +531,10 @@ } }, "meta" : { - "globalKey" : "6b5ad781" + "globalKey" : "40198501" } }, "meta" : { - "globalKey" : "6b5ad781" + "globalKey" : "40198501" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json index 4161ea36c5..1c80200cb3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json @@ -1,278 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9303" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", + "meta" : { + "globalKey" : "3ec04f" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ec04f" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "meta" : { - "globalKey" : "3e9303" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "meta" : { - "globalKey" : "3ec04f" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec04f" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } - }, "meta" : { - "globalKey" : "7a561a0b" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "17f59" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "7a561a0b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "002BB2", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Abbey National PLC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "9d5d9084", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "002BB2", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS009316049", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Abbey National PLC" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "GLEECI", "meta" : { - "globalKey" : "9d5d9084", - "externalKey" : "referenceEntity" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Abbey National Treasury Services plc" }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS009316049", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "GLEECI", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Abbey National Treasury Services plc" - }, - "meta" : { - "globalKey" : "8b95e30a" - } - } - } ] + "meta" : { + "globalKey" : "8b95e30a" + } } - }, - "meta" : { - "globalKey" : "9d1e7090" - } - }, - "meta" : { - "globalKey" : "8b59d99b" + } ] } + }, + "meta" : { + "globalKey" : "9d1e7090" } }, "meta" : { - "globalKey" : "4e7b63af" + "globalKey" : "8b59d99b" } - }, - "meta" : { - "globalKey" : "4e7b63af" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4e7b63af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "98c17f06" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "98c17f06" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -342,10 +335,10 @@ } }, "meta" : { - "globalKey" : "1f3b54cd" + "globalKey" : "3adb81cd" } }, "meta" : { - "globalKey" : "1f3b54cd" + "globalKey" : "3adb81cd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json index 17ff6dac7a..4873e6f232 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json @@ -1,278 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9303" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", + "meta" : { + "globalKey" : "3ec04f" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ec04f" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "meta" : { - "globalKey" : "3e9303" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "meta" : { - "globalKey" : "3ec04f" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec04f" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } - }, "meta" : { - "globalKey" : "7a561a0b" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "17f59" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "7a561a0b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "002BB2", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Abbey National PLC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "9d5d9084", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "002BB2", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS009316049", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Abbey National PLC" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "GLEECI", "meta" : { - "globalKey" : "9d5d9084", - "externalKey" : "referenceEntity" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Abbey National Treasury Services plc" }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS009316049", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "GLEECI", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Abbey National Treasury Services plc" - }, - "meta" : { - "globalKey" : "8b95e30a" - } - } - } ] + "meta" : { + "globalKey" : "8b95e30a" + } } - }, - "meta" : { - "globalKey" : "9d1e7090" - } - }, - "meta" : { - "globalKey" : "8b59d99b" + } ] } + }, + "meta" : { + "globalKey" : "9d1e7090" } }, "meta" : { - "globalKey" : "4e7b63af" + "globalKey" : "8b59d99b" } - }, - "meta" : { - "globalKey" : "4e7b63af" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4e7b63af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "98c17f06" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "98c17f06" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -342,10 +335,10 @@ } }, "meta" : { - "globalKey" : "2ec09279" + "globalKey" : "4a60bf79" } }, "meta" : { - "globalKey" : "2ec09279" + "globalKey" : "4a60bf79" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json index f300daf7cc..9c9188f984 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json @@ -1,437 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37263", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb09be86" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb09be86" } - } - } ], - "meta" : { - "globalKey" : "9862efa0" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37263", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb9fe686" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb9fe686" } - } - } ], - "meta" : { - "globalKey" : "986363ff" - } - } ], - "tradeDate" : { - "value" : "2002-11-13", - "meta" : { - "globalKey" : "3e92cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09be86" + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb09be86" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "eb9fe686" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f58" + }, + "rollConvention" : "14" }, "meta" : { - "globalKey" : "eb9fe686" + "globalKey" : "17f58" } }, - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-02-14", + "meta" : { + "globalKey" : "3ead24" + } + }, + "meta" : { + "globalKey" : "591556cb" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "406c5db3" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - 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: { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0125141316", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "546f933e", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : 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+ } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862efa1" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636400" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -527,10 +520,10 @@ } }, "meta" : { - "globalKey" : "bd43fd3f" + "globalKey" : "e269f17f" } }, "meta" : { - "globalKey" : "bd43fd3f" + "globalKey" : "e269f17f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json index 21153e149e..f76042118d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37264", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862efa1" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37264", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636400" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "77e72f96" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "77e72f96" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,340 +42,398 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "77e72f96" + } + }, + "meta" : { + "globalKey" : "77e72f96" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "514e072e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "71dc9af5" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "514e072e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Agrium Inc." }, "meta" : { - "globalKey" : "0" + "globalKey" : "6b99b4c1", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "71dc9af5" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } }, - "notBearer" : true + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8badd6a0" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "ce9ae895" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e3224265" + "globalKey" : "8badd6a0" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "455c2cf7" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "ce9ae895" } + } ], + "meta" : { + "globalKey" : "e3224265" } }, "meta" : { - "globalKey" : "e8d1aed4" + "globalKey" : "455c2cf7" } }, - "meta" : { - "globalKey" : "e8d1aed4" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e8d1aed4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e41b7a85" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862efa1" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636400" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -542,10 +535,10 @@ } }, "meta" : { - "globalKey" : "3e98d2ec" + "globalKey" : "ffdbd7ec" } }, "meta" : { - "globalKey" : "3e98d2ec" + "globalKey" : "ffdbd7ec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json index 240a3ad051..68172fcbdc 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json @@ -1,281 +1,274 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } - }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true - }, - "meta" : { - "globalKey" : "4cf" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4cf" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "6d6a894d" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "fd2762ff" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "6d6a894d" } }, "meta" : { - "globalKey" : "a3cbe0c1" + "globalKey" : "fd2762ff" } - }, - "meta" : { - "globalKey" : "a3cbe0c1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a3cbe0c1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -345,10 +338,10 @@ } }, "meta" : { - "globalKey" : "b2cfe24e" + "globalKey" : "422fc29e" } }, "meta" : { - "globalKey" : "b2cfe24e" + "globalKey" : "422fc29e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json index 74ceda1675..db421a2136 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json @@ -1,284 +1,277 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } - }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" + } + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } - } ], + }, "meta" : { - "globalKey" : "c14f7042" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "553ca574" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "c14f7042" } }, "meta" : { - "globalKey" : "e4b8bab6" + "globalKey" : "553ca574" } - }, - "meta" : { - "globalKey" : "e4b8bab6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e4b8bab6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -348,10 +341,10 @@ } }, "meta" : { - "globalKey" : "88f76219" + "globalKey" : "dd77afe9" } }, "meta" : { - "globalKey" : "88f76219" + "globalKey" : "dd77afe9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json index e8b7d24735..a01b188438 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee8" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636347" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,347 +42,405 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204a" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "3" + }, + "meta" : { + "globalKey" : "204a" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-03", + "meta" : { + "globalKey" : "3ead59" + } + }, + "meta" : { + "globalKey" : "4c2f7d4e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204a" - }, - "rollConvention" : "3" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204a" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-03", - "meta" : { - "globalKey" : "3ead59" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4c2f7d4e" + "globalKey" : "90d2cafc" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" }, "meta" : { - "globalKey" : "0" + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6584aa9f" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "90d2cafc" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "ef1df71" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "ab0a7fd1" + "globalKey" : "ef1df71" } }, - "meta" : { - "globalKey" : "ab0a7fd1" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.012, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ab0a7fd1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.012, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "ab937ba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 20000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "ab937ba" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 20000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee8" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636347" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -541,10 +534,10 @@ } }, "meta" : { - "globalKey" : "2bce2bcc" + "globalKey" : "5f12dee" } }, "meta" : { - "globalKey" : "2bce2bcc" + "globalKey" : "5f12dee" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json index d8ecd197a0..f3ae35955b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37206", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee9" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37206", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636348" - } - } ], - "tradeDate" : { - "value" : "2002-11-29", - "meta" : { - "globalKey" : "3e92dd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-11-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "12cbe3fe" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "12cbe3fe" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-11-30", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,340 +42,398 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "17f92" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-02-28", + "meta" : { + "globalKey" : "3ead32" + } + }, + "meta" : { + "globalKey" : "bc0e6adf" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + 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], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "ac191169" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "c2686f9f" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "7696b6a0" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "ac191169" } + } ], + "meta" : { + "globalKey" : "c2686f9f" } }, "meta" : { - "globalKey" : "524065b0" + "globalKey" : "7696b6a0" } }, - "meta" : { - "globalKey" : "524065b0" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0015, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "524065b0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0015, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "d07c4aec" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d07c4aec" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37206", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee9" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37206", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636348" + } + } ], + "tradeDate" : { + "value" : "2002-11-29", + "meta" : { + "globalKey" : "3e92dd" + } }, "party" : [ { "partyId" : [ { @@ -529,10 +522,10 @@ } }, "meta" : { - "globalKey" : "e9f98b99" + "globalKey" : "73966019" } }, "meta" : { - "globalKey" : "e9f98b99" + "globalKey" : "73966019" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json index 6e26a57b29..62630e9bea 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37203", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee6" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37203", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636345" - } - } ], - "tradeDate" : { - "value" : "2002-08-23", - "meta" : { - "globalKey" : "3e9217" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-08-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-08-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "50c0eb00" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-08-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "50c0eb00" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-08-28", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,347 +42,405 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "50c0eb00" + } + }, + "meta" : { + "globalKey" : "50c0eb00" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abe" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "18abe" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2003-02-28", + "meta" : { + "globalKey" : "3eb875" + } + }, + "meta" : { + "globalKey" : "cc728676" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "cf6d1159" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDaysNotSpecified" : true }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abe" - }, - "rollConvention" : "28" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "18abe" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "107" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-02-28", - "meta" : { - "globalKey" : "3eb875" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "cc728676" + "globalKey" : "d8c9161c" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "05EF75", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Banco Nacional de Desenvolvimento Economico E Social - BNDES" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7b58e286", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "cf6d1159" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDaysNotSpecified" : true - }, - "deliverableObligations" : { - "accruedInterest" : 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"quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "46f3bce4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 1800000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "76c43543" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37203", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee6" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37203", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636345" + } + } ], + "tradeDate" : { + "value" : "2002-08-23", + "meta" : { + "globalKey" : "3e9217" + } }, "party" : [ { "partyId" : [ { @@ -545,10 +538,10 @@ } }, "meta" : { - "globalKey" : "1236e051" + "globalKey" : "f2bb976f" } }, "meta" : { - "globalKey" : "1236e051" + "globalKey" : "f2bb976f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json index 49c22693c1..17611b9585 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37204", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee7" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37204", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636346" - } - } ], - "tradeDate" : { - "value" : "2002-11-22", - "meta" : { - "globalKey" : "3e92d6" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09e04f" - } - }, - "meta" : { - "globalKey" : "eb09e04f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-23", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "4e7199e5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "4e7199e5" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb09e04f" + } + }, + "meta" : { + "globalKey" : "eb09e04f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-23", "dateAdjustments" : { "businessDayConvention" : 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"scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "a5c4241a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37204", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee7" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37204", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636346" + } + } ], + "tradeDate" : { + "value" : "2002-11-22", + "meta" : { + "globalKey" : "3e92d6" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +526,10 @@ } }, "meta" : { - "globalKey" : "3b71059b" + "globalKey" : "2ff7defd" } }, "meta" : { - "globalKey" : "3b71059b" + "globalKey" : "2ff7defd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json index cc487e57b2..b434d6a0e5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json @@ -1,296 +1,289 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "76102c6b" + }, + "cashSettlementTerms" : [ { + "recoveryFactor" : 0.60, + "meta" : { + "globalKey" : "b9f8" + } + } ] + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "76102c6b" - }, - "cashSettlementTerms" : [ { - "recoveryFactor" : 0.60, - "meta" : { - "globalKey" : "b9f8" - } - } ] - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, "meta" : { - "globalKey" : "9e18a2ed" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "6123ef1f" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "9e18a2ed" } }, "meta" : { - "globalKey" : "fe2f9361" + "globalKey" : "6123ef1f" } - }, - "meta" : { - "globalKey" : "fe2f9361" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "fe2f9361" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -360,10 +353,10 @@ } }, "meta" : { - "globalKey" : "c5fbf90e" + "globalKey" : "c2a96b5e" } }, "meta" : { - "globalKey" : "c5fbf90e" + "globalKey" : "c2a96b5e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json index a891ac138c..752324d829 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json @@ -1,284 +1,277 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" + } + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } - } ], + }, "meta" : { - "globalKey" : "c14f7042" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "553ca574" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "c14f7042" } }, "meta" : { - "globalKey" : "e4b8bab6" + "globalKey" : "553ca574" } - }, - "meta" : { - "globalKey" : "e4b8bab6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e4b8bab6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -379,10 +372,10 @@ } }, "meta" : { - "globalKey" : "b285d4f7" + "globalKey" : "40dc4ec7" } }, "meta" : { - "globalKey" : "b285d4f7" + "globalKey" : "40dc4ec7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex18-standard-north-american-corp.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex18-standard-north-american-corp.json index 61db49540e..0b33369abe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex18-standard-north-american-corp.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex18-standard-north-american-corp.json @@ -1,278 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3ec8da" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ef194" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2009-03-25", - "meta" : { - "globalKey" : "3ec8d9" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } + }, + "transactedPrice" : { + "marketFixedRate" : 0.02 + }, + "meta" : { + "globalKey" : "c847dc2a" } }, "meta" : { - "globalKey" : "3dca44ec" + "globalKey" : "bd438fa6" } - }, - "meta" : { - "globalKey" : "3dca44ec" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3dca44ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2009-03-25", + "meta" : { + "globalKey" : "3ec8d9" + } }, "party" : [ { "partyId" : [ { @@ -346,7 +339,7 @@ } }, "meta" : { - "globalKey" : "8e36e462" + "globalKey" : "2ac700e2" } }, "transferHistory" : [ { @@ -397,6 +390,6 @@ } } ], "meta" : { - "globalKey" : "cae7a47" + "globalKey" : "62ce36c7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json index b70f276d60..f56dd72b1f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json @@ -1,382 +1,381 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "5ec52713" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", - "meta" : { - "globalKey" : "5d273b4a" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-21", - "meta" : { - "globalKey" : "3eb0d5" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : 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"Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -500,7 +499,7 @@ } }, "meta" : { - "globalKey" : "a523697" + "globalKey" : "2e6db3a3" } }, "transferHistory" : [ { @@ -567,6 +566,6 @@ } } ], "meta" : { - "globalKey" : "7f498cc3" + "globalKey" : "eacee137" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json index 34eaf94f01..9bdcff86be 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json @@ -1,286 +1,279 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - 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: { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -379,10 +372,10 @@ } }, "meta" : { - "globalKey" : "be8e40d0" + "globalKey" : "867856a0" } }, "meta" : { - "globalKey" : "be8e40d0" + "globalKey" : "867856a0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-1.json index 340b73d825..918b5f914a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-1.json @@ -1,287 +1,247 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade123", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba463" - } - } ], - "tradeDate" : { - "value" : "2006-12-05", - "meta" : { - "globalKey" : "3eb305", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "1333467d", - "externalReference" : "CREDITEVENT" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "1333467d", + "externalReference" : "CREDITEVENT" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a3e7e" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a3e7e" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a3e7e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec2ea6cd" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec2ea6cd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ec2ea6cd" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "SPREAD" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "SPREAD" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2012-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d9c0aa" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2012-03-20", "meta" : { - "globalKey" : "55080c1c" + "globalKey" : "7d9c0aa" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "55080c1c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "eb40ee68" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond" + }, + "escrow" : true, "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + "globalKey" : "5800f1f" } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "eb40ee68" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Bond" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "Entity3" }, - "escrow" : true, "meta" : { - "globalKey" : "5800f1f" + "globalKey" : "4573090" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "ExampleCUSIP2", + "meta" : { + "scheme" : "CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { "name" : { "value" : "Entity3" }, "meta" : { "globalKey" : "4573090" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP2", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Entity3" - }, - "meta" : { - "globalKey" : "4573090" - } - } - } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "restructuring" : { - "applicable" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "defaultRequirement" : { + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { "value" : 1000000, "unit" : { "currency" : { @@ -291,206 +251,238 @@ "meta" : { "globalKey" : "48eb1e55" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party1", "Party2" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + } + }, + "restructuring" : { + "applicable" : true + }, + "defaultRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "1333467d", - "externalKey" : "CREDITEVENT" + "globalKey" : "48eb1e55" } }, - "obligations" : { - "category" : "Bond" + "creditEventNotice" : { + "notifyingParty" : [ "Party1", "Party2" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "139ace00" + "globalKey" : "1333467d", + "externalKey" : "CREDITEVENT" } - } ], + }, + "obligations" : { + "category" : "Bond" + }, "meta" : { - "globalKey" : "afc3b294" + "globalKey" : "139ace00" } - }, + } ], "meta" : { - "globalKey" : "388692f8" + "globalKey" : "afc3b294" } + }, + "meta" : { + "globalKey" : "388692f8" } - }, - "meta" : { - "globalKey" : "45761349" } }, "meta" : { "globalKey" : "45761349" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-03-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-03-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "80df3cd5" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "80df3cd5" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da556d3a" } }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "1f046114" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "SPREAD" + "globalKey" : "80df3cd5" } }, "meta" : { - "globalKey" : "b72d9114" + "globalKey" : "80df3cd5" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "b72d9114" + "globalKey" : "1f046114" + } + }, + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "SPREAD" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "842b540" } - }, + } ], "meta" : { - "globalKey" : "ee5984fe" + "globalKey" : "842b540" } }, - "meta" : { - "globalKey" : "ee5984fe" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0186, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4eb64e2a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0186, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "9b6e4015" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "9b6e4015" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade123", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba463" + } + } ], + "tradeDate" : { + "value" : "2006-12-05", + "meta" : { + "globalKey" : "3eb305", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -574,7 +566,7 @@ } }, "meta" : { - "globalKey" : "2739117d" + "globalKey" : "1dfa2eab" } }, "transferHistory" : [ { @@ -641,6 +633,6 @@ } } ], "meta" : { - "globalKey" : "22289d8f" + "globalKey" : "5c745e21" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-2.json index e9b8c1ed98..3998dd72eb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cd-swaption-2.json @@ -1,544 +1,536 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-06-27", - "meta" : { - "globalKey" : "3eb19b", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "594a6d92", - "externalReference" : "CREDITEVENT" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "594a6d92", + "externalReference" : "CREDITEVENT" } } - }, - 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+ } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, "unit" : { "currency" : { "value" : "USD" } }, "meta" : { - "globalKey" : "d467e427" + "globalKey" : "48eb1e55" } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "multipleHolderObligation" : true + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "594a6d92", - "externalKey" : "CREDITEVENT" + "globalKey" : "d467e427" } }, - "obligations" : { - "category" : "BorrowedMoney", - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "89059707" + "globalKey" : "594a6d92", + "externalKey" : "CREDITEVENT" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney", + "excluded" : "true", + "othReferenceEntityObligations" : "true" + }, "meta" : { - "globalKey" : "306e2891" + "globalKey" : "89059707" } - }, + } ], "meta" : { - "globalKey" : "9b77990f" + "globalKey" : "306e2891" } + }, + "meta" : { + "globalKey" : "9b77990f" } - }, - "meta" : { - "globalKey" : "8f2c329" } }, "meta" : { "globalKey" : "8f2c329" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-09-20", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-09-20", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "5f6d3466" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "5f6d3466" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "da556d3a" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "5e8e3c1c" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "SPREAD" + "globalKey" : "5f6d3466" } }, "meta" : { - "globalKey" : "d817f43b" + "globalKey" : "5f6d3466" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "d817f43b" + "globalKey" : "5e8e3c1c" + } + }, + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "SPREAD" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2a988367" } - }, + } ], "meta" : { - "globalKey" : "7e37ba65" + "globalKey" : "2a988367" } }, - "meta" : { - "globalKey" : "7e37ba65" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.085, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "32d12e91" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.085, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "dc623dff" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + } ], + "meta" : { + "globalKey" : "dc623dff" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-06-27", + "meta" : { + "globalKey" : "3eb19b", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -622,7 +614,7 @@ } }, "meta" : { - "globalKey" : "23cab6c3" + "globalKey" : "8b7d1c8f" } }, "transferHistory" : [ { @@ -689,6 +681,6 @@ } } ], "meta" : { - "globalKey" : "6f964615" + "globalKey" : "83d4c9c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex01-cdx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex01-cdx.json index 863dd0c734..6477c16396 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex01-cdx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex01-cdx.json @@ -1,220 +1,220 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3ec8d4" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "9c4bc46" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "9c4bc46" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "eded796c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -284,7 +284,7 @@ } }, "meta" : { - "globalKey" : "9fb68874" + "globalKey" : "11f24f28" } }, "transferHistory" : [ { @@ -326,6 +326,6 @@ } } ], "meta" : { - "globalKey" : "7e3df049" + "globalKey" : "ae6754fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex02-iTraxx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex02-iTraxx.json index 3cc5386111..05ebabdf05 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex02-iTraxx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex02-iTraxx.json @@ -1,5 +1,117 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" + } + } + } ], + "meta" : { + "globalKey" : "df6c52dd" + } + } + }, + "meta" : { + "globalKey" : "be0acfde" + } + }, + "meta" : { + "globalKey" : "be0acfde" + } + } + }, + "meta" : { + "globalKey" : "feec8b8a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c1910382", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "20c13e66", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "20c13e66", @@ -39,118 +151,6 @@ "globalKey" : "3ea2c3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], - "meta" : { - "globalKey" : "ae1d399e" - } - } - }, - "meta" : { - "globalKey" : "9b32dffd" - } - }, - "meta" : { - "globalKey" : "9b32dffd" - } - } - }, - "meta" : { - "globalKey" : "307d88d1" - } - }, - "meta" : { - "globalKey" : "307d88d1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c1910382", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20c13e66", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -217,7 +217,7 @@ } }, "meta" : { - "globalKey" : "cc4575d4" + "globalKey" : "16ddbfbb" } }, "transferHistory" : [ { @@ -259,6 +259,6 @@ } } ], "meta" : { - "globalKey" : "bed20988" + "globalKey" : "c97159ef" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json index 26a21a8800..d16177a6b2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json @@ -1,5 +1,121 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "indexAnnexDate" : "2005-11-01", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" + } + } + } ], + "meta" : { + "globalKey" : "cf6dff2a" + } + } + }, + "meta" : { + "globalKey" : "3ce2d689" + } + }, + "meta" : { + "globalKey" : "3ce2d689" + } + } + }, + "meta" : { + "globalKey" : "99b16b5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8b68721" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "67920033", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a735be4", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a735be4", @@ -39,122 +155,6 @@ "globalKey" : "3eaac3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "indexAnnexDate" : "2005-11-01", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], - "meta" : { - "globalKey" : "aba314c9" - } - } - }, - "meta" : { - "globalKey" : "760ede0a" - } - }, - "meta" : { - "globalKey" : "760ede0a" - } - } - }, - "meta" : { - "globalKey" : "b14394b6" - } - }, - "meta" : { - "globalKey" : "b14394b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8b68721" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "67920033", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a735be4", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -280,7 +280,7 @@ } } ], "meta" : { - "globalKey" : "9fbdf931" + "globalKey" : "fd64e882" } }, "transferHistory" : [ { @@ -322,6 +322,6 @@ } } ], "meta" : { - "globalKey" : "ff8a5025" + "globalKey" : "d7c96cf6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex04-iBoxx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex04-iBoxx.json index 76fba228e1..1337564da1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex04-iBoxx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex04-iBoxx.json @@ -1,296 +1,317 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-03-23", + "meta" : { + "globalKey" : "3ef0d7" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3ef0d7" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-03-20", + "meta" : { + "globalKey" : "3f18d4" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3f18d4" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-03-23", - "meta" : { - "globalKey" : "3ef0d7" - } - }, - "meta" : { - "globalKey" : "3ef0d7" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-03-20", - "meta" : { - "globalKey" : "3f18d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "3f18d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "e06fa940" - }, - "initialRate" : { - "value" : 0.025, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } - } + "meta" : { + "globalKey" : "e06fa940" }, - "resetDates" : { - "initialFixingDate" : { - "initialFixingDate" : "2014-03-23" + "initialRate" : { + "value" : 0.025, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "finalFixingDate" : { - "unadjustedDate" : "2019-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2727bc7f" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, + "priceType" : "InterestRate" + } + } + }, + "resetDates" : { + "initialFixingDate" : { + "initialFixingDate" : "2014-03-23" + }, + "finalFixingDate" : { + "unadjustedDate" : "2019-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "1a4469d6" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "8f2b235" + "globalKey" : "2727bc7f" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "meta" : { + "globalKey" : "1a4469d6" + } + }, + "meta" : { + "globalKey" : "8f2b235" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "iBoxx EUR Corporates" }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "iBoxx EUR Corporates" - }, - "indexId" : [ { - "value" : "DE0006301161", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - } ], + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "DE0006301161", "meta" : { - "globalKey" : "8b0e5955" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" } - } + }, + "identifierType" : "ISIN" + } ], + "name" : { + "value" : "iBoxx EUR Corporates" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "647c0734" + "globalKey" : "451af30d" } - }, - "meta" : { - "globalKey" : "cd0d51df" } + }, + "meta" : { + "globalKey" : "f86bc4e" } }, "meta" : { - "globalKey" : "6e93ebfc" + "globalKey" : "8c372b43" } - }, - "meta" : { - "globalKey" : "6e93ebfc" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "81716686" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } } }, "meta" : { - "globalKey" : "8feabf86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e9be61f4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -379,7 +400,7 @@ } }, "meta" : { - "globalKey" : "f805e06" + "globalKey" : "febee374" } }, "transferHistory" : [ { @@ -421,6 +442,6 @@ } } ], "meta" : { - "globalKey" : "a30748db" + "globalKey" : "688acb49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.json index b584409ed2..a9b057c7d0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdindex-ex05-SP.json @@ -1,253 +1,255 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", - "meta" : { - "scheme" : "http://www.newbank.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "269374ff" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "269374ff" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "269374ff" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "269374ff" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26b17cff" + "meta" : { + "globalKey" : "26b17cff" + } + }, + "meta" : { + "globalKey" : "26b17cff" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "26b17cff" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" - } - }, - "indexId" : [ { - "value" : "7FC48VAA0", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" - } - } ], + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1", "meta" : { - "globalKey" : "5dd0ec47" + "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" } }, - "additionalTerm" : [ { - "value" : "Y", + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "7FC48VAA0", "meta" : { - "scheme" : "http://derivserv.dtcc.com/coding-scheme/additional-term" + "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" } - } ] + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "6200a8ff" + "globalKey" : "1996bc01" } }, - "meta" : { - "globalKey" : "604a4bc0" - } + "additionalTerm" : [ { + "value" : "Y", + "meta" : { + "scheme" : "http://derivserv.dtcc.com/coding-scheme/additional-term" + } + } ] + }, + "meta" : { + "globalKey" : "ed763d1b" } }, "meta" : { - "globalKey" : "d6f8d320" + "globalKey" : "ca352f3a" } - }, - "meta" : { - "globalKey" : "d6f8d320" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0085, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + "meta" : { + "globalKey" : "c6e19bda" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0085, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "73313106" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } ], + "meta" : { + "globalKey" : "73313106" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -338,7 +340,7 @@ } }, "meta" : { - "globalKey" : "15f470ef" + "globalKey" : "23d9ad4f" } }, "transferHistory" : [ { @@ -386,6 +388,6 @@ } } ], "meta" : { - "globalKey" : "bec3bc8b" + "globalKey" : "7b0f08eb" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.json index 2ac18d97cc..7b0bcca194 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-ELCDS-ReferenceObligation.json @@ -1,336 +1,329 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c6972c" + } + }, "meta" : { - "scheme" : "TradeRefNbr" + "globalKey" : "25c6972c" } - } - } ], - "meta" : { - "globalKey" : "9b902fd3" - } - } ], - "tradeDate" : { - "value" : "2007-10-31", - "meta" : { - "globalKey" : "3eba9f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c6972c" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-17", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c6972c" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-17", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c39fc" + "meta" : { + "globalKey" : "261c39fc" + } + }, + "meta" : { + "globalKey" : "261c39fc" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "261c39fc" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" 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"securedList" : false + } + }, + "protectionTerms" : [ { + "obligations" : { + "category" : "Loan", + "fullFaithAndCreditObLiability" : true, + "designatedPriority" : { + "value" : "FirstLienLoan", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/lien" + } + }, + "cashSettlementOnly" : true, + "deliveryOfCommitments" : true, + "continuity" : true }, "meta" : { - "globalKey" : "398f3268" + "globalKey" : "b8006f0a" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "fbf842d9" } }, "meta" : { - "globalKey" : "89f88ba2" + "globalKey" : "398f3268" } }, - "meta" : { - "globalKey" : "89f88ba2" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "89f88ba2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "10b32f9f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } ], + "meta" : { + "globalKey" : "10b32f9f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" + } ], + "meta" : { + "globalKey" : "b894a0b9" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e102e2c", - "externalReference" : "DTCCPty2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e102e2c", + "externalReference" : "DTCCPty2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "TradeRefNbr" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" - } ] - } ] + "meta" : { + "globalKey" : "9b902fd3" + } + } ], + "tradeDate" : { + "value" : "2007-10-31", + "meta" : { + "globalKey" : "3eba9f" + } }, "party" : [ { "partyId" : [ { @@ -444,10 +437,10 @@ } }, "meta" : { - "globalKey" : "95149fc8" + "globalKey" : "89711242" } }, "meta" : { - "globalKey" : "95149fc8" + "globalKey" : "89711242" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket-tranche.json index b8d6fbbaab..651a1aa0e9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket-tranche.json @@ -1,375 +1,368 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : 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} ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - } ] - }, - "tranche" : { - "attachmentPoint" : 0.03, - "exhaustionPoint" : 0.07 + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + }, { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5a8f0b85" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "d028765" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "5a8f0b85" } }, "meta" : { - "globalKey" : "35fa63e8" + "globalKey" : "d028765" } - }, - "meta" : { - "globalKey" : "35fa63e8" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "35fa63e8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -443,10 +436,10 @@ } }, "meta" : { - "globalKey" : "49bacc4e" + "globalKey" : "fa1b0656" } }, "meta" : { - "globalKey" : "49bacc4e" + "globalKey" : "fa1b0656" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket.json index 22915f597f..1b908ec68e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-basket.json @@ -1,366 +1,359 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.60 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.60 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } - } - }, { - "constituentWeight" : { - "basketPercentage" : 0.40 + } ], + "name" : { + "value" : "Agrium Inc." }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" + } + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "2bdf39cb" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "12c02dab" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "2bdf39cb" } }, "meta" : { - "globalKey" : "1dfb4eee" + "globalKey" : "12c02dab" } - }, - "meta" : { - "globalKey" : "1dfb4eee" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1dfb4eee" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "96d36572", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "96d36572", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -434,10 +427,10 @@ } }, "meta" : { - "globalKey" : "9d22b8de" + "globalKey" : "c47b8f66" } }, "meta" : { - "globalKey" : "9d22b8de" + "globalKey" : "c47b8f66" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.json index 5d843c7576..e2565f436a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-custom-basket.json @@ -1,517 +1,510 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } + } ], + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.40 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Agrium Inc." }, - "protectionTermsReference" : { - "globalReference" : "90a9b011", - "externalReference" : "protectionTermsOne" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" - }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" } - }, { - "constituentWeight" : { - "basketPercentage" : 0.30 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } - }, - "protectionTermsReference" : { - "globalReference" : "90a9b011", - "externalReference" : "protectionTermsOne" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - }, { - "constituentWeight" : { - "basketPercentage" : 0.30 + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + }, + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G8KT", + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" + } + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Teleco Corporation Europe" }, - "meta" : { - "globalKey" : "2c781556", - "externalKey" : "telecoEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } - }, - "protectionTermsReference" : { - "globalReference" : "71d88c7e", - "externalReference" : "protectionTermsTwo" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsTwo" + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsTwo" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G8KT", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Teleco Corporation Europe" + }, + "meta" : { + "globalKey" : "2c781556", + "externalKey" : "telecoEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "protectionTermsReference" : { + "globalReference" : "71d88c7e", + "externalReference" : "protectionTermsTwo" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011", - "externalKey" : "protectionTermsOne" } - }, { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, + "meta" : { + "globalKey" : "f8d2401" + } + }, + "obligations" : { + "category" : "BondOrLoan" + }, + "meta" : { + "globalKey" : "90a9b011", + "externalKey" : "protectionTermsOne" + } + }, { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "meta" : { - "globalKey" : "48eae7c4" - } - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "dayType" : "Business" + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "e5b237ae" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "71d88c7e", - "externalKey" : "protectionTermsTwo" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5d3a5707" + "globalKey" : "e5b237ae" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "fdded2e7" + "globalKey" : "71d88c7e", + "externalKey" : "protectionTermsTwo" } + } ], + "meta" : { + "globalKey" : "5d3a5707" } }, "meta" : { - "globalKey" : "42f1176a" + "globalKey" : "fdded2e7" } - }, - "meta" : { - "globalKey" : "42f1176a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "42f1176a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "28ce4efa" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "b88d63fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b88d63fd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -585,10 +578,10 @@ } }, "meta" : { - "globalKey" : "b06b51a7" + "globalKey" : "555ee0ef" } }, "meta" : { - "globalKey" : "b06b51a7" + "globalKey" : "555ee0ef" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-index-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-index-tranche.json index 3eb519563f..68ecbafb51 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-index-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-index-tranche.json @@ -1,5 +1,116 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_IndexTranche" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + }, + "settledEntityMatrix" : { + "matrixSource" : { + "value" : "NotApplicable" + } + }, + "meta" : { + "globalKey" : "f97d484f" + } + } + }, + "meta" : { + "globalKey" : "aa708910" + } + }, + "meta" : { + "globalKey" : "aa708910" + } + } + }, + "meta" : { + "globalKey" : "39d209bc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c1910382", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "20c13e66", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "20c13e66", @@ -39,117 +150,6 @@ "globalKey" : "3ea2c3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_IndexTranche" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "tranche" : { - "attachmentPoint" : 0.03, - "exhaustionPoint" : 0.07 - }, - "settledEntityMatrix" : { - "matrixSource" : { - "value" : "NotApplicable" - } - }, - "meta" : { - "globalKey" : "df8f82d0" - } - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c1910382", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20c13e66", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -216,7 +216,7 @@ } }, "meta" : { - "globalKey" : "500d9362" + "globalKey" : "2c9bcc9" } }, "transferHistory" : [ { @@ -258,6 +258,6 @@ } } ], "meta" : { - "globalKey" : "df41d416" + "globalKey" : "6cda43fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-ReferenceObligation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-ReferenceObligation.json index 4805ed0a85..ad1aeffc95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-ReferenceObligation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-ReferenceObligation.json @@ -1,437 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb811f13" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "eb811f13" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf57e13" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "ebf57e13" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-10-26", - "meta" : { - "globalKey" : "3eb29a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb811f13" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb811f13" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-12-20", + "lastRegularPaymentDate" : "2010-06-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d8ff2a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e1fca3e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "41e7ef00" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "notSubordinated" : true, + "notContingent" : true, + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2006-12-20", - "lastRegularPaymentDate" : "2010-06-20", - "meta" : { - "globalKey" : "7d8ff2a" - } + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, "meta" : { - "globalKey" : "5e1fca3e" + "globalKey" : "df3ad6f7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyABC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444aeec5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "41e7ef00" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "notSubordinated" : true, - "notContingent" : true, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "loan" : { + "identifier" : [ { + "identifier" : { + "value" : "23490234", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.partyA.com/coding-scheme/instrument-id" } }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "identifierType" : "Other" + } ], + "lien" : { + "value" : "FirstLienLoan" }, - "meta" : { - "globalKey" : "df3ad6f7" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyABC" - }, - "meta" : { - "globalKey" : "444aeec5" - } + "facilityType" : { + "value" : "RevolvingLoan" }, - "referenceObligation" : [ { - "loan" : { - "identifier" : [ { - "identifier" : { - "value" : "23490234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "lien" : { - "value" : "FirstLienLoan" - }, - "facilityType" : { - "value" : "RevolvingLoan" - }, - "creditAgreementDate" : "2005-11-04", - "tranche" : { - "value" : "LN190325" - } - }, - "primaryObligor" : { - "name" : { - "value" : "CompanyABC" - }, - "meta" : { - "globalKey" : "444aeec5" - } - } - } ], - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" + "creditAgreementDate" : "2005-11-04", + "tranche" : { + "value" : "LN190325" + } + }, + "primaryObligor" : { + "name" : { + "value" : "CompanyABC" }, - "securedList" : false + "meta" : { + "globalKey" : "444aeec5" + } } + } ], + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : false + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "a02353af" + "globalKey" : "48eb1e55" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "c245b351" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "1a0b8594" + "globalKey" : "a02353af" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "d454d4d2" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "c245b351" } + } ], + "meta" : { + "globalKey" : "1a0b8594" } }, "meta" : { - "globalKey" : "da117ff" + "globalKey" : "d454d4d2" } }, - "meta" : { - "globalKey" : "da117ff" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "da117ff" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e499703a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e499703a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-10-26", + "meta" : { + "globalKey" : "3eb29a" + } }, "party" : [ { "partyId" : [ { @@ -525,10 +518,10 @@ } }, "meta" : { - "globalKey" : "d684f314" + "globalKey" : "b356b902" } }, "meta" : { - "globalKey" : "d684f314" + "globalKey" : "b356b902" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-SecuredList.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-SecuredList.json index 04442ec57d..ddde7cb605 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-SecuredList.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-loan-SecuredList.json @@ -1,407 +1,400 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "eb82a1ba" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "ebf296cd" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "41e7ef00" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "notSubordinated" : true, + "notContingent" : true, + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "df3ad6f7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "41e7ef00" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "notSubordinated" : true, - "notContingent" : true, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" - }, - "meta" : { - "globalKey" : "df3ad6f7" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b45b5d03" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "ff84437d" + "globalKey" : "1a10e2d1" + } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 } - } ], + }, "meta" : { - "globalKey" : "ce93a6f0" + "globalKey" : "b45b5d03" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "4967c1f2" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "ff84437d" } + } ], + "meta" : { + "globalKey" : "ce93a6f0" } }, "meta" : { - "globalKey" : "1983ade" + "globalKey" : "4967c1f2" } }, - "meta" : { - "globalKey" : "1983ade" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1983ade" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -495,10 +488,10 @@ } }, "meta" : { - "globalKey" : "35d8eb2" + "globalKey" : "238898b2" } }, "meta" : { - "globalKey" : "35d8eb2" + "globalKey" : "238898b2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-CMBS.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-CMBS.json index 63d8de9196..51e3b19896 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-CMBS.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-CMBS.json @@ -1,391 +1,384 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-11-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "meta" : { + "globalKey" : "18601d49" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "18601d49" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2046-07-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "f02f5604" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "f02f5604" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-11-14", - "meta" : { - "globalKey" : "3eb2ce" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-11-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "da556d3a" } }, "meta" : { - "globalKey" : "18601d49" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177f6" + }, + "rollConvention" : "25" }, "meta" : { - "globalKey" : "18601d49" + "globalKey" : "177f6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2046-07-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "f02f5604" + "globalKey" : "6c" } }, + "firstPaymentDate" : "2006-12-27", + "lastRegularPaymentDate" : "2046-04-27", "meta" : { - "globalKey" : "f02f5604" + "globalKey" : "7d936cc" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" + "meta" : { + "globalKey" : "3e164c23" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - 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"globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-11-14", + "meta" : { + "globalKey" : "3eb2ce" + } }, "party" : [ { "partyId" : [ { @@ -479,10 +472,10 @@ } }, "meta" : { - "globalKey" : "d7c56f4b" + "globalKey" : "cb4498f9" } }, "meta" : { - "globalKey" : "d7c56f4b" + "globalKey" : "cb4498f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-RMBS.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-RMBS.json index cb06f94cb1..9ad197cb7d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-RMBS.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cds-mortgage-RMBS.json @@ -1,106 +1,41 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", - "meta" : { - 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"rateSource" : { + "value" : "USD-LIBOR-BBA" + } + }, + "writedown" : true, + "floatingAmountProvisions" : { + "stepUpProvision" : true + }, + "additionalFixedPayments" : { + "interestShortfallReimbursement" : true, + "principalShortfallReimbursement" : true, + "writedownReimbursement" : true } }, "meta" : { - "globalKey" : "c6780b8c" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "a1d69e19" } + } ], + "meta" : { + "globalKey" : "8c3952ac" } }, "meta" : { - "globalKey" : "75befe49" + "globalKey" : "c6780b8c" } }, - "meta" : { - "globalKey" : "75befe49" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "75befe49" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e3639930" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-10-05", + "meta" : { + "globalKey" : "3eb285" + } }, "party" : [ { "partyId" : [ { @@ -478,10 +471,10 @@ } }, "meta" : { - "globalKey" : "e088f8f9" + "globalKey" : "856807a7" } }, "meta" : { - "globalKey" : "e088f8f9" + "globalKey" : "856807a7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdx-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdx-index-option.json index 222163bec1..eb43373c1c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdx-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/cdx-index-option.json @@ -1,368 +1,367 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-21", - "meta" : { - "globalKey" : "3eb0d5" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-21", "meta" : { "globalKey" : "3eb0d5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "meta" : { - "globalKey" : "3ed994" - } - }, + "meta" : { + "globalKey" : "3eb0d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", "meta" : { "globalKey" : "3ed994" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3ed994" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2006-06-20", - "lastRegularPaymentDate" : "2011-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d8d7ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-06-20", + "lastRegularPaymentDate" : "2011-03-20", "meta" : { - "globalKey" : "5507235c" + "globalKey" : "7d8d7ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "5507235c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "Dow Jones CDX NA IG.2" }, - "indexSeries" : 2, - "indexAnnexDate" : "2005-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "5598e89" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2005-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "d197a909" } - }, - "meta" : { - "globalKey" : "daae824a" } }, "meta" : { - "globalKey" : "a74cb46e" + "globalKey" : "23b9e5e8" } + }, + "meta" : { + "globalKey" : "19996a44" } - }, - "meta" : { - "globalKey" : "e32c3b6f" } }, "meta" : { - "globalKey" : "e32c3b6f" + "globalKey" : "d10b1be3" } - }, - "optionType" : "Payer", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a605bf" - } - }, + } + } + }, + "optionType" : "Payer", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25a605bf" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3a4b88ab" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, - "partialExercise" : { - "notionaReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "integralMultipleAmount" : 1, - "minimumNotionalAmount" : 1 - }, "meta" : { - "globalKey" : "7b5d7149" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0225, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "25a605bf" } }, "meta" : { - "globalKey" : "882599a9" + "globalKey" : "25a605bf" } } ], - "meta" : { - "globalKey" : "882599a9" - } - } - }, - "meta" : { - "globalKey" : "882599a9" - } - }, - "meta" : { - "globalKey" : "882599a9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.019, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, + "partialExercise" : { + "notionaReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "integralMultipleAmount" : 1, + "minimumNotionalAmount" : 1 + }, + "meta" : { + "globalKey" : "7b5d7149" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "strike" : { + "strikePrice" : { + "value" : 0.0225, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "3919ad5d" } } ], "meta" : { - "globalKey" : "4ccb38f0" + "globalKey" : "3919ad5d" } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "3919ad5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.019, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "4ccb38f0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -466,7 +465,7 @@ } }, "meta" : { - "globalKey" : "5d33ce10" + "globalKey" : "ba4624c" } }, "transferHistory" : [ { @@ -533,6 +532,6 @@ } } ], "meta" : { - "globalKey" : "6d3a886a" + "globalKey" : "fd9e6bae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/itraxx-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/itraxx-index-option.json index 19771aeeee..913bb25366 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/itraxx-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/credit-derivatives/itraxx-index-option.json @@ -1,481 +1,480 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a730c" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a730c" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a730c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec136bcc" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec136bcc" } }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "ec136bcc" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + 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[ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "65ba978a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "6ceb3eab" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -511,7 +510,7 @@ } } ], "meta" : { - "globalKey" : "a1c17285" + "globalKey" : "6d374060" } }, "transferHistory" : [ { @@ -568,6 +567,6 @@ } } ], "meta" : { - "globalKey" : "f2e50fdd" + "globalKey" : "fe2dd738" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json index 6a06d236f1..a1454bb984 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json @@ -1,224 +1,189 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : 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: { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "1930298c" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "1930298c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "a80bd90" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -253,30 +218,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -360,7 +355,7 @@ } }, "meta" : { - "globalKey" : "2d73b18a" + "globalKey" : "bdc9d882" } }, "transferHistory" : [ { @@ -411,6 +406,6 @@ } } ], "meta" : { - "globalKey" : "96f189fd" + "globalKey" : "3f8048f5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.json index 7da1f1782e..7822cad2fa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex02-calendar-spread-short-form.json @@ -1,191 +1,183 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/tradeId/OTC" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "calendarSpread" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "calendarSpread" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb080ed3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb080ed3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "6bfa93dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "priceType" : "AssetPrice" + "globalKey" : "eb080ed3" } }, "meta" : { - "globalKey" : "f810a4c1" + "globalKey" : "eb080ed3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f810a4c1" + "globalKey" : "6bfa93dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e5e097d6" } - }, + } ], "meta" : { - "globalKey" : "c35c8fcc" + "globalKey" : "e5e097d6" } }, - "meta" : { - "globalKey" : "c35c8fcc" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "e10cd3bf" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -220,53 +212,60 @@ } }, "meta" : { - "globalKey" : "351745bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "unit" : { - "financialUnit" : "Share" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, + "meta" : { + "globalKey" : "f4ec9019" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "147efd57" + "scheme" : "http://www.partyA.com/tradeId/OTC" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -350,7 +349,7 @@ } }, "meta" : { - "globalKey" : "2e7d7c85" + "globalKey" : "aba4a21c" } }, "transferHistory" : [ { @@ -401,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "da69028" + "globalKey" : "396c20bf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.json index ce60879895..20e15fc9ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex03-call-or-put-spread-short-form.json @@ -1,191 +1,183 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/tradeId/OTC" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "putSpread" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "putSpread" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "46648bdd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "46648bdd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a41f90e5" } - }, + } ], "meta" : { - "globalKey" : "9fa3392e" + "globalKey" : "a41f90e5" } }, - "meta" : { - "globalKey" : "9fa3392e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "5a05cddd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -220,53 +212,60 @@ } }, "meta" : { - "globalKey" : "351745bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "unit" : { - "financialUnit" : "Share" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, + "meta" : { + "globalKey" : "f1ab8d2c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "47eb8b24" + "scheme" : "http://www.partyA.com/tradeId/OTC" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -350,7 +349,7 @@ } }, "meta" : { - "globalKey" : "d8c0d7e0" + "globalKey" : "fe9b693d" } }, "transferHistory" : [ { @@ -401,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "9f2563c7" + "globalKey" : "b828ee24" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json index 85c223b676..3d3dabbd9c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json @@ -1,212 +1,160 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyB.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2001-09-04", - "meta" : { - "globalKey" : "3e8a44" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "2c4c46fb" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "valuation" - } - } - }, + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "2c4c46fb" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "valuation" } - }, - "meta" : { - "globalKey" : "38606287" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SSMI", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "name" : "Swiss Market Index", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "ef0bfae3" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2004-12-19", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb46d18b" - } - }, + "meta" : { + "globalKey" : "2c4c46fb" + } + }, + "meta" : { + "globalKey" : "38606287" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2004-12-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb46d18b" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "e3d825ff" - } - }, - "strike" : { - "strikePrice" : { - "value" : 8700, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb46d18b" } }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "eb46d18b" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "e3d825ff" + } + }, + "strike" : { + "strikePrice" : { + "value" : 8700, + "unit" : { + "currency" : { + "value" : "CHF" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e4c22de1" } - }, + } ], "meta" : { - "globalKey" : "fdd47d3d" + "globalKey" : "e4c22de1" } }, - "meta" : { - "globalKey" : "fdd47d3d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 2500, + "meta" : { + "globalKey" : "b903f80" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 2500, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "financialUnit" : "IndexUnit" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -229,36 +177,67 @@ "globalKey" : "293090" } }, - "name" : "Swiss Market Index", + "name" : { + "value" : "Swiss Market Index" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "874dc0da" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "bf6418d4" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyB.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2001-09-04", + "meta" : { + "globalKey" : "3e8a44" + } }, "party" : [ { "partyId" : [ { @@ -342,7 +321,7 @@ } }, "meta" : { - "globalKey" : "d8cef1bd" + "globalKey" : "25e33fd4" } }, "transferHistory" : [ { @@ -393,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "50dc250b" + "globalKey" : "39bd5e22" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.json index b13c53b4fb..42696fd054 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex05-asian-long-form.json @@ -1,197 +1,154 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".N225", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTKS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "294564" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XOSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293389" - } - } ], - "name" : "NIKKEI 225 INDEX", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "4f0d6278" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" - } - }, - "strike" : { - "strikePrice" : { - "value" : 17475.90, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 17475.90, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "d44c6866" } - }, + } ], "meta" : { - "globalKey" : "a403df22" + "globalKey" : "d44c6866" } }, - "meta" : { - "globalKey" : "a403df22" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "meta" : { + "globalKey" : "3f1fcfd0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "IndexUnit" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -225,36 +182,67 @@ "globalKey" : "293389" } } ], - "name" : "NIKKEI 225 INDEX", + "name" : { + "value" : "NIKKEI 225 INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "25989ebe" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6fb167c8" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +328,7 @@ } }, "meta" : { - "globalKey" : "8f2af80f" + "globalKey" : "ca142767" } }, "transferHistory" : [ { @@ -391,6 +379,6 @@ } } ], "meta" : { - "globalKey" : "b02f36f9" + "globalKey" : "4ed5de51" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json index b13c53b4fb..42696fd054 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json @@ -1,197 +1,154 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".N225", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTKS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "294564" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XOSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293389" - } - } ], - "name" : "NIKKEI 225 INDEX", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "4f0d6278" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" - } - }, - "strike" : { - "strikePrice" : { - "value" : 17475.90, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 17475.90, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "d44c6866" } - }, + } ], "meta" : { - "globalKey" : "a403df22" + "globalKey" : "d44c6866" } }, - "meta" : { - "globalKey" : "a403df22" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "meta" : { + "globalKey" : "3f1fcfd0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "IndexUnit" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -225,36 +182,67 @@ "globalKey" : "293389" } } ], - "name" : "NIKKEI 225 INDEX", + "name" : { + "value" : "NIKKEI 225 INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "25989ebe" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6fb167c8" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +328,7 @@ } }, "meta" : { - "globalKey" : "8f2af80f" + "globalKey" : "ca142767" } }, "transferHistory" : [ { @@ -391,6 +379,6 @@ } } ], "meta" : { - "globalKey" : "b02f36f9" + "globalKey" : "4ed5de51" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json index 1f0f251040..09750f7c62 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json @@ -1,45 +1,100 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2002-07-01", - "meta" : { - "globalKey" : "3e91c1" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "108646a1" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "eb62db03", + "externalReference" : "expirationDate" + } + } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" + "meta" : { + "globalKey" : "108646a1" + } + }, + "meta" : { + "globalKey" : "2964f36" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "barrier" : { + "barrierCap" : { + "schedule" : [ { + "startDate" : "2002-03-29", + "endDate" : "2002-07-12", + "averagingPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" + }, + "rollConvention" : "NONE" + } + } ], + "trigger" : { + "level" : [ { + "value" : 1606.346, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } ] }, - "settlementDate" : { - "adjustableOrRelativeDate" : { + "featurePayment" : { + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "receiverPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, + "amount" : 15000000, + "time" : "Close", + "currency" : { + "value" : "EUR" + }, + "paymentDate" : { "relativeDate" : { "periodMultiplier" : 3, "period" : "D", @@ -60,277 +115,170 @@ "globalReference" : "eb62db03", "externalReference" : "expirationDate" } + }, + "meta" : { + "globalKey" : "108646a1" } }, "meta" : { - "globalKey" : "108646a1" + "globalKey" : "9c450d4" } - }, - "meta" : { - "globalKey" : "2964f36" } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "barrier" : { - "barrierCap" : { - "schedule" : [ { - "startDate" : "2002-03-29", - "endDate" : "2002-07-12", - "averagingPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } - } ], - "trigger" : { - "level" : [ { - "value" : 1606.346, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" - } ] + } + }, + "knock" : { + "knockOut" : { + "schedule" : [ { + "startDate" : "2002-07-26", + "endDate" : "2005-10-11", + "averagingPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" }, - "featurePayment" : { - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, - "amount" : 15000000, - "time" : "Close", + "rollConvention" : "NONE" + } + } ], + "trigger" : { + "level" : [ { + "value" : 1.50, + "unit" : { "currency" : { "value" : "EUR" - }, - "paymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "108646a1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "eb62db03", - "externalReference" : "expirationDate" - } - }, - "meta" : { - "globalKey" : "108646a1" - } - }, - "meta" : { - "globalKey" : "9c450d4" } - } - } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } ] }, - "knock" : { - "knockOut" : { - "schedule" : [ { - "startDate" : "2002-07-26", - "endDate" : "2005-10-11", - "averagingPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } - } ], - "trigger" : { - "level" : [ { - "value" : 1.50, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" - } ] + "featurePayment" : { + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "featurePayment" : { - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, - "amount" : 880000, - "time" : "SpecificTime", - "currency" : { - "value" : "EUR" - }, - "paymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "108646a1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "eb62db03", - "externalReference" : "expirationDate" - } - }, - "meta" : { - "globalKey" : "108646a1" - } - }, - "meta" : { - "globalKey" : "e83e310e" - } + "receiverPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" } - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".STOX50E", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } + }, + "amount" : 880000, + "time" : "SpecificTime", + "currency" : { + "value" : "EUR" + }, + "paymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "108646a1" }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "290e4a" - } - }, - "name" : "STOXX 50 Euro", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "cf7b4c1e" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-10-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "dateRelativeTo" : { + "globalReference" : "eb62db03", + "externalReference" : "expirationDate" } }, "meta" : { - "globalKey" : "eb62db03" + "globalKey" : "108646a1" } }, "meta" : { - "globalKey" : "eb62db03", - "externalKey" : "expirationDate" + "globalKey" : "e83e310e" } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-10-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "dfa6090b" + "globalKey" : "eb62db03" } }, "meta" : { - "globalKey" : "ef89c121" + "globalKey" : "eb62db03", + "externalKey" : "expirationDate" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ef89c121" + "globalKey" : "dfa6090b" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "84c7a303" } - }, + } ], "meta" : { - "globalKey" : "8069e5cb" + "globalKey" : "84c7a303" } }, - "meta" : { - "globalKey" : "8069e5cb" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 8000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "bdb6d72d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 8000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -353,36 +301,67 @@ "globalKey" : "290e4a" } }, - "name" : "STOXX 50 Euro", + "name" : { + "value" : "STOXX 50 Euro" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "117f19cc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "14c4f646" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2002-07-01", + "meta" : { + "globalKey" : "3e91c1" + } }, "party" : [ { "partyId" : [ { @@ -468,7 +447,7 @@ } }, "meta" : { - "globalKey" : "647aef46" + "globalKey" : "80a972a8" } }, "transferHistory" : [ { @@ -519,6 +498,6 @@ } } ], "meta" : { - "globalKey" : "435c2eb" + "globalKey" : "4848c04d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.json index a31bb969d4..846d1b5baa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex08-basket-long-form.json @@ -1,354 +1,301 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "c442d6e0" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "1053ecae" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "1053ecae" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a5ad198" } - }, + } ], "meta" : { - "globalKey" : "98bedadd" + "globalKey" : "a5ad198" } }, - "meta" : { - "globalKey" : "98bedadd" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "8d7e8b9d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "f07b3cd7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "AHLD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Ahold" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + "globalKey" : "28fefb" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.40, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "RD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Royal Dutch" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + "globalKey" : "28fefb" } }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.60, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "c442d6e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3c24ebc3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -434,7 +381,7 @@ } }, "meta" : { - "globalKey" : "fbe4f775" + "globalKey" : "d7e7c3cf" } }, "transferHistory" : [ { @@ -485,6 +432,6 @@ } } ], "meta" : { - "globalKey" : "89dae45f" + "globalKey" : "f634c2b9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json index 2af889fc1b..821a82524f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json @@ -1,207 +1,162 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LN 2962", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "d0c89d36" - } - } ], - "tradeDate" : { - "value" : "2002-01-17", - "meta" : { - "globalKey" : "3e9051" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "Bermuda", + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 500000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "320259db" + } + }, + "strike" : { + "strikePrice" : { + "value" : 8.00, + "unit" : { + "currency" : { "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ES0113900J37", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ordinary Shares of Banco Santander Central Hispano SA" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XMAD", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "2929d8" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMEF", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292a56" - } - } ], - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "e6ff8b94" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "Bermuda", - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 500000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } - }, - "meta" : { - "globalKey" : "320259db" - } - }, - "strike" : { - "strikePrice" : { - "value" : 8.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - } + "perUnitOf" : { + "financialUnit" : "Share" }, - "meta" : { - "globalKey" : "cb9a81f3" - } - } ], - "meta" : { - "globalKey" : "cb9a81f3" + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e4500071" } - }, + } ], "meta" : { - "globalKey" : "81f9094f" + "globalKey" : "e4500071" } }, - "meta" : { - "globalKey" : "81f9094f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "b5d56fa9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 500000, + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 500000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -247,30 +202,59 @@ } }, "meta" : { - "globalKey" : "407661a8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e9bc0a0c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LN 2962", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "d0c89d36" + } + } ], + "tradeDate" : { + "value" : "2002-01-17", + "meta" : { + "globalKey" : "3e9051" + } }, "party" : [ { "partyId" : [ { @@ -359,7 +343,7 @@ } }, "meta" : { - "globalKey" : "742d0d96" + "globalKey" : "9acc1718" } }, "transferHistory" : [ { @@ -410,6 +394,6 @@ } } ], "meta" : { - "globalKey" : "c0e568a" + "globalKey" : "d8e97a0c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.json index 5a14d12731..c0ba264a2f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex10-binary-barrier-long-form.json @@ -1,268 +1,205 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2002-03-25", - "meta" : { - "globalKey" : "3e90d9" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "e6ba387a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "eb053691", - "externalReference" : "expirationDate" - } - } - }, + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "e6ba387a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "eb053691", + "externalReference" : "expirationDate" } - }, - "meta" : { - "globalKey" : "5400005" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "barrier" : { - "barrierCap" : { - "schedule" : [ { - "startDate" : "2002-03-29", - "endDate" : "2002-07-12", - "averagingPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } - } ], - "trigger" : { - "level" : [ { - "value" : 1606.346, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" - } ] + "meta" : { + "globalKey" : "e6ba387a" + } + }, + "meta" : { + "globalKey" : "5400005" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "barrier" : { + "barrierCap" : { + "schedule" : [ { + "startDate" : "2002-03-29", + "endDate" : "2002-07-12", + "averagingPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" }, - "featurePayment" : { - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, - "amount" : 15000000, - "time" : "Close", + "rollConvention" : "NONE" + } + } ], + "trigger" : { + "level" : [ { + "value" : 1606.346, + "unit" : { "currency" : { "value" : "EUR" - }, - "paymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "6203a7f4" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "eb053691", - "externalReference" : "expirationDate" - } - }, - "meta" : { - "globalKey" : "6203a7f4" - } - }, - "meta" : { - "globalKey" : "b16cc3a7" } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } ] + }, + "featurePayment" : { + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "receiverPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" } - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SP500", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + }, + "amount" : 15000000, + "time" : "Close", + "currency" : { + "value" : "EUR" + }, + "paymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } + "globalKey" : "6203a7f4" }, - "meta" : { - "globalKey" : "290478" - } - } ], - "name" : "S and P 500", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "334628e7" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-06-25", - "dateAdjustments" : { "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "dateRelativeTo" : { + "globalReference" : "eb053691", + "externalReference" : "expirationDate" } }, "meta" : { - "globalKey" : "eb053691" + "globalKey" : "6203a7f4" } }, "meta" : { - "globalKey" : "eb053691", - "externalKey" : "expirationDate" + "globalKey" : "b16cc3a7" } - } ], - "expirationTimeType" : "SpecificTime", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-06-25", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "24ae9677" - } - }, - "strike" : { - "strikePrice" : { - "value" : 900, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb053691" } }, "meta" : { - "globalKey" : "e4058293" + "globalKey" : "eb053691", + "externalKey" : "expirationDate" } } ], + "expirationTimeType" : "SpecificTime", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "e4058293" + "globalKey" : "24ae9677" + } + }, + "strike" : { + "strikePrice" : { + "value" : 900, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "680375d4" } - }, + } ], "meta" : { - "globalKey" : "44fb12bd" + "globalKey" : "680375d4" } }, - "meta" : { - "globalKey" : "44fb12bd" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "c14939be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -296,36 +233,67 @@ "globalKey" : "290478" } } ], - "name" : "S and P 500", + "name" : { + "value" : "S and P 500" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "daaadf32" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "ba97d810" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2002-03-25", + "meta" : { + "globalKey" : "3e90d9" + } }, "party" : [ { "partyId" : [ { @@ -411,7 +379,7 @@ } }, "meta" : { - "globalKey" : "90901436" + "globalKey" : "42790f3d" } }, "transferHistory" : [ { @@ -462,6 +430,6 @@ } } ], "meta" : { - "globalKey" : "16c4ccf" + "globalKey" : "742662d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json index 28d2129202..9c821a3135 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json @@ -1,216 +1,182 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "ce82407d" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "ce82407d" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "419412dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "f149a9d2" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f149a9d2" + "globalKey" : "419412dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "9342e9d6" } - }, + } ], "meta" : { - "globalKey" : "11d2663c" + "globalKey" : "9342e9d6" } }, - "meta" : { - "globalKey" : "11d2663c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "1a7bb540" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -245,30 +211,59 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd" + } }, "party" : [ { "partyId" : [ { @@ -354,7 +349,7 @@ } }, "meta" : { - "globalKey" : "49ddb347" + "globalKey" : "8689614d" } }, "transferHistory" : [ { @@ -405,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "5d5164ba" + "globalKey" : "f674e0c0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.json index f620234f55..50c7fc107b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex12-vanilla-short-form.json @@ -1,191 +1,183 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/tradeId/OTC" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "putSpread" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "putSpread" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "46648bdd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "46648bdd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a41f90e5" } - }, + } ], "meta" : { - "globalKey" : "9fa3392e" + "globalKey" : "a41f90e5" } }, - "meta" : { - "globalKey" : "9fa3392e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "5a05cddd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -220,53 +212,60 @@ } }, "meta" : { - "globalKey" : "351745bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "unit" : { - "financialUnit" : "Share" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, + "meta" : { + "globalKey" : "f1ab8d2c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "47eb8b24" + "scheme" : "http://www.PartyA.com/tradeId/OTC" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -350,7 +349,7 @@ } }, "meta" : { - "globalKey" : "d8c0d7e0" + "globalKey" : "fe9b693d" } }, "transferHistory" : [ { @@ -401,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "9f2563c7" + "globalKey" : "b828ee24" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.json index 0aa6ca5ad7..cb4fc85059 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex13-1996-american-call-stock.json @@ -1,236 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.0/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.0/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "419412dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "2e460a52" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "2e460a52" + "globalKey" : "419412dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "5a5ea356" } - }, + } ], "meta" : { - "globalKey" : "2468444a" + "globalKey" : "5a5ea356" } }, - "meta" : { - "globalKey" : "2468444a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "145f5cce" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 150000, + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -265,30 +231,59 @@ } }, "meta" : { - "globalKey" : "cdb71031" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a81a0c6d" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd" + } }, "party" : [ { "partyId" : [ { @@ -374,7 +369,7 @@ } }, "meta" : { - "globalKey" : "9eeaa0b1" + "globalKey" : "66cce2e9" } }, "transferHistory" : [ { @@ -425,6 +420,6 @@ } } ], "meta" : { - "globalKey" : "c1a73424" + "globalKey" : "e1f44e5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json index 36370ef23e..287b674512 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json @@ -1,232 +1,197 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "passThrough" : { + "passThroughItem" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "passThrough" : { - "passThroughItem" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "passThroughPercentage" : 0.80 - } ] - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" + "passThroughPercentage" : 0.80 + } ] + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } }, "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "2af0fca3" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "2af0fca3" + "globalKey" : "aedc32dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "84ce8767" } - }, + } ], "meta" : { - "globalKey" : "f04cef7f" + "globalKey" : "84ce8767" } }, - "meta" : { - "globalKey" : "f04cef7f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "ccc298c3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -261,30 +226,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -368,7 +363,7 @@ } }, "meta" : { - "globalKey" : "36311fe9" + "globalKey" : "f43dad6f" } }, "transferHistory" : [ { @@ -419,6 +414,6 @@ } } ], "meta" : { - "globalKey" : "47b18b5c" + "globalKey" : "6d6f66e2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json index 3b5c6ad83c..eb46aeaeb4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json @@ -1,368 +1,315 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" } } } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "passThrough" : { + "passThroughItem" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "passThrough" : { - "passThroughItem" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "passThroughPercentage" : 0.80 - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "passThroughPercentage" : 1.20 - } ] - } - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] + "passThroughPercentage" : 0.80 + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "meta" : { - "globalKey" : "c442d6e0" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + "passThroughPercentage" : 1.20 + } ] + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "ebe809f" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ebe809f" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a3bf2607" } - }, + } ], "meta" : { - "globalKey" : "ba34370e" + "globalKey" : "a3bf2607" } }, - "meta" : { - "globalKey" : "ba34370e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "51e6afcc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "f07b3cd7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "AHLD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Ahold" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + "globalKey" : "28fefb" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.40, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "RD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Royal Dutch" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + "globalKey" : "28fefb" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.60, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "c442d6e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3c24ebc3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -448,7 +395,7 @@ } }, "meta" : { - "globalKey" : "1844dc26" + "globalKey" : "1a05677e" } }, "transferHistory" : [ { @@ -499,6 +446,6 @@ } } ], "meta" : { - "globalKey" : "a3340610" + "globalKey" : "f5e0968" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json index 92e5233223..976e0b7a21 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json @@ -1,5 +1,240 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb6011c5" + } + }, + "meta" : { + "globalKey" : "eb6011c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb6226d3" + } + }, + "meta" : { + "globalKey" : "eb6226d3" + } + } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "18788bdd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "c51e70ce" + } + } ], + "meta" : { + "globalKey" : "c51e70ce" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "dae4686a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "STM-FP", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "STMicroelectronics N.V. ordinary shares" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNSE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, + "meta" : { + "globalKey" : "292fc8" + } + }, + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f1ab8d2c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -24,30 +259,6 @@ "externalKey" : "TradeDate" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -92,8 +303,15 @@ }, "vintage" : 2002 }, + "contractualParty" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ], "meta" : { - "globalKey" : "c6cc4d2b" + "globalKey" : "55a4012a" } }, { "legalAgreementIdentification" : { @@ -104,19 +322,26 @@ } ] } }, + "contractualParty" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ], "meta" : { - "globalKey" : "486fe0ee" + "globalKey" : "7001fb6d" } } ], "governingLaw" : { "value" : "GBEN" }, "meta" : { - "globalKey" : "552240a7" + "globalKey" : "e8389b87" } }, "meta" : { - "globalKey" : "42c9513e" + "globalKey" : "d1aad58a" } }, "transferHistory" : [ { @@ -167,6 +392,6 @@ } } ], "meta" : { - "globalKey" : "f2006db1" + "globalKey" : "53eccdfd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json index a361ed17a6..6509bfed65 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json @@ -1,5 +1,231 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } + } + }, + "meta" : { + "globalKey" : "738dbfce" + } + }, + "meta" : { + "globalKey" : "87604815" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a9b039" + } + }, + "meta" : { + "globalKey" : "25a9b039" + } + } ], + "expirationTimeType" : "AsSpecifiedInMasterConfirmation", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "1dcdacc5" + } + }, + "strike" : { + "strikePrice" : { + "value" : 33.0, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "8859a6d4" + } + } ], + "meta" : { + "globalKey" : "8859a6d4" + } + } + }, + "meta" : { + "globalKey" : "8859a6d4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000.0, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.0, + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "3045.TW", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0" + } + }, + "identifierType" : "RIC" + }, { + "identifier" : { + "value" : "TAIWAN MOBILE ORD" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "TAI", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "1437c" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "All Exchanges", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "fbea4eb1" + } + } ], + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "865850e8" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -83,16 +309,23 @@ } } }, + "contractualParty" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } }, "meta" : { - "globalKey" : "4b2ca9f3" + "globalKey" : "ec441072" } }, "transferHistory" : [ { @@ -143,6 +376,6 @@ } } ], "meta" : { - "globalKey" : "327f1b91" + "globalKey" : "913ab510" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json index da3802b450..1471e39dc5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json @@ -1,5 +1,248 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } + } + }, + "meta" : { + "globalKey" : "738dbfce" + } + }, + "meta" : { + "globalKey" : "87604815" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-02-09", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a03af4" + } + }, + "meta" : { + "globalKey" : "25a03af4" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-09-18", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a6ee7d" + } + }, + "meta" : { + "globalKey" : "25a6ee7d" + } + } ], + "expirationTimeType" : "AsSpecifiedInMasterConfirmation", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 1000000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "b0f75654" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1325.0, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "21fe67b4" + } + } ], + "meta" : { + "globalKey" : "21fe67b4" + } + } + }, + "meta" : { + "globalKey" : "21fe67b4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.75, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000.0, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".KS50", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "KSC", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "123db" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "All Exchanges", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "fbea4eb1" + } + } ], + "name" : { + "value" : "KOREA SE KOSPI 50 INDEX" + }, + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "607309df" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -83,16 +326,23 @@ } } }, + "contractualParty" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } }, "meta" : { - "globalKey" : "225c4293" + "globalKey" : "e48619e9" } }, "transferHistory" : [ { @@ -143,6 +393,6 @@ } } ], "meta" : { - "globalKey" : "18b6c683" + "globalKey" : "28c57bd9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json index bcff36079b..7d3bcf0b90 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json @@ -1,217 +1,182 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "jb2890" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "e0602f0d" - } - } ], - "tradeDate" : { - "value" : "2006-08-14", - "meta" : { - "globalKey" : "3eb20e", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb7f0dc6" } }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7f0dc6" - } - }, - "meta" : { - "globalKey" : "eb7f0dc6" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2008-08-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebbb1dc6" - } - }, + "meta" : { + "globalKey" : "eb7f0dc6" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2008-08-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ebbb1dc6" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "53699b6f" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "ebbb1dc6" } }, "meta" : { - "globalKey" : "cd473c2" + "globalKey" : "ebbb1dc6" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "cd473c2" + "globalKey" : "53699b6f" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "516f6846" } - }, + } ], "meta" : { - "globalKey" : "75d2742c" + "globalKey" : "516f6846" } }, - "meta" : { - "globalKey" : "75d2742c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "ff8257b0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -246,30 +211,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "jb2890" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "jb2890" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "jb2890" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "jb2890" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "jb2890" - } ] - } ] + "meta" : { + "globalKey" : "e0602f0d" + } + } ], + "tradeDate" : { + "value" : "2006-08-14", + "meta" : { + "globalKey" : "3eb20e", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -353,7 +348,7 @@ } }, "meta" : { - "globalKey" : "86d12e8a" + "globalKey" : "f6c6e43c" } }, "transferHistory" : [ { @@ -404,6 +399,6 @@ } } ], "meta" : { - "globalKey" : "25a09874" + "globalKey" : "569cd826" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.json index 083f7a3039..43f66816f6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex20-nested-basket.json @@ -1,288 +1,288 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" + "globalKey" : "eae7f1c5" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "26dfe666" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "f7e2d828" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f7e2d828" + "globalKey" : "aedc32dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "d6d95712" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "d6d95712" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "7fb06f82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "98dd29f9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "FXI", + "meta" : { + "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "FTSE/Xinhua China 25 Index" }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" + "assetClass" : "Equity" } - } - } ] + }, + "quantity" : [ { + "value" : { + "value" : 0.50, + "unit" : { + "financialUnit" : "Weight" + } + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" + "value" : { + "quantity" : [ { + "value" : { + "value" : 0.50, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "26dfe666" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "164432f" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -366,7 +366,7 @@ } }, "meta" : { - "globalKey" : "86c5d2c5" + "globalKey" : "db4f3e21" } }, "transferHistory" : [ { @@ -417,6 +417,6 @@ } } ], "meta" : { - "globalKey" : "4b526a38" + "globalKey" : "86668194" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json index 74e172653b..02be4b49f1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json @@ -1,426 +1,365 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" + "globalKey" : "eae7f1c5" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "005440.KS", - "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "HYUNDAI MOTOR COMPANY" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "000270.KS", - "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "KIA MOTORS CORPORATION" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "e887ffda" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : 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: { - "globalKey" : "d1ba7ac6" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "d1ba7ac6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "7fb06f82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "98dd29f9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { + "value" : { + "Index" : { + "EquityIndex" : { "identifier" : [ { "identifier" : { - "value" : "005440.KS", + "value" : "FXI", "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" } }, "identifierType" : "Other" - }, { - "identifier" : { - "value" : "HYUNDAI MOTOR COMPANY" - }, - "identifierType" : "Name" } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } + "name" : { + "value" : "FTSE/Xinhua China 25 Index" }, - "securityType" : "Equity" + "assetClass" : "Equity" } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.50, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "000270.KS", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "005440.KS", + "meta" : { + "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "HYUNDAI MOTOR COMPANY" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XKHA" + }, "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + "globalKey" : "29232c" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "KIA MOTORS CORPORATION" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } + }, + "quantity" : [ { + "value" : { + "value" : 0.25, + "unit" : { + "financialUnit" : "Weight" + } + } + } ] }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "000270.KS", + "meta" : { + "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "KIA MOTORS CORPORATION" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XKHA" + }, + "meta" : { + "globalKey" : "29232c" + } + }, + "securityType" : "Equity" + } } - } - } ] + }, + "quantity" : [ { + "value" : { + "value" : 0.25, + "unit" : { + "financialUnit" : "Weight" + } + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] + } } ] } }, "meta" : { - "globalKey" : "e887ffda" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "cc00f107" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -504,7 +443,7 @@ } }, "meta" : { - "globalKey" : "7da98fad" + "globalKey" : "81fd2ff9" } }, "transferHistory" : [ { @@ -555,6 +494,6 @@ } } ], "meta" : { - "globalKey" : "cd87ef20" + "globalKey" : "37526b6c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json index ea85e69c2e..59c2b9e2a2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json @@ -1,5 +1,261 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "afd28267" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "1b7eb5ad", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "1b7eb5ad" + } + } + }, + "meta" : { + "globalKey" : "1b7eb5ad" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 23, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1234, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8da017df" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +323,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +367,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "4aa8124e" } }, "transferHistory" : [ { @@ -137,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "78b20eee" + "globalKey" : "8eaa79" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json index ea85e69c2e..b0ce86e7fc 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json @@ -1,5 +1,269 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "b790ef22" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "barrier" : { + "barrierCap" : { + "trigger" : { + "level" : [ { + "value" : 30, + "priceType" : "AssetPrice" + } ] + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "75dab20f", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "75dab20f" + } + } + }, + "meta" : { + "globalKey" : "75dab20f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 23, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2345, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "a93d879f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +331,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +375,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "ac61586c" } }, "transferHistory" : [ { @@ -137,6 +408,6 @@ } } ], "meta" : { - "globalKey" : "78b20eee" + "globalKey" : "1094c51b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json index 5a83dc2d0b..a6bd0ea86e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json @@ -1,5 +1,226 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "afd28267" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "1b7eb5ad", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "1b7eb5ad" + } + } + }, + "meta" : { + "globalKey" : "1b7eb5ad" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8caaf05" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +288,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +332,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "79c0622e" } }, "transferHistory" : [ { @@ -161,6 +389,6 @@ } } ], "meta" : { - "globalKey" : "95ba7ae0" + "globalKey" : "82127a55" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json index ea85e69c2e..eadd70f95e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json @@ -1,5 +1,271 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "afd28267" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockIn" : { + "trigger" : { + "level" : [ { + "value" : 12, + "priceType" : "AssetPrice" + } ], + "triggerType" : "Greater", + "triggerTimeType" : "Anytime" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "9f68324f", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "9f68324f" + } + } + }, + "meta" : { + "globalKey" : "9f68324f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 23, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1234, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8da017df" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +333,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +377,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "88f7d06c" } }, "transferHistory" : [ { @@ -137,6 +410,6 @@ } } ], "meta" : { - "globalKey" : "78b20eee" + "globalKey" : "ce414d1b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.json index c5d1a7d740..81ec1fc474 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex26-mixed-asset-basket.json @@ -1,462 +1,415 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 3, - "unit" : { - "financialUnit" : "IndexUnit" - } - } - } ] - }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "COPPER-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ZINC-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NICKEL-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "ded2b0fd" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "9a0b8b95" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "9a0b8b95" + "globalKey" : "aedc32dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "91a2e33f" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "91a2e33f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "7fb06f82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "98dd29f9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "FXI", + "meta" : { + "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "FTSE/Xinhua China 25 Index" }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 3, - "unit" : { - "financialUnit" : "IndexUnit" + "assetClass" : "Equity" } - } - } ] + }, + "quantity" : [ { + "value" : { + "value" : 3, + "unit" : { + "financialUnit" : "IndexUnit" + } + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "COPPER-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "COPPER-LME CASH", + "meta" : { + "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ZINC-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ZINC-LME CASH", + "meta" : { + "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-3" + } ] } } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] + } }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NICKEL-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NICKEL-LME CASH", + "meta" : { + "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } ] } } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-4" + } ] + } } ] } }, "meta" : { - "globalKey" : "ded2b0fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "2dbcd94c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -522,7 +475,7 @@ } }, "meta" : { - "globalKey" : "b32a9287" + "globalKey" : "6501222" } }, "transferHistory" : [ { @@ -573,6 +526,6 @@ } } ], "meta" : { - "globalKey" : "c1c483fa" + "globalKey" : "355ba295" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.json index fc94b5c29b..9a72571c3e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-options/eqd-ex27-equityOptionTransactionSupplement-EMEA-interdealer.json @@ -1,5 +1,229 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "PLN" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } + } + }, + "meta" : { + "globalKey" : "738dbfce" + } + }, + "meta" : { + "globalKey" : "d9859529" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-11-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "265cf77b" + } + }, + "meta" : { + "globalKey" : "265cf77b" + } + } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "ba89d3ef" + } + }, + "strike" : { + "strikePrice" : { + "value" : 100, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "5a805ea1" + } + } ], + "meta" : { + "globalKey" : "5a805ea1" + } + } + }, + "meta" : { + "globalKey" : "5a805ea1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 50, + "unit" : { + "currency" : { + "value" : "PLN", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" + } + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".WIG20", + "meta" : { + "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XWAR", + "meta" : { + "scheme" : "http://www.example.com/exchangeId" + } + }, + "meta" : { + "globalKey" : "294f70" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XWAR", + "meta" : { + "scheme" : "http://www.example.com/exchangeId" + } + }, + "meta" : { + "globalKey" : "294f70" + } + } ], + "name" : { + "value" : "WIG20 INDEX" + }, + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b2238ac4" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9fd69ebc", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f9affefc", + "externalReference" : "partyB" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "9fd69ebc", @@ -92,16 +316,23 @@ } } }, + "contractualParty" : [ { + "globalReference" : "9fd69ebc", + "externalReference" : "partyA" + }, { + "globalReference" : "f9affefc", + "externalReference" : "partyB" + } ], "meta" : { - "globalKey" : "a875d0a8" + "globalKey" : "77b58009" } } ], "meta" : { - "globalKey" : "a875d0a8" + "globalKey" : "77b58009" } }, "meta" : { - "globalKey" : "304bfe27" + "globalKey" : "8769af0f" } }, "transferHistory" : [ { @@ -158,6 +389,6 @@ } } ], "meta" : { - "globalKey" : "f02e02c9" + "globalKey" : "1017bb1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.json index e1999f1dd8..cc244353c5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex03-index-quanto-long-form.json @@ -1,814 +1,731 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "9591991c" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d3", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593db59" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "23d29d63" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "ReturnLegFinalPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d3", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "23d29d63", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "23d29d63" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "ReturnLegFinalPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "NotionalAmount" + }, "meta" : { - "globalKey" : "23d29d63", - "externalKey" : "TerminationDate" + "globalKey" : "8e817bd8" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "NotionalAmount" - }, - "meta" : { - "globalKey" : "8e817bd8" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d3", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "23d29d63" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "ReturnLegFinalPaymentDate" - } - }, - "meta" : { - "globalKey" : "23d29d63" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "26d4a1e1", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "7248507d" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "94f84ae8", - "externalReference" : "ReturnLegPaymentDate" - } - }, - "meta" : { - "globalKey" : "7248507d" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "7248507d" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d3", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "26d4a1e1", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "23d29d63" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "ReturnLegFinalPaymentDate" } }, "meta" : { - "globalKey" : "61bd06c6" + "globalKey" : "23d29d63" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "26d4a1e1", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "7248507d" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "94f84ae8", + "externalReference" : "ReturnLegPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "NotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "globalKey" : "7248507d" } - }, + } ] + }, + "meta" : { + "globalKey" : "7248507d" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "26d4a1e1", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "61bd06c6" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "NotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2002-10-21", "2004-01-20", "2004-04-22" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "60230b82" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2002-10-21", "2004-01-20", "2004-04-22" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "60230b82", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "47c5c201" + "globalKey" : "60230b82" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "meta" : { + "globalKey" : "60230b82", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "47c5c201" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "97348ac2" + "globalKey" : "25690940" } + }, + "meta" : { + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bc36cf4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "HKHK" - } ], - "meta" : { - "globalKey" : "41619c9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "60230b82", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "bc36cf4", - "externalKey" : "ReturnLegInterimPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "41619c9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "25690940", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "97348ac2" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bc36cf4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "HKHK" + } ], "meta" : { 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"globalReference" : "256bcafc", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "1c55c9f2" + "globalKey" : "55830660", + "externalKey" : "FinalEquityPaymentDate" + } + } + }, + "meta" : { + "globalKey" : "55830660", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + }, + "composite" : { + "determinationMethod" : "CalculationAgent" + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "excessDividendAmount" : "PaidAmount", + "dividendCurrency" : { + "currencyReference" : { + "globalReference" : "14966", + "externalReference" : "ReferenceCurrency" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e9291", + "externalReference" : "TradeDate" } }, - "composite" : { - "determinationMethod" : "CalculationAgent" - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "256bcafc", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "excessDividendAmount" : "PaidAmount", - "dividendCurrency" : { - "currencyReference" : { - "globalReference" : "14966", - "externalReference" : "ReferenceCurrency" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e9291", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "256bcafc", - "externalReference" : "FinalValuationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "8dab4b33" - } - } ], - "meta" : { - "globalKey" : "8dab4b33" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "dc3bd8a5" } - }, + } ], "meta" : { - "globalKey" : "7f9cb2e6" + "globalKey" : "dc3bd8a5" } }, - "meta" : { - "globalKey" : "7f9cb2e6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.8036, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "d6339f98" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.8036, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 55911.60, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 55911.60, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -365,31 +294,77 @@ } }, "meta" : { - "globalKey" : "cbad403b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "a5b67c57" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918657" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5678", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593dbb6" + } + } ], + "tradeDate" : { + "value" : "2002-10-17", + "meta" : { + "globalKey" : "3e9291", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -475,10 +450,10 @@ } }, "meta" : { - "globalKey" : "8b9e0367" + "globalKey" : "b1d35c59" } }, "meta" : { - "globalKey" : "8b9e0367" + "globalKey" : "b1d35c59" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json index e2fc2dc2f8..3a4d270267 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json @@ -1,416 +1,345 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1934", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9591a09e" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5978", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252eb7f7" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "252eb7f7", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593e6f9" - } - } ], - "tradeDate" : { - "value" : "2002-09-10", - "meta" : { - "globalKey" : "3e924a", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "23cbca9b", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "252eb7f7" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "252eb7f7", - "externalKey" : "EffectiveDate" } }, - 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"determinationMethod" : "CalculationAgent" - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "b9c8415a", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "excessDividendAmount" : "PaidAmount", - "dividendCurrency" : { - "currencyReference" : { - "globalReference" : "14966", - "externalReference" : "ReferenceCurrency" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e924a", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "b9c8415a", - "externalReference" : "FinalValuationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "ExDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "ExDate" + } } - }, - "meta" : { - "globalKey" : "d4616e1e" - } - } ], - "meta" : { - "globalKey" : "88b51a9" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "79367de" } - }, + } ], "meta" : { - "globalKey" : "8bc50728" + "globalKey" : "72a38aa9" } }, - "meta" : { - "globalKey" : "8bc50728" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 18388000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "f29168e8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 18388000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -445,57 +374,122 @@ } }, "meta" : { - "globalKey" : "f2a6c03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "globalKey" : "504bec3" + } + }, { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8280320a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a035f33c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1934", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9591a09e" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5978", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593e6f9" + } + } ], + "tradeDate" : { + "value" : "2002-09-10", + "meta" : { + "globalKey" : "3e924a", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -597,7 +591,7 @@ } }, "meta" : { - "globalKey" : "40fbe378" + "globalKey" : "3aa28966" } }, "transferHistory" : [ { @@ -648,6 +642,6 @@ } } ], "meta" : { - "globalKey" : "29a4facb" + "globalKey" : "17d436b9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.json index cc4ace4355..310736ba40 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex07-long-form-with-stub.json @@ -1,1023 +1,859 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95918657" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5678", - "meta" : { - "scheme" : "http://http://www.partyB.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "9593dbb6" - } - } ], - "tradeDate" : { - "value" : "2002-07-17", - "meta" : { - "globalKey" : "3e91d1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - 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"CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918657" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5678", + "meta" : { + "scheme" : "http://http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "9593dbb6" + } + } ], + "tradeDate" : { + "value" : "2002-07-17", + "meta" : { + "globalKey" : "3e91d1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1103,10 +939,10 @@ } }, "meta" : { - "globalKey" : "20cf39c3" + "globalKey" : "e3b62caa" } }, "meta" : { - "globalKey" : "20cf39c3" + "globalKey" : "e3b62caa" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.json index c568a3ed95..491aaaca2a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex08-composite-basket-long-form-separate-spreads.json @@ -1,1427 +1,1065 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1245", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918677" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "4569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d1", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95936378" - } - } ], - "tradeDate" : { - "value" : "2002-07-17", - "meta" : { - "globalKey" : "3e91d1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "1c4a714", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d1", - "externalReference" : "TradeDate" - } - }, 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"location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + }, { + "value" : { + "value" : 0.0050, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-3" - } ] - } - }, { - "value" : { - "value" : 0.0050, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "datedValue" : [ { - "date" : "2002-02-22", - "value" : 0.0022, - "meta" : { - "globalKey" : "5c1ae568" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "datedValue" : [ { + "date" : "2002-02-22", + "value" : 0.0022, + "meta" : { + "globalKey" : "5c1ae568" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bea33061" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "69763fb6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1245", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918677" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "4569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95936378" + } + } ], + "tradeDate" : { + "value" : "2002-07-17", + "meta" : { + "globalKey" : "3e91d1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1507,10 +1145,10 @@ } }, "meta" : { - "globalKey" : "29417c4c" + "globalKey" : "7ce79439" } }, "meta" : { - "globalKey" : "29417c4c" + "globalKey" : "7ce79439" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json index 97a9b9ced6..8c4ee8ecfd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json @@ -1,270 +1,117 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "4d37991f" - } - }, { - "issuerReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "8848551", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" + } + }, + "meta" : { + "globalKey" : "bf754eba" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "bf754eba", + "externalKey" : "equityEffectiveDate" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "c16c2c20" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf754eba" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "bf754eba", - "externalKey" : "equityEffectiveDate" + "globalKey" : "d3bf0271" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf772f3a" - } + "meta" : { + "globalKey" : "bf772f3a" + } + }, + "meta" : { + "globalKey" : "bf772f3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "bf772f3a" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-13", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "3b28889f" - } - }, - "meta" : { - "globalKey" : "3b28889f", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-13", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "16cca080", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : 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"globalKey" : "bf772f3a", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "72f30198" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "16cca080", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "3a50ba7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "AgreedInitialPrice", + "meta" : { + "globalKey" : "643bb87" + } + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "6e25f168", - "externalReference" : "interimValuationDate" + "globalReference" : "bf754eba", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "bf772f3a", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "6e25f168", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", - "meta" : { - "scheme" : "http://www.example.com/exchangeId" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "8c7f3ba1" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "290e2b" + "globalKey" : "d3bf0271" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "bf772f3a" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "bf772f3a", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "72f30198" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "6e25f168", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "determinationMethod" : "IssuerPaymentCurrency" + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "bf772f3a", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "145c48e1", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "c5a81bc8" + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "determinationMethod" : "IssuerPaymentCurrency" + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] } + }, + "meta" : { + "globalKey" : "a2bda532", + "externalKey" : "returnLeg" } - }, + } ], "meta" : { - "globalKey" : "6d895f08" + "globalKey" : "f8eb33d9" } - }, - "meta" : { - "globalKey" : "6d895f08" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "abd2c719" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "30213f06" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + }, + "meta" : { + "globalKey" : "a8767f1b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -653,24 +592,71 @@ } }, "meta" : { - "globalKey" : "7be45ecf" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "9b7ec00d" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } + }, + "version" : 1 } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "4d37991f" + } + }, { + "issuerReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "8848551", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "c16c2c20" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -748,10 +734,10 @@ } }, "meta" : { - "globalKey" : "95bfe935" + "globalKey" : "befbd3e9" } }, "meta" : { - "globalKey" : "95bfe935" + "globalKey" : "befbd3e9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json index 4d1ab6d5ae..53e417a091 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json @@ -1,270 +1,117 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - }, - "version" : 2 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "4d379920" - } - }, { - "issuerReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "8848551", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" + } + }, + "meta" : { + "globalKey" : "bf754eba" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "bf754eba", + "externalKey" : "equityEffectiveDate" } }, - "version" : 2 - } ], - "meta" : { - "globalKey" : "c16c2c21" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf754eba" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "bf754eba", - "externalKey" : "equityEffectiveDate" + "globalKey" : "d3bf0271" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf772f3a" - } + "meta" : { + "globalKey" : "bf772f3a" + } + }, + "meta" : { + "globalKey" : "bf772f3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "bf772f3a" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-13", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "3b28889f" - } - }, - "meta" : { - "globalKey" : "3b28889f", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-13", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "16cca080", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3b28889f", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "3b28889f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "16cca080", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "3b28889f", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -273,395 +120,487 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "3a50ba7" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "AgreedInitialPrice", - "meta" : { - "globalKey" : "643bb87" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bf754eba", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bf772f3a", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "16cca080", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3b28889f", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "6e25f168", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "8c7f3ba1" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "bf772f3a" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "bf772f3a", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "72f30198" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" + } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "16cca080", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "3a50ba7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "AgreedInitialPrice", + "meta" : { + "globalKey" : "643bb87" + } + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "6e25f168", - "externalReference" : "interimValuationDate" + "globalReference" : "bf754eba", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "bf772f3a", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "6e25f168", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", - "meta" : { - "scheme" : "http://www.example.com/exchangeId" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "8c7f3ba1" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "290e2b" + "globalKey" : "d3bf0271" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "bf772f3a" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "bf772f3a", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "72f30198" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "6e25f168", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "determinationMethod" : "IssuerPaymentCurrency" + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "bf772f3a", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "145c48e1", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "c5a81bc8" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "6d895f08" - } - }, - "meta" : { - "globalKey" : "6d895f08" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "determinationMethod" : "IssuerPaymentCurrency" + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "a2bda532", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "f8eb33d9" + } + } + }, + "meta" : { + "globalKey" : "abd2c719" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a8b3bfc6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "globalKey" : "a3c8d65b" + } + }, { + "price" : [ { + "value" : { + "value" : 10, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -704,24 +643,71 @@ } }, "meta" : { - "globalKey" : "ec0a2c08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "99662306" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } + }, + "version" : 2 } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "4d379920" + } + }, { + "issuerReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "8848551", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "c16c2c21" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -799,10 +785,10 @@ } }, "meta" : { - "globalKey" : "dfd71420" + "globalKey" : "2e72d8ce" } }, "meta" : { - "globalKey" : "dfd71420" + "globalKey" : "2e72d8ce" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.json index d46fca09cc..e4e925e536 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex17-cfd.json @@ -1,169 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e37105", - "externalReference" : "PRIMARY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CFD123456789", - "meta" : { - "scheme" : "http://www.primarybank.com/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EQCFD", + "meta" : { + "scheme" : "http://www.primarybank.com/productType" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "ff26c7f2" - } - }, { - "issuerReference" : { - "globalReference" : "858ff69b", - "externalReference" : "CROSS" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CFD123456789", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2601cd72" + } + }, "meta" : { - "scheme" : "http://www.crossbank.com/tradeId" + "globalKey" : "2601cd72", + "externalKey" : "EffectiveDate__CFD123456789" } - } - } ], - "meta" : { - "globalKey" : "db6f30f4" - } - } ], - "tradeDate" : { - "value" : "2009-09-30", - "meta" : { - "globalKey" : "3eca5e", - "externalKey" : "TradeDate__CFD123456789" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EQCFD", - "meta" : { - "scheme" : "http://www.primarybank.com/productType" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "272e06ec" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2601cd72" + }, + "meta" : { + "globalKey" : "272e06ec", + "externalKey" : "TerminationDate__CFD123456789" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "2601cd72", - "externalKey" : "EffectiveDate__CFD123456789" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } } }, "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "272e06ec", - "externalKey" : "TerminationDate__CFD123456789" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "2601cd72" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "2601cd72" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "0" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "272e06ec" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "272e06ec" + } + }, + "meta" : { + "globalKey" : "2dccd0ba", + "externalKey" : "InterestLegPeriodDates-1" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2019-10-01" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "2601cd72" + "globalKey" : "d3bf0271" } }, "meta" : { - "globalKey" : "2601cd72" + "globalKey" : "c0a180b2" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "c0a180b2" + } + } ] + }, + "meta" : { + "globalKey" : "c0a180b2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2dccd0ba", + "externalReference" : "InterestLegPeriodDates-1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "5798214f" + } + }, + "meta" : { + "globalKey" : "9134d468" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : false, + "meta" : { + "globalKey" : "4d5" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "3a4b88ab" } }, "meta" : { @@ -171,269 +214,160 @@ } }, "meta" : { - "globalKey" : "2dccd0ba", - "externalKey" : "InterestLegPeriodDates-1" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2019-10-01" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "c0a180b2" - } - }, - "meta" : { - "globalKey" : "c0a180b2" - } - } ] - }, - "meta" : { - "globalKey" : "c0a180b2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2dccd0ba", - "externalReference" : "InterestLegPeriodDates-1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "5798214f" + "globalKey" : "272e06ec", + "externalKey" : "FinalValuationDate__CFD123456789" } }, "meta" : { - "globalKey" : "9134d468" + "globalKey" : "98f9886e" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "reset" : false, - "meta" : { - "globalKey" : "4d5" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "272e06ec" - } - }, + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "finalPaymentDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "272e06ec", - "externalKey" : "FinalValuationDate__CFD123456789" + "globalKey" : "d3bf0271" } }, "meta" : { - "globalKey" : "98f9886e" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "c0a180b2" - } - }, - "meta" : { - "globalKey" : "c0a180b2" - } + "globalKey" : "c0a180b2" } }, "meta" : { "globalKey" : "c0a180b2" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XYZ.N", - "meta" : { - "scheme" : "RIC" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NYSE", - "meta" : { - "scheme" : "MARKET_ID" - } - }, - "meta" : { - "globalKey" : "24cd5d" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "95805744" + } + }, + "meta" : { + "globalKey" : "c0a180b2" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1.0 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "dividendCurrency" : { + "currency" : { + "value" : "USD" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3eca5e", + "externalReference" : "TradeDate__CFD123456789" } - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1.0 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "dividendCurrency" : { - "currency" : { - "value" : "USD" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3eca5e", - "externalReference" : "TradeDate__CFD123456789" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "272e06ec", - "externalReference" : "FinalValuationDate__CFD123456789" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "AdHocDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "272e06ec", + "externalReference" : "FinalValuationDate__CFD123456789" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "AdHocDate" + } } - }, - "meta" : { - "globalKey" : "ee9b3d47", - "externalKey" : "EQ__CFD123456789" - } - } ], - "meta" : { - "globalKey" : "2e3a3faf" + } ] } + }, + "meta" : { + "globalKey" : "e26e3843", + "externalKey" : "EQ__CFD123456789" } - }, + } ], "meta" : { - "globalKey" : "74d76e1a" + "globalKey" : "7f119cab" } - }, - "meta" : { - "globalKey" : "74d76e1a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 80.000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 48000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "a996c4d6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 80.000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 48000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 3840000.000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 3840000.000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -463,79 +397,144 @@ } }, "meta" : { - "globalKey" : "6633c79" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 125.0, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3840000.000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "globalKey" : "de48fd31" + } + }, { + "price" : [ { + "value" : { + "value" : 125.0, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3840000.000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8adb831c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "858ff69b", - "externalReference" : "CROSS" + }, + "meta" : { + "globalKey" : "5ea5ab6a" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e37105", - "externalReference" : "PRIMARY" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "858ff69b", + "externalReference" : "CROSS" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e37105", + "externalReference" : "PRIMARY" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e37105", + "externalReference" : "PRIMARY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CFD123456789", + "meta" : { + "scheme" : "http://www.primarybank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ff26c7f2" + } + }, { + "issuerReference" : { + "globalReference" : "858ff69b", + "externalReference" : "CROSS" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CFD123456789", + "meta" : { + "scheme" : "http://www.crossbank.com/tradeId" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "db6f30f4" + } + } ], + "tradeDate" : { + "value" : "2009-09-30", + "meta" : { + "globalKey" : "3eca5e", + "externalKey" : "TradeDate__CFD123456789" + } }, "party" : [ { "partyId" : [ { @@ -596,10 +595,10 @@ } }, "meta" : { - "globalKey" : "57a0ebb2" + "globalKey" : "ce745126" } }, "meta" : { - "globalKey" : "57a0ebb2" + "globalKey" : "ce745126" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json index 1bbec34d49..35b8e261fa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json @@ -1,498 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebdafec4" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/tradeRefNbr" + "globalKey" : "ebdafec4", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "29b63a54" - } - }, { - "issuerReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "ea96b216" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2009-09-10", - "meta" : { - "globalKey" : "3eca4a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebdafec4" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ebdafec4", - "externalKey" : "equityEffectiveDate" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" } - }, - "meta" : { - "globalKey" : "ea96b216" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "54b65ddd" + "globalKey" : "46357da4" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebdafec4", + "externalReference" : "equityEffectiveDate" } }, - 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"externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-12", "dateAdjustments" : { - "businessDayConvention" : "NONE", + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "3122c5b6" + "globalKey" : "2601e037" } }, "meta" : { - "globalKey" : "3122c5b6" + "globalKey" : "2601e037" } - } ] - }, - "meta" : { - "globalKey" : "3122c5b6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "adeb53f2", - "externalReference" : "floatingCalculationPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "8c441872" - } - }, - "meta" : { - "globalKey" : "8f72839a" - } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2601e037" - } - }, - "meta" : { - "globalKey" : "2601e037" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-08-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261e07b7" - } - }, + }, + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-08-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "261e07b7" + "globalKey" : "3a4b88ab" } }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "17810" - }, - "rollConvention" : "30" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5", - "externalKey" : "businessCenters" - } - }, - "meta" : { - "globalKey" : "7b765912" - } + "meta" : { + "globalKey" : "261e07b7" } }, "meta" : { - "globalKey" : "84d61122" + "globalKey" : 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: "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "3edd7657", - "externalReference" : "equityValuationDates" + "globalKey" : "4f5ffd5", + "externalKey" : "businessCenters" } }, "meta" : { - "globalKey" : "7e0a5d94", - "externalKey" : "finalCashSettlementPaymentDate" + "globalKey" : "7b765912" } } }, "meta" : { - "globalKey" : "e5f7e728", - "externalKey" : "CashSettlementPaymentDate" + "globalKey" : "84d61122" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "ALL", - "meta" : { - "scheme" : "http://www.example.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "fd81" - } + "meta" : { + "globalKey" : "3edd7657", + "externalKey" : "equityValuationDates" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "meta" : { + "globalKey" : "524b126b" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" }, - "securityType" : "Equity" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "3edd7657", + "externalReference" : "equityValuationDates" + } }, "meta" : { - "globalKey" : "5db0e57b" + "globalKey" : "7e0a5d94" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 0.85, - "cashRatio" : 2.5, - "nonCashRatio" : 2.5 - } ], - "dividendCurrency" : { - "determinationMethod" : "HedgeExecution" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" }, - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "DividendValuationDate" - } - } - } ] + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "3edd7657", + "externalReference" : "equityValuationDates" + } + }, + "meta" : { + "globalKey" : "7e0a5d94", + "externalKey" : "finalCashSettlementPaymentDate" } - }, - "meta" : { - "globalKey" : "c95568bb" } - } ], + }, "meta" : { - "globalKey" : "3c2b1c61" + "globalKey" : "e5f7e728", + "externalKey" : "CashSettlementPaymentDate" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "mutualEarlyTermination" : true - }, - "meta" : { - "globalKey" : "4cf" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 0.85, + "cashRatio" : 2.5, + "nonCashRatio" : 2.5 + } ], + "dividendCurrency" : { + "determinationMethod" : "HedgeExecution" + }, + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "DividendValuationDate" + } + } + } ] + } + }, + "meta" : { + "globalKey" : "5ab3f540" } - }, + } ], "meta" : { - "globalKey" : "b13ec26c" + "globalKey" : "1280e066" } }, - "meta" : { - "globalKey" : "b13ec26c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : true }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4cf" } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "9e5d2d31" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" + } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -522,86 +457,150 @@ } }, "meta" : { - "globalKey" : "de26f603" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } + }, + "meta" : { + "globalKey" : "939fd86d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519ea55" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a48f5f51" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "http://www.partyA.com/tradeRefNbr" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "d04eb192", - "externalReference" : "party2" - } ] + "meta" : { + "globalKey" : "29b63a54" + } + }, { + "issuerReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2009-09-10", + "meta" : { + "globalKey" : "3eca4a" + } }, "party" : [ { "partyId" : [ { @@ -701,10 +700,10 @@ } }, "meta" : { - "globalKey" : "811f2478" + "globalKey" : "76ebe589" } }, "meta" : { - "globalKey" : "811f2478" + "globalKey" : "76ebe589" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json index 3a2e86d07a..3fde73ba8b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json @@ -1,504 +1,439 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", - "meta" : { - "scheme" : "http://www.partyA.com/tradeRefNbr" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "29b63a54" - } - }, { - "issuerReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf906c4" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "ebf906c4", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2010-09-10", - "meta" : { - "globalKey" : "3ed24a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebf906c4" - } + }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ebf906c4", - "externalKey" : "equityEffectiveDate" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360", "meta" : { - "globalKey" : "ea96b216" + "scheme" : "http://www.fpml.org/coding-scheme/day-count-fraction" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "floatingRateCalculation" - } + "globalKey" : "46357da4" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebf906c4", + "externalReference" : "equityEffectiveDate" } }, - "dayCountFraction" : { - "value" : "ACT/360", + "meta" : { + "globalKey" : "46357da4" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/day-count-fraction" + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "46357da4" - }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "meta" : { + "globalKey" : "adeb53f2", + "externalKey" : "floatingCalculationPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2010-10-12", "2010-11-13", "2010-12-12", "2011-01-14", "2011-02-12", "2011-03-12", "2011-04-12", "2011-05-13", "2011-06-02", "2011-07-12", "2011-08-12" ], + "dateAdjustments" : { "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "ebf906c4", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "46357da4" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ea96b216" + "globalKey" : "c19bcdb6" } }, "meta" : { - "globalKey" : "adeb53f2", - "externalKey" : "floatingCalculationPeriodDates" + "globalKey" : "c19bcdb6" } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2010-10-12", "2010-11-13", "2010-12-12", "2011-01-14", "2011-02-12", "2011-03-12", "2011-04-12", "2011-05-13", "2011-06-02", "2011-07-12", "2011-08-12" ], + } ] + }, + "meta" : { + "globalKey" : "c19bcdb6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "adeb53f2", + "externalReference" : "floatingCalculationPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "8c441872" + } + }, + "meta" : { + "globalKey" : "ac278b9a" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-10-12", "dateAdjustments" : { - "businessDayConvention" : "NONE", + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "c19bcdb6" + "globalKey" : "261fe837" } }, "meta" : { - "globalKey" : "c19bcdb6" + "globalKey" : "261fe837" } - } ] - }, - "meta" : { - "globalKey" : "c19bcdb6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "adeb53f2", - "externalReference" : "floatingCalculationPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "8c441872" - } - }, - "meta" : { - "globalKey" : "ac278b9a" - } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261fe837" - } - }, - "meta" : { - "globalKey" : "261fe837" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "263c0fb7" - } - }, + }, + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "263c0fb7" + "globalKey" : "3a4b88ab" } }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "17810" - }, - "rollConvention" : "30" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - }, { - "value" : "GBLO", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" - } - } ], - "meta" : { - "globalKey" : "4f5ffd5", - "externalKey" : "businessCenters" - } - }, - "meta" : { - "globalKey" : "7b765912" - } + "meta" : { + "globalKey" : "263c0fb7" } }, "meta" : { - "globalKey" : "c6311122" + "globalKey" : "263c0fb7" } }, - "meta" : { - "globalKey" : "80387657", - "externalKey" : "equityValuationDates" - } - }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "meta" : { - "globalKey" : "524b126b" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "80387657", - "externalReference" : "equityValuationDates" - } - }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "7e0a5d94" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "globalKey" : "17810" + }, + "rollConvention" : "30" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + }, { + "value" : "GBLO", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + } ], "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "80387657", - "externalReference" : "equityValuationDates" + "globalKey" : "4f5ffd5", + "externalKey" : "businessCenters" } }, "meta" : { - "globalKey" : "7e0a5d94", - "externalKey" : "finalCashSettlementPaymentDate" + "globalKey" : "7b765912" } } }, "meta" : { - "globalKey" : "e5f7e728", - "externalKey" : "CashSettlementPaymentDate" + "globalKey" : "c6311122" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "ALL", - "meta" : { - "scheme" : "http://www.example.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "fd81" - } + "meta" : { + "globalKey" : "80387657", + "externalKey" : "equityValuationDates" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "meta" : { + "globalKey" : "524b126b" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" }, - "securityType" : "Equity" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "80387657", + "externalReference" : "equityValuationDates" + } }, "meta" : { - "globalKey" : "5db0e57b" + "globalKey" : "7e0a5d94" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 0.85, - "cashRatio" : 2.5, - "nonCashRatio" : 2.5 - } ], - "dividendCurrency" : { - "determinationMethod" : "SettlementCurrency" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "80387657", + "externalReference" : "equityValuationDates" } + }, + "meta" : { + "globalKey" : "7e0a5d94", + "externalKey" : "finalCashSettlementPaymentDate" } - }, - "meta" : { - "globalKey" : "b37bf3c8" } - } ], + }, "meta" : { - "globalKey" : "b8d1626e" + "globalKey" : "e5f7e728", + "externalKey" : "CashSettlementPaymentDate" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "mutualEarlyTermination" : true - }, - "meta" : { - "globalKey" : "4cf" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 0.85, + "cashRatio" : 2.5, + "nonCashRatio" : 2.5 + } ], + "dividendCurrency" : { + "determinationMethod" : "SettlementCurrency" + } + } + }, + "meta" : { + "globalKey" : "5c778acd" } - }, + } ], "meta" : { - "globalKey" : "5cf29f7b" + "globalKey" : "7521f0f3" } }, - "meta" : { - "globalKey" : "5cf29f7b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : true }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4cf" } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + } + } + }, + "meta" : { + "globalKey" : "54e2b900" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" + } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -528,82 +463,146 @@ } }, "meta" : { - "globalKey" : "de26f603" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } + }, + "meta" : { + "globalKey" : "939fd86d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217-2001-08-15" } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519ea55" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a48f5f51" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "http://www.partyA.com/tradeRefNbr" + } + } + } ], + "meta" : { + "globalKey" : "29b63a54" + } + }, { + "issuerReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2010-09-10", + "meta" : { + "globalKey" : "3ed24a" + } }, "party" : [ { "partyId" : [ { @@ -703,10 +702,10 @@ } }, "meta" : { - "globalKey" : "10e889d2" + "globalKey" : "64650a61" } }, "meta" : { - "globalKey" : "10e889d2" + "globalKey" : "64650a61" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.json index 7f88a564bd..55ccd135d3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex01-equity-basket.json @@ -1,815 +1,705 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-02", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "297b834f" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-02", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb46bec6" + } + }, "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + "globalKey" : "eb46bec6", + "externalKey" : "r2" } - } - } ], - "meta" : { - "globalKey" : "eb1954bb" - } - } ], - "tradeDate" : { - "value" : "2004-12-12", - "meta" : { - "globalKey" : "3ea30c", - "externalKey" : "r13" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eb46bec6" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" - } ], - 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"spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } } }, "meta" : { - "globalKey" : "eb46bec6" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "eb46bec6", - "externalKey" : "r3" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb46bec6" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - 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"role" : "Party2", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-02", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "297b834f" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-02", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "eb1954bb" + } + } ], + "tradeDate" : { + "value" : "2004-12-12", + "meta" : { + "globalKey" : "3ea30c", + "externalKey" : "r13" + } }, "party" : [ { "partyId" : [ { @@ -901,11 +791,11 @@ } }, "meta" : { - "globalKey" : "f2310a17" + "globalKey" : "9c8186e0" } }, "meta" : { - "globalKey" : "f2310a17", + "globalKey" : "9c8186e0", "externalKey" : "trs-eqbasket-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.json index 0e09bdf3e9..fbd11d1133 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex02-single-equity.json @@ -1,512 +1,441 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-01", - "meta" : { - "scheme" : 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"meta" : { + "globalKey" : "b192f344", + "externalKey" : "trs-eq1-EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 0.85 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "dividendAmountType" : "RecordAmount", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNAS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292da8" - } - }, - "securityType" : "Equity" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3ea28a", + "externalReference" : "trs-eq1-TradeDate" + } }, - "meta" : { - "globalKey" : "3834bcad" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "eb80e6c4", + "externalReference" : "trs-eq1-TerminationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 0.85 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "dividendAmountType" : "RecordAmount", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3ea28a", - "externalReference" : "trs-eq1-TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "eb80e6c4", - "externalReference" : "trs-eq1-TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "6cca6d47", - "externalKey" : "trs-eq1-equityLeg" - } - } ], - "meta" : { - "globalKey" : "7861141d" + } ] } + }, + "meta" : { + "globalKey" : "8163f494", + "externalKey" : "trs-eq1-equityLeg" } - }, + } ], "meta" : { - "globalKey" : "66467ec6" + "globalKey" : "f0e5a9ea" } - }, - "meta" : { - "globalKey" : "66467ec6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "5edb0053" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -541,86 +470,151 @@ } }, "meta" : { - "globalKey" : "769f4935" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 19785157.16, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "1c5c637b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 19785157.16, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "896bf87b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "fa09d0eb" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "297b834e" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "eb1954ba" + } + } ], + "tradeDate" : { + "value" : "2004-10-10", + "meta" : { + "globalKey" : "3ea28a", + "externalKey" : "trs-eq1-TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -712,11 +706,11 @@ } }, "meta" : { - "globalKey" : "1d467204" + "globalKey" : "e5241ba5" } }, "meta" : { - "globalKey" : "1d467204", + "globalKey" : "e5241ba5", "externalKey" : "trs-eq1-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json index 30240edd16..0f06f3405c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json @@ -1,496 +1,425 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" 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37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "f166e1b8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -524,93 +453,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "6bddfd10" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "49ccc93" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -696,10 +684,10 @@ } }, "meta" : { - "globalKey" : "25dc6f29" + "globalKey" : "88585d77" } }, "meta" : { - "globalKey" : "25dc6f29" + "globalKey" : "88585d77" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.json index 8a2e41b1f4..2a50566eb8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/equity-swaps/trs-ex04-index-ios.json @@ -1,218 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5059cd7a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-01", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "297b834e" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-01", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-05-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "261b36f7" + } + }, "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + "globalKey" : "261b36f7" } - } - } ], - "meta" : { - "globalKey" : "eb1954ba" - } - } ], - "tradeDate" : { - "value" : "2011-03-23", - "meta" : { - "globalKey" : "3ed8d7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2038-01-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "296055f7" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-05-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + }, + "meta" : { + "globalKey" : "296055f7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "returnNotional" + }, + "meta" : { + "globalKey" : "17f35490" + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "73f59b92" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "261b36f7", + "externalReference" : "initialValuationDate" } }, "meta" : { - "globalKey" : "261b36f7" + "globalKey" : "73f59b92" } }, - "meta" : { - "globalKey" : "261b36f7" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2038-01-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "b635d2a0" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "296055f7", + "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "b635d2a0" } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "69376ece", + "externalKey" : "interestCalculationDates" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "returnNotional" + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "74be7496" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "6d1b00ab", + "externalReference" : "returnPaymentDates" + } }, "meta" : { - "globalKey" : "17f35490" + "globalKey" : "74be7496" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "73f59b92" - }, + } ] + }, + "meta" : { + "globalKey" : "74be7496" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "dd77575f", + "externalReference" : "interimValuationDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "190a0f0f" + } + }, + "meta" : { + "globalKey" : "94ef5b0" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "returnNotional" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-05-12", + "dateAdjustments" : { "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "261b36f7", - "externalReference" : "initialValuationDate" - } - }, - "meta" : { - "globalKey" : "73f59b92" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "296055f7", - "externalReference" : "finalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "b635d2a0" + "globalKey" : "261b36f7" } }, "meta" : { - "globalKey" : "69376ece", - "externalKey" : "interestCalculationDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "74be7496" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6d1b00ab", - "externalReference" : "returnPaymentDates" - } - }, - "meta" : { - "globalKey" : "74be7496" - } - } ] - }, - "meta" : { - "globalKey" : "74be7496" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "dd77575f", - "externalReference" : "interimValuationDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "190a0f0f" + "globalKey" : "261b36f7", + "externalKey" : "initialValuationDate" } }, "meta" : { - "globalKey" : "94ef5b0" + "globalKey" : "f881ef6c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "returnNotional" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDate" : { + "periodicDates" : { + "startDate" : { "adjustableDate" : { - "unadjustedDate" : "2010-05-12", + "unadjustedDate" : "2010-06-12", "dateAdjustments" : { "businessDayConvention" : "NotApplicable", "meta" : { @@ -220,85 +205,16 @@ } }, "meta" : { - "globalKey" : "261b36f7" - } - }, - "meta" : { - "globalKey" : "261b36f7", - "externalKey" : "initialValuationDate" - } - }, - "meta" : { - "globalKey" : "f881ef6c" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c2737" - } - }, - "meta" : { - "globalKey" : "261c2737" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-12-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "294ca0b7" - } - }, - "meta" : { - "globalKey" : "294ca0b7" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d4" - }, - "rollConvention" : "12" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } + "globalKey" : "261c2737" } }, "meta" : { - "globalKey" : "dd77575f", - "externalKey" : "interimValuationDates" + "globalKey" : "261c2737" } }, - "meta" : { - "globalKey" : "4418c50a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDate" : { + "endDate" : { "adjustableDate" : { - "unadjustedDate" : "2038-01-12", + "unadjustedDate" : "2037-12-12", "dateAdjustments" : { "businessDayConvention" : "NotApplicable", "meta" : { @@ -306,143 +222,164 @@ } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "294ca0b7" } }, "meta" : { - "globalKey" : "296055f7", - "externalKey" : "finalValuationDate" + "globalKey" : "294ca0b7" } }, - "meta" : { - "globalKey" : "fbc70e6c" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "cc60294" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd77575f", - "externalReference" : "interimValuationDates" - } + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d4" }, + "rollConvention" : "12" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "cc60294" + "globalKey" : "3a4b88ab" } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "42382717" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "externalReference" : "returnBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "296055f7", - "externalReference" : "finalValuationDate" - } - }, + } + }, + "meta" : { + "globalKey" : "dd77575f", + "externalKey" : "interimValuationDates" + } + }, + "meta" : { + "globalKey" : "4418c50a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2038-01-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "42382717" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "296055f7" } }, "meta" : { - "globalKey" : "6d1b00ab", - "externalKey" : "returnPaymentDates" + "globalKey" : "296055f7", + "externalKey" : "finalValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "IOS.FN30.650.67", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "4A845HAA3", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair" - } - }, - "identifierType" : "Other" + "meta" : { + "globalKey" : "fbc70e6c" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "cc60294" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" } ], - "assetClass" : "Equity" + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd77575f", + "externalReference" : "interimValuationDates" } }, "meta" : { - "globalKey" : "581609b6" + "globalKey" : "cc60294" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "42382717" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "externalReference" : "returnBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "296055f7", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "42382717" } - }, - "meta" : { - "globalKey" : "6be34725" } - } ], + }, "meta" : { - "globalKey" : "1beb5cd5" + "globalKey" : "6d1b00ab", + "externalKey" : "returnPaymentDates" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + } + }, + "meta" : { + "globalKey" : "279ed60d" } - }, + } ], "meta" : { - "globalKey" : "ae887f4c" + "globalKey" : "5cb6e5d" } - }, - "meta" : { - "globalKey" : "ae887f4c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "802b3046" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 31000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -466,24 +403,69 @@ } }, "meta" : { - "globalKey" : "559f13ee" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6a1a8942" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5059cd7a", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5059cd7a", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5059cd7a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "297b834e" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "eb1954ba" + } + } ], + "tradeDate" : { + "value" : "2011-03-23", + "meta" : { + "globalKey" : "3ed8d7" + } }, "party" : [ { "partyId" : [ { @@ -527,11 +509,11 @@ } } ], "meta" : { - "globalKey" : "55ea5798" + "globalKey" : "3355f696" } }, "meta" : { - "globalKey" : "55ea5798", + "globalKey" : "3355f696", "externalKey" : "trs-ex4-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json index 40a9f3aef2..36b855dfd8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json @@ -1,5 +1,193 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "DOUBLEBARRIER", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-03-06", + "meta" : { + "globalKey" : "3e90c6" + } + }, + "meta" : { + "globalKey" : "3e90c6" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-03-04", + "meta" : { + "globalKey" : "3e90c4" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 105.05, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 106 + } + } + }, + "meta" : { + "globalKey" : "e144aa52" + } + } ], + "meta" : { + "globalKey" : "e144aa52" + } + } + }, + "meta" : { + "globalKey" : "5d4748dc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 2500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 23798191.34, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "215fde06" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,224 +227,6 @@ "globalKey" : "3e9043" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "DOUBLEBARRIER", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-03-06", - "meta" : { - "globalKey" : "3e90c6" - } - }, - "meta" : { - "globalKey" : "3e90c6" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-03-04", - "meta" : { - "globalKey" : "3e90c4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 105.05, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 106 - } - } - }, - "meta" : { - "globalKey" : "584cd5d4" - } - } ], - "meta" : { - "globalKey" : "584cd5d4" - } - } - }, - "meta" : { - "globalKey" : "41f2f28a" - } - }, - "meta" : { - "globalKey" : "41f2f28a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 2500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 23798191.34, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "JPY" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" - } - } - } - }, - "meta" : { - "globalKey" : "b368fc" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -293,7 +263,7 @@ } } ], "meta" : { - "globalKey" : "33f1fa95" + "globalKey" : "4430b379" } }, "transferHistory" : [ { @@ -344,6 +314,6 @@ } } ], "meta" : { - "globalKey" : "55a62ecb" + "globalKey" : "7e417baf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json index 0ef2d9b3e0..46ac8e9241 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json @@ -1,5 +1,93 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EuroBinary", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-28", + "meta" : { + "globalKey" : "3e8adc" + } + }, + "meta" : { + "globalKey" : "3e8adc" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "cf307203" + } + }, + "meta" : { + "globalKey" : "e26c1087" + } + } ], + "meta" : { + "globalKey" : "e26c1087" + } + } + }, + "meta" : { + "globalKey" : "fa9a9605" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,101 +127,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EuroBinary", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-28", - "meta" : { - "globalKey" : "3e8adc" - } - }, - "meta" : { - "globalKey" : "3e8adc" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "cf307203" - } - }, - "meta" : { - "globalKey" : "e26c1087" - } - } ], - "meta" : { - "globalKey" : "e26c1087" - } - } - }, - "meta" : { - "globalKey" : "fa9a9605" - } - }, - "meta" : { - "globalKey" : "fa9a9605" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -170,7 +163,7 @@ } } ], "meta" : { - "globalKey" : "20adece4" + "globalKey" : "5d218a64" } }, "transferHistory" : [ { @@ -221,6 +214,6 @@ } } ], "meta" : { - "globalKey" : "f7520aaf" + "globalKey" : "8225282f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json index 65604e613c..1603441e65 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json @@ -1,5 +1,93 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EuroRangeBinary", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "cf307203" + } + }, + "meta" : { + "globalKey" : "d308c5c9" + } + } ], + "meta" : { + "globalKey" : "d308c5c9" + } + } + }, + "meta" : { + "globalKey" : "b842b8aa" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,101 +127,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EuroRangeBinary", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "cf307203" - } - }, - "meta" : { - "globalKey" : "d308c5c9" - } - } ], - "meta" : { - "globalKey" : "d308c5c9" - } - } - }, - "meta" : { - "globalKey" : "b842b8aa" - } - }, - "meta" : { - "globalKey" : "b842b8aa" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -170,7 +163,7 @@ } } ], "meta" : { - "globalKey" : "977550e9" + "globalKey" : "9fe1cee9" } }, "transferHistory" : [ { @@ -221,6 +214,6 @@ } } ], "meta" : { - "globalKey" : "37eea2b3" + "globalKey" : "824120b3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json index 2ea1833752..4dd46e51b6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "OneTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "c4d8584" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "OneTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "c4d8584" - } - }, - "meta" : { - "globalKey" : "c4d8584" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "50cdb1e3" + "globalKey" : "8ab0b2e3" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "15eae70b" + "globalKey" : "c71ae80b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json index 6ccf7f3281..3d3dc4cddf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "NoTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "b4f0d149" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "NoTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "b4f0d149" - } - }, - "meta" : { - "globalKey" : "b4f0d149" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "be1dec49" + "globalKey" : "93c1b49" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "2febcf71" + "globalKey" : "5f2cfe71" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json index f0c5d1ddfd..0cf835ff79 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "DoubleOneTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "8fc088f5" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "DoubleOneTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "8fc088f5" - } - }, - "meta" : { - "globalKey" : "8fc088f5" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "238b5c54" + "globalKey" : "a4e9fbd4" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "2e1c8e7c" + "globalKey" : "d74adfc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json index 1726dbf0ae..72cc5c2ac8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "DoubleNoTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "1c471bb8" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "DoubleNoTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "1c471bb8" - } - }, - "meta" : { - "globalKey" : "1c471bb8" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "de7204f7" + "globalKey" : "28ec27f7" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "f44c3e1f" + "globalKey" : "8b4d611f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json index db656b5730..5c5c5cdb85 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json @@ -1,341 +1,303 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CH-23948", - "meta" : { - "scheme" : "http://www.chase.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "f5cc9d49" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DB-89080", - "meta" : { - "scheme" : "http://www.db.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "20a000ec" - } - } ], - "tradeDate" : { - "value" : "2010-08-16", - "meta" : { - "globalKey" : "3ed210" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2010-12-04", - "meta" : { - "globalKey" : "3ed304" - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2010-12-04", + "meta" : { + "globalKey" : "3ed304" + } + }, + "meta" : { + "globalKey" : "3ed304" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "meta" : { - "globalKey" : "3ed304" + "sourcePage" : { + "value" : "BNBX" } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" + } + }, + "observationDates" : { + "observationSchedule" : { + "observationDate" : [ { + "adjustedDate" : "2010-11-01", + "weight" : 1, + "meta" : { + "globalKey" : "79b8590" } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } + }, { + "adjustedDate" : "2010-11-02", + "weight" : 1, + "meta" : { + "globalKey" : "79b85af" } - }, - "observationDates" : { - "observationSchedule" : { - "observationDate" : [ { - "adjustedDate" : "2010-11-01", - "weight" : 1, - "meta" : { - "globalKey" : "79b8590" - } - }, { - "adjustedDate" : "2010-11-02", - "weight" : 1, - "meta" : { - "globalKey" : "79b85af" - } - }, { - "adjustedDate" : "2010-11-03", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ce" - } - }, { - "adjustedDate" : "2010-11-04", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ed" - } - }, { - "adjustedDate" : "2010-11-05", - "weight" : 3, - "meta" : { - "globalKey" : "79b860e" - } - } ] - }, - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-11-01", - "meta" : { - "globalKey" : "3ed2c1" - } - }, - "meta" : { - "globalKey" : "3ed2c1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, - "meta" : { - "globalKey" : "3ed2de" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } + }, { + "adjustedDate" : "2010-11-03", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ce" } - } + }, { + "adjustedDate" : "2010-11-04", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ed" + } + }, { + "adjustedDate" : "2010-11-05", + "weight" : 3, + "meta" : { + "globalKey" : "79b860e" + } + } ] }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-11-01", "meta" : { - "globalKey" : "b141411f" + "globalKey" : "3ed2c1" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "3ed2c1" } }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { + "endDate" : { "adjustableDate" : { - "adjustedDate" : { - "value" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, + "unadjustedDate" : "2010-11-30", "meta" : { - "globalKey" : "0" + "globalKey" : "3ed2de" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3ed2de" } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" + }, + "rollConvention" : "NONE" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2010-11-30", + "meta" : { + "globalKey" : "3ed2de" } }, "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 12.40, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "79d9c65" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, "meta" : { - "globalKey" : "79d9c65" + "globalKey" : "7788203d" } + }, + "strike" : { + "strikePrice" : { + "value" : 12.40, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "4fa9f85f" } - }, + } ], "meta" : { - "globalKey" : "79d9c65" + "globalKey" : "4fa9f85f" } - }, - "meta" : { - "globalKey" : "79d9c65" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "4fa9f85f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 463709.68, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 463709.68, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "d42a7fe4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e1a6c020" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CH-23948", + "meta" : { + "scheme" : "http://www.chase.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f5cc9d49" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DB-89080", + "meta" : { + "scheme" : "http://www.db.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "20a000ec" + } + } ], + "tradeDate" : { + "value" : "2010-08-16", + "meta" : { + "globalKey" : "3ed210" + } }, "party" : [ { "partyId" : [ { @@ -373,7 +335,7 @@ } } ], "meta" : { - "globalKey" : "4cbe05e2" + "globalKey" : "d8b2128a" } }, "transferHistory" : [ { @@ -424,6 +386,6 @@ } } ], "meta" : { - "globalKey" : "b8a7d880" + "globalKey" : "abea6d28" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json index 765c002411..efb5158086 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json @@ -1,5 +1,278 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-01-25", + "meta" : { + "globalKey" : "3e9059" + } + }, + "meta" : { + "globalKey" : "3e9059" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011466" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-25", + "meta" : { + "globalKey" : "3e9099" + } + }, + "meta" : { + "globalKey" : "3e9099" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "meta" : { + "globalKey" : "f9327ec8" + } + } ], + "meta" : { + "globalKey" : "9a23cd2e" + } + } + }, + "meta" : { + "globalKey" : "bd19f963" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "7161b347" + } + }, { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "67f3ec67" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "1031234567", @@ -79,326 +352,6 @@ "globalKey" : "3e9057" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-01-25", - "meta" : { - "globalKey" : "3e9059" - } - }, - "meta" : { - "globalKey" : "3e9059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "f2fab1db" - } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } - }, - "meta" : { - "globalKey" : "f381ccfe" - } - }, - "meta" : { - "globalKey" : "c6b74017" - } - } ], - "meta" : { - "globalKey" : "12ad3cdc" - } - } - }, - "meta" : { - "globalKey" : "1fd36851" - } - }, - "meta" : { - "globalKey" : "1fd36851" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a5642346" - } - }, { - "price" : [ { - "value" : { - "value" : 1.5, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "81190e26" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -435,10 +388,10 @@ } } ], "meta" : { - "globalKey" : "a9d5e933" + "globalKey" : "1bcc9859" } }, "meta" : { - "globalKey" : "a9d5e933" + "globalKey" : "1bcc9859" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json index 52d30af990..45633e891a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json @@ -1,5 +1,280 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2012-01-25", + "meta" : { + "globalKey" : "3ee059" + } + }, + "meta" : { + "globalKey" : "3ee059" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c60ac466" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-25", + "meta" : { + "globalKey" : "3e9099" + } + }, + "meta" : { + "globalKey" : "3e9099" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "meta" : { + "globalKey" : "f9327ec8" + } + } ], + "meta" : { + "globalKey" : "8d7d7d2e" + } + } + }, + "meta" : { + "globalKey" : "8d7d7d2e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 1.00, + "operand" : 0.48, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "6d2e1415" + } + }, { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 1.00, + "operand" : 0.5, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "f443bdf8" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8e102e3b", + "externalReference" : "ExecutingParty" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e102e3c", + "externalReference" : "Counterparty" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "USIPREFIX", @@ -87,342 +362,6 @@ "globalKey" : "3ee041" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2012-01-25", - "meta" : { - "globalKey" : "3ee059" - } - }, - "meta" : { - "globalKey" : "3ee059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - } - }, - "meta" : { - "globalKey" : "8f19aa36" - } - }, - "meta" : { - "globalKey" : "58f4ecbd" - } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - } - }, - "meta" : { - "globalKey" : "2e0e2aba" - } - }, - "meta" : { - "globalKey" : "c70b3501" - } - } ], - "meta" : { - "globalKey" : "33e74c7e" - } - } - }, - "meta" : { - "globalKey" : "33e74c7e" - } - }, - "meta" : { - "globalKey" : "33e74c7e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 1.00, - "operand" : 0.48, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "2323dc38" - } - }, { - "price" : [ { - "value" : { - "value" : 1.5, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 1.00, - "operand" : 0.5, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "7ec36eb5" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8e102e3c", - "externalReference" : "Counterparty" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e102e3b", - "externalReference" : "ExecutingParty" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -457,10 +396,10 @@ } } ], "meta" : { - "globalKey" : "f8e17bfb" + "globalKey" : "43c6bf8d" } }, "meta" : { - "globalKey" : "f8e17bfb" + "globalKey" : "43c6bf8d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.json index 30e91f6c4c..495c937585 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex30-variance-swap.json @@ -1,279 +1,245 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345", - "meta" : { - "scheme" : "http://www.citi.com/fx/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxVarianceSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_ParameterReturnVariance" } ], - "meta" : { - "globalKey" : "984bc438" - } - } ], - "tradeDate" : { - "value" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxVarianceSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_ParameterReturnVariance" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2011-04-04", + "meta" : { + "globalKey" : "3ed904" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2011-04-04", - "meta" : { - "globalKey" : "3ed904" - } + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "34d12999" + } + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "informationSource" : { + "primarySource" : { + "sourcePage" : { + "value" : "Sponsor Mid Page" + } + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3ed8c1" } }, - "meta" : { - "globalKey" : "34d12999" - } - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "informationSource" : { - "primarySource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-31", + "meta" : { + "globalKey" : "3ed8df" } + }, + "meta" : { + "globalKey" : "3ed8df" } }, - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - }, - "primaryFxSpotRateSource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" - } - } + "periodDatesAdjustments" : { + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } + }, + "meta" : { + "globalKey" : "27e4e9" } }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-31", - "meta" : { - "globalKey" : "3ed8df" - } - }, - "meta" : { - "globalKey" : "3ed8df" - } - }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dayType" : "Business" - } - }, - "numberOfObservationDates" : 22 - }, + "dayType" : "Business" + } + }, + "numberOfObservationDates" : 22 + }, + "valuationDates" : { + "finalValuationDate" : { "valuationDates" : { - "finalValuationDate" : { - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "cef5340c" - }, - "dayType" : "Business", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - } - }, - "meta" : { - "globalKey" : "cef5340c" - } - }, + "relativeDates" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { "globalKey" : "cef5340c" - } - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "annualizationFactor" : 252, - "meanAdjustment" : true, - "varianceStrikePrice" : { - "value" : 0.1510, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" }, - "vegaNotionalAmount" : { - "value" : 100000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "dayType" : "Business", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } } + }, + "meta" : { + "globalKey" : "cef5340c" } }, "meta" : { - "globalKey" : "cbfb7b2a" + "globalKey" : "cef5340c" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "annualizationFactor" : 252, + "meanAdjustment" : true, + "varianceStrikePrice" : { + "value" : 0.1510, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "vegaNotionalAmount" : { + "value" : 100000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } } - } ], - "meta" : { - "globalKey" : "cbfb7b2a" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "81d4f811" } - }, + } ], "meta" : { - "globalKey" : "8af6d40e" + "globalKey" : "81d4f811" } }, - "meta" : { - "globalKey" : "8af6d40e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000.00 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 33112582.78, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "38211a35" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000.00 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 33112582.78, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "ForeignExchangeRateIndex" : { "assetClass" : "ForeignExchange", "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" + "value" : { + "currency1" : { + "value" : "EUR" + }, + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency2PerCurrency1" }, - "quoteBasis" : "Currency2PerCurrency1" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quotedCurrencyPair-1" + } ] + } }, "primaryFxSpotRateSource" : { "sourcePage" : { @@ -284,30 +250,60 @@ } }, "meta" : { - "globalKey" : "dc501fba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "73ca039c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345", + "meta" : { + "scheme" : "http://www.citi.com/fx/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "984bc438" + } + } ], + "tradeDate" : { + "value" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -358,7 +354,7 @@ } } ], "meta" : { - "globalKey" : "fd565d24" + "globalKey" : "4a02cc8b" } }, "transferHistory" : [ { @@ -408,6 +404,6 @@ } } ], "meta" : { - "globalKey" : "1a0432f3" + "globalKey" : "cc9139ec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex31-volatility-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex31-volatility-swap.json index 223479de93..59f45555fe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex31-volatility-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex31-volatility-swap.json @@ -1,250 +1,216 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345", - "meta" : { - "scheme" : "http://www.citi.com/fx/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxVolatilitySwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_ParameterReturnVolatility" } ], - "meta" : { - "globalKey" : "984bc438" - } - } ], - "tradeDate" : { - "value" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxVolatilitySwap", + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2011-04-04", + "meta" : { + "globalKey" : "3ed904" + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "34d12999" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_ParameterReturnVolatility" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2011-04-04", - "meta" : { - "globalKey" : "3ed904" - } + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "informationSource" : { + "primarySource" : { + "sourcePage" : { + "value" : "Sponsor Mid Page" + } + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1" } }, "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "34d12999" - } - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "3ed8c1" } }, - "informationSource" : { - "primarySource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-31", + "meta" : { + "globalKey" : "3ed8df" } + }, + "meta" : { + "globalKey" : "3ed8df" } }, - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - }, - "primaryFxSpotRateSource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" - } - } + "periodDatesAdjustments" : { + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } + }, + "meta" : { + "globalKey" : "27e4e9" } }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-31", - "meta" : { - "globalKey" : "3ed8df" - } - }, - "meta" : { - "globalKey" : "3ed8df" - } - }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dayType" : "Business" - } - }, - "numberOfObservationDates" : 22 - }, + "dayType" : "Business" + } + }, + "numberOfObservationDates" : 22 + }, + "valuationDates" : { + "finalValuationDate" : { "valuationDates" : { - "finalValuationDate" : { - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "cd405b6d" - }, - "dayType" : "Business", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - } - }, - "meta" : { - "globalKey" : "cd405b6d" - } - }, + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "cd405b6d" + }, + "dayType" : "Business", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } } - } - }, - "returnTerms" : { - "volatilityReturnTerms" : { - "annualizationFactor" : 252, - "meanAdjustment" : true, - "volatilityStrikePrice" : { - "value" : 0.1510, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - } + }, + "meta" : { + "globalKey" : "cd405b6d" } }, "meta" : { - "globalKey" : "8e4449fa" + "globalKey" : "cd405b6d" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "volatilityReturnTerms" : { + "annualizationFactor" : 252, + "meanAdjustment" : true, + "volatilityStrikePrice" : { + "value" : 0.1510, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" } - } ], - "meta" : { - "globalKey" : "8e4449fa" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "8230c115" } - }, + } ], "meta" : { - "globalKey" : "74c59daa" + "globalKey" : "8230c115" } }, - "meta" : { - "globalKey" : "74c59daa" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "9ca3f305" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "ForeignExchangeRateIndex" : { "assetClass" : "ForeignExchange", "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" + "value" : { + "currency1" : { + "value" : "EUR" + }, + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency2PerCurrency1" }, - "quoteBasis" : "Currency2PerCurrency1" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quotedCurrencyPair-1" + } ] + } }, "primaryFxSpotRateSource" : { "sourcePage" : { @@ -255,30 +221,60 @@ } }, "meta" : { - "globalKey" : "4945a90e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "ed72c2f0" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345", + "meta" : { + "scheme" : "http://www.citi.com/fx/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "984bc438" + } + } ], + "tradeDate" : { + "value" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -329,7 +325,7 @@ } } ], "meta" : { - "globalKey" : "dda3c034" + "globalKey" : "347bfa67" } }, "transferHistory" : [ { @@ -379,6 +375,6 @@ } } ], "meta" : { - "globalKey" : "7b5e59e3" + "globalKey" : "74728d90" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json index 8eadbe7051..80c8913726 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "party1" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -24,30 +41,6 @@ "externalKey" : "TradeDate" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "party1" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -84,10 +77,10 @@ } } ], "meta" : { - "globalKey" : "ef964474" + "globalKey" : "ef070b34" } }, "meta" : { - "globalKey" : "ef964474" + "globalKey" : "ef070b34" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex33-target.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex33-target.json index f476c7bd54..eb77cb5cd5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex33-target.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex33-target.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "77bec77a", + "externalReference" : "party1" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "77bec77a", @@ -23,30 +40,6 @@ "globalKey" : "3eda4b" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "77bec77a", - "externalReference" : "party1" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "b51d6e77" + "globalKey" : "8390e537" } }, "meta" : { - "globalKey" : "b51d6e77" + "globalKey" : "8390e537" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex34-target-digital.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex34-target-digital.json index 044a26abae..5b110fa3e9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex34-target-digital.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex34-target-digital.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ee997" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot-settlement-period-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot-settlement-period-schedule.json index d17ba6483f..822a2c5d49 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot-settlement-period-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot-settlement-period-schedule.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ee9c4" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot.json index d17ba6483f..822a2c5d49 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex35-target-pivot.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ee9c4" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex36-target-leverage.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex36-target-leverage.json index 9bb59cd6ad..a285ec24e0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex36-target-leverage.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex36-target-leverage.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ed2c7" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex37-target-knockout.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex37-target-knockout.json index 9bb59cd6ad..a285ec24e0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex37-target-knockout.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex37-target-knockout.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ed2c7" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex38-target-rebate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex38-target-rebate.json index 1bafdbd257..0c30bf9913 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex38-target-rebate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex38-target-rebate.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ef09b" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex39-target-split.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex39-target-split.json index 36767dedd5..ffd6578b33 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex39-target-split.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex39-target-split.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ef315" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex40-target-accelerated.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex40-target-accelerated.json index 36767dedd5..ffd6578b33 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex40-target-accelerated.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex40-target-accelerated.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ef315" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar-settlement-period-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar-settlement-period-schedule.json index d17ba6483f..822a2c5d49 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar-settlement-period-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar-settlement-period-schedule.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ee9c4" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar.json index d17ba6483f..822a2c5d49 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex41-target-bonus-collar.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ee9c4" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex42-target-eki.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex42-target-eki.json index d17ba6483f..822a2c5d49 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex42-target-eki.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex42-target-eki.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ee9c4" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule-references.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule-references.json index 4ee944f955..96c591a9ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule-references.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule-references.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ef1d9" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule.json index 4ee944f955..96c591a9ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki-settlement-period-schedule.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ef1d9" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki.json index 4ee944f955..96c591a9ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex43-target-eki.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "ptyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -23,30 +40,6 @@ "globalKey" : "3ef1d9" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "ptyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -81,10 +74,10 @@ } } ], "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } }, "meta" : { - "globalKey" : "8cbb91e8" + "globalKey" : "92d12ea8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex44-accrual-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex44-accrual-forward.json index a33383734e..562d96b279 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex44-accrual-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex44-accrual-forward.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ed8da" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex45-accrual-forward-leverage.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex45-accrual-forward-leverage.json index c934f91eec..49a0c5101c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex45-accrual-forward-leverage.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex45-accrual-forward-leverage.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef189" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex46-accrual-forward-american-lose-boost.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex46-accrual-forward-american-lose-boost.json index e23400f109..f258358b01 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex46-accrual-forward-american-lose-boost.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex46-accrual-forward-american-lose-boost.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ee308" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex47-accrual-forward-european-fading-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex47-accrual-forward-european-fading-forward.json index 3041f2ec6e..ea4a7a29c5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex47-accrual-forward-european-fading-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex47-accrual-forward-european-fading-forward.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef051" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex48-accrual-option-strategy-fading-extra.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex48-accrual-option-strategy-fading-extra.json index d3bd3fc2c6..649b0528d7 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex48-accrual-option-strategy-fading-extra.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex48-accrual-option-strategy-fading-extra.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -39,30 +56,6 @@ "globalKey" : "3ef281" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -99,10 +92,10 @@ } } ], "meta" : { - "globalKey" : "b9ad695b" + "globalKey" : "25dfe59b" } }, "meta" : { - "globalKey" : "b9ad695b" + "globalKey" : "25dfe59b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip-settlement-period-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip-settlement-period-schedule.json index 2beac93a53..20bf89871e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip-settlement-period-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip-settlement-period-schedule.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ed28f" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip.json index 2beac93a53..20bf89871e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex49-accrual-forward-boost-strip.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ed28f" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex50-accrual-forward-double-accrual.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex50-accrual-forward-double-accrual.json index 3041f2ec6e..ea4a7a29c5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex50-accrual-forward-double-accrual.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex50-accrual-forward-double-accrual.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef051" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement-settlement-period-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement-settlement-period-schedule.json index de9f168e3a..22049ab779 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement-settlement-period-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement-settlement-period-schedule.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef1c1" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement.json index de9f168e3a..22049ab779 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex51-accrual-forward-american-keep-double-multi-settlement.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef1c1" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex52-accrual-forward-collar.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex52-accrual-forward-collar.json index 3041f2ec6e..ea4a7a29c5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex52-accrual-forward-collar.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex52-accrual-forward-collar.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef051" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex53-accrual-forward-variable-strike.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex53-accrual-forward-variable-strike.json index 851aed23e6..88b3913a95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex53-accrual-forward-variable-strike.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex53-accrual-forward-variable-strike.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ed9c7" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex54-accrual-option-american.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex54-accrual-option-american.json index 0ff3b30fba..92964df6d6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex54-accrual-option-american.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex54-accrual-option-american.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef198" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex55-accrual-option-average-strike.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex55-accrual-option-average-strike.json index 402b856aaf..802e8c861f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex55-accrual-option-average-strike.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex55-accrual-option-average-strike.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3eaa83" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -91,10 +84,10 @@ } }, "meta" : { - "globalKey" : "b2d6e3d0" + "globalKey" : "698d4510" } }, "meta" : { - "globalKey" : "b2d6e3d0" + "globalKey" : "698d4510" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex56-accrual-option-average-rate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex56-accrual-option-average-rate.json index 3ac7d65eda..c4c070c730 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex56-accrual-option-average-rate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex56-accrual-option-average-rate.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ec04b" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex57-accrual-digital-option-american.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex57-accrual-digital-option-american.json index 0ff3b30fba..92964df6d6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex57-accrual-digital-option-american.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex57-accrual-digital-option-american.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ef198" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex58-accrual-range-accrual-european.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex58-accrual-range-accrual-european.json index e1b90b061b..772c9b4c8a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex58-accrual-range-accrual-european.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex58-accrual-range-accrual-european.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ee8ce" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex59-accrual-range-accrual-european.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex59-accrual-range-accrual-european.json index e23400f109..f258358b01 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex59-accrual-range-accrual-european.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/incomplete-products/fx-derivatives/fx-ex59-accrual-range-accrual-european.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -23,30 +40,6 @@ "globalKey" : "3ee308" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -83,10 +76,10 @@ } } ], "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } }, "meta" : { - "globalKey" : "fdfa5e74" + "globalKey" : "17818534" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/AdditionalFixedPayments_mortgages.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/AdditionalFixedPayments_mortgages.json index 332dcd3a89..602a1c7955 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/AdditionalFixedPayments_mortgages.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/AdditionalFixedPayments_mortgages.json @@ -1,91 +1,41 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "yt67d" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "b6f0aca" - } - } ], - "tradeDate" : { - "value" : "2006-10-05", - "meta" : { - "globalKey" : "3eb285" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-09-25", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "da556d3a" } }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-09-25", "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { @@ -102,304 +52,347 @@ "globalKey" : "da556d3a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d3" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "177d3" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "firstPaymentDate" : "2006-11-01", - "lastRegularPaymentDate" : "2035-06-01", - "meta" : { - "globalKey" : "7d8d44c" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d3" }, + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "177d3" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "d48d40e0" + "globalKey" : "6c" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "firstPaymentDate" : "2006-11-01", + "lastRegularPaymentDate" : "2035-06-01", + "meta" : { + "globalKey" : "7d8d44c" + } + }, + "meta" : { + "globalKey" : "d48d40e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "c8400e78" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 5 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } + "deliverableObligations" : { + "accruedInterest" : true }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + "escrow" : true, + "meta" : { + "globalKey" : "2dfbb" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "New Century Home Equity Loan Trust 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}, "meta" : { - "globalKey" : "69334c1e" + "globalKey" : "59089299" + } + }, + "obligations" : { + "category" : "BondOrLoan" + }, + "floatingAmountEvents" : { + "failureToPayPrincipal" : true, + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA" + } + }, + "writedown" : true, + "impliedWritedown" : false, + "floatingAmountProvisions" : { + "stepUpProvision" : true + }, + "additionalFixedPayments" : { + "interestShortfallReimbursement" : true, + "principalShortfallReimbursement" : true } }, "meta" : { - "globalKey" : "74dadf3e" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "56fe7d11" } + } ], + "meta" : { + "globalKey" : "69334c1e" } }, "meta" : { - "globalKey" : "4ed35467" + "globalKey" : "74dadf3e" } }, - "meta" : { - "globalKey" : "4ed35467" + "calculationAgent" : { + 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"location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "yt67d" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "gf4t5" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "gf4t5" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "yt67d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "gf4t5" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "gf4t5" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "yt67d" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "b6f0aca" + } + } ], + "tradeDate" : { + "value" : "2006-10-05", + "meta" : { + "globalKey" : "3eb285" + } }, "party" : [ { "partyId" : [ { @@ -496,10 +489,10 @@ } }, "meta" : { - "globalKey" : "d9ddb55b" + "globalKey" : "1fede753" } }, "meta" : { - "globalKey" : "d9ddb55b" + "globalKey" : "1fede753" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nameOrId.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nameOrId.json index fa7737a326..230dddf458 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nameOrId.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nameOrId.json @@ -1,364 +1,357 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "dddf17a3", - "externalReference" : "fyure4" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "33d9d70" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : 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1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "a5d2665" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "d2a99245" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "a5d2665" } }, "meta" : { - "globalKey" : "7db22848" + "globalKey" : "d2a99245" } - }, - "meta" : { - "globalKey" : "7db22848" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "7db22848" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "61f9c816", - "externalReference" : "tif563d" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "dddf17a3", - "externalReference" : "fyure4" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "61f9c816", + "externalReference" : "tif563d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "dddf17a3", + "externalReference" : "fyure4" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "dddf17a3", + "externalReference" : "fyure4" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "33d9d70" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -437,10 +430,10 @@ } }, "meta" : { - "globalKey" : "305eb5d9" + "globalKey" : "2e0271c9" } }, "meta" : { - "globalKey" : "305eb5d9" + "globalKey" : "2e0271c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nthToDefault_mthToDefault.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nthToDefault_mthToDefault.json index a098ca9b2f..5f0923535c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nthToDefault_mthToDefault.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/BasketReferenceInformation_nthToDefault_mthToDefault.json @@ -1,374 +1,367 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3ad6e637", - "externalReference" : "fyure4" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "33d9d70" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "r65hfd" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "r65hfd" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + } ], + "referencePool" : { + "referencePoolItem" : [ { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Agrium Inc." + }, + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "r65hfd" } - }, { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "uiyn4" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "uiyn4" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "r65hfd" } - } ] - }, - "nthToDefault" : 2, - "mthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + } + }, { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "uiyn4" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "uiyn4" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "nthToDefault" : 2, + "mthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "7b48b1b" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "fcf2133b" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "7b48b1b" } }, "meta" : { - "globalKey" : "591b1a58" + "globalKey" : "fcf2133b" } - }, - "meta" : { - "globalKey" : "591b1a58" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "591b1a58" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6d67b86", - "externalReference" : "tif563d" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3ad6e637", - "externalReference" : "fyure4" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6d67b86", + "externalReference" : "tif563d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3ad6e637", + "externalReference" : "fyure4" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3ad6e637", + "externalReference" : "fyure4" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "33d9d70" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -445,10 +438,10 @@ } }, "meta" : { - "globalKey" : "f4f4e6b1" + "globalKey" : "8e7af1a1" } }, "meta" : { - "globalKey" : "f4f4e6b1" + "globalKey" : "8e7af1a1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriodDates_firstCompoundingPeriodEndDate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriodDates_firstCompoundingPeriodEndDate.json index 507c6155e6..ee5c03df7a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriodDates_firstCompoundingPeriodEndDate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriodDates_firstCompoundingPeriodEndDate.json @@ -1,133 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023444650", + "value" : "InterestRate:IRSwap:OIS", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "2f961685" + } } ], - "meta" : { - "globalKey" : "e483ebaf" - } - } ], - "tradeDate" : { - "value" : "2018-01-26", - "meta" : { - "globalKey" : "3f105a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:OIS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:OIS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece2b504" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-10-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece2b504" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-10-07", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -141,183 +105,137 @@ "globalKey" : "365baaee" } }, - "firstRegularPeriodStartDate" : "2018-10-07", - "firstCompoundingPeriodEndDate" : "2018-10-12", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a40" - }, - "rollConvention" : "7" - }, "meta" : { - "globalKey" : "5e515cd9", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "be29f4c7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "be29f4c7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b7e4e52f", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "f8a3e069" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2018-10-07", + "firstCompoundingPeriodEndDate" : "2018-10-12", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a40" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "7" + }, + "meta" : { + "globalKey" : "5e515cd9", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b7e4e52f", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "f8a3e069" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-10-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "firstRegularPeriodStartDate" : "2018-10-07", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a40" - }, - "rollConvention" : "7" - }, "meta" : { - "globalKey" : "81a0539d", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ece2b504" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece2b504" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-10-07", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -332,184 +250,278 @@ } }, "meta" : { - "globalKey" : "b7e4e52f", - "externalKey" : "paymentDates2" + "globalKey" : "be29f4c7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "81a0539d", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b58ac6da" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "d55e77ff", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "be29f4c7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "d55e77ff", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4d94eb14" + "globalKey" : "365baaee" } - } ], + }, + "firstRegularPeriodStartDate" : "2018-10-07", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a40" + }, + "rollConvention" : "7" + }, "meta" : { - "globalKey" : "fcbca6fd" + "globalKey" : "81a0539d", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:OIS", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "b7e4e52f", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "2f961685" - } - } ], - "meta" : { - "globalKey" : "f9936209" - } - }, - "meta" : { - "globalKey" : "f9936209" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0004568, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "81a0539d", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b58ac6da" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "d55e77ff", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 34900000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "d55e77ff", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "4d94eb14" } } ], "meta" : { - "globalKey" : "e8f786d6" + "globalKey" : "fcbca6fd" } - }, { - "quantity" : [ { - "value" : { - "value" : 34900000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "307b79f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0004568, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 34900000, + "unit" : { + "currency" : { + "value" : "EUR" } } }, "meta" : { - "globalKey" : "b9759be5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e8f786d6" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 34900000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "1a18425b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023444650", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "e483ebaf" + } + } ], + "tradeDate" : { + "value" : "2018-01-26", + "meta" : { + "globalKey" : "3f105a" + } }, "party" : [ { "partyId" : [ { @@ -595,10 +607,10 @@ } }, "meta" : { - "globalKey" : "5be8d38" + "globalKey" : "2089bf46" } }, "meta" : { - "globalKey" : "5be8d38" + "globalKey" : "2089bf46" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriod_choice4.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriod_choice4.json index 034b26e17e..934f2d5d15 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriod_choice4.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CalculationPeriod_choice4.json @@ -1,600 +1,511 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "70f86d60", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d11100e" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + 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"adjustedStartDate" : "1996-12-16", - "adjustedEndDate" : "1997-12-15", - "meta" : { - "globalKey" : "8a199fc6" - }, - "notionalAmount" : 30000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "b0bec617" - } - }, { - "adjustedPaymentDate" : "1998-12-14", - "calculationPeriod" : [ { - "adjustedStartDate" : "1997-12-15", - "adjustedEndDate" : "1998-12-14", - "meta" : { - "globalKey" : "f995b8a5" - }, - "notionalAmount" : 20000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "c54afe57" - } - }, { - "adjustedPaymentDate" : "1999-12-14", - "calculationPeriod" : [ { - "adjustedStartDate" : "1998-12-14", - "adjustedEndDate" : "1999-12-14", - "meta" : { - "globalKey" : "6911d545" - }, - "notionalAmount" : 10000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "db8c12f7" - } - } ] + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } }, "meta" : { - "globalKey" : "d20f428d" + "globalKey" : "214e084d" } - } ], + }, + "firstRegularPeriodStartDate" : "1995-12-14", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "ca5cba6c" + "globalKey" : "d79ecf63", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "ca5cba6c" - } - }, - "meta" : { - "globalKey" : "ca5cba6c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "1995-12-14", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } }, - "datedValue" : [ { - "date" : "1995-12-14", - "value" : 40000000.00, + "meta" : { + "globalKey" : "994269c9" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "1995-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1995-01-16", + "adjustedEndDate" : "1995-12-14", + "meta" : { + "globalKey" : "ad836cc7" + }, + "notionalAmount" : 50000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "6118d22e" + "globalKey" : "84e9ca79" } }, { - "date" : "1996-12-14", - "value" : 30000000.00, + "adjustedPaymentDate" : "1996-12-16", + "calculationPeriod" : [ { + "adjustedStartDate" : "1995-12-14", + "adjustedEndDate" : "1996-12-16", + "meta" : { + "globalKey" : "1a9c29ca" + }, + "notionalAmount" : 40000000.00, + "fixedRate" : 0.06 + } ], + "meta" : { + "globalKey" : "9c3130ba" + } + }, { + "adjustedPaymentDate" : "1997-12-15", + "calculationPeriod" : [ { + "adjustedStartDate" : "1996-12-16", + "adjustedEndDate" : "1997-12-15", + "meta" : { + "globalKey" : "8a199fc6" + }, + "notionalAmount" : 30000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "f9389d4f" + "globalKey" : "b0bec617" } }, { - "date" : "1997-12-14", - "value" : 20000000.00, + "adjustedPaymentDate" : "1998-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1997-12-15", + "adjustedEndDate" : "1998-12-14", + "meta" : { + "globalKey" : "f995b8a5" + }, + "notionalAmount" : 20000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "91586870" + "globalKey" : "c54afe57" } }, { - "date" : "1998-12-14", - "value" : 10000000.00, + "adjustedPaymentDate" : "1999-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1998-12-14", + "adjustedEndDate" : "1999-12-14", + "meta" : { + "globalKey" : "6911d545" + }, + "notionalAmount" : 10000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "29783391" + "globalKey" : "db8c12f7" } } ] }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "d20f428d" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "ca5cba6c" + } + } + }, + "meta" : { + "globalKey" : "ca5cba6c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, + } + }, + "datedValue" : [ { + "date" : "1995-12-14", + "value" : 40000000.00, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "6118d22e" } - } + }, { + "date" : "1996-12-14", + "value" : 30000000.00, + "meta" : { + "globalKey" : "f9389d4f" + } + }, { + "date" : "1997-12-14", + "value" : 20000000.00, + "meta" : { + "globalKey" : "91586870" + } + }, { + "date" : "1998-12-14", + "value" : 10000000.00, + "meta" : { + "globalKey" : "29783391" + } + } ] }, "meta" : { - "globalKey" : "1b0c096b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } - } - }, - "datedValue" : [ { - "date" : "1995-12-14", - "value" : 40000000.00, + }, "meta" : { - "globalKey" : "6118d22e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, { - "date" : "1996-12-14", - "value" : 30000000.00, + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8de573f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "f9389d4f" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, { - "date" : "1997-12-14", - "value" : 20000000.00, + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "91586870" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, { - "date" : "1998-12-14", - "value" : 10000000.00, + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "29783391" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - } ] + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], + "datedValue" : [ { + "date" : "1995-12-14", + "value" : 40000000.00, + "meta" : { + "globalKey" : "6118d22e" + } + }, { + "date" : "1996-12-14", + "value" : 30000000.00, + "meta" : { + "globalKey" : "f9389d4f" + } + }, { + "date" : "1997-12-14", + "value" : 20000000.00, + "meta" : { + "globalKey" : "91586870" + } + }, { + "date" : "1998-12-14", + "value" : 10000000.00, + "meta" : { + "globalKey" : "29783391" + } + } ] + }, "meta" : { - "globalKey" : "bd1df6cc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "70f86d60", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c6416b25", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "bd1df6cc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "70f86d60", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c6416b25", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "70f86d60", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d11100e" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -904,10 +916,10 @@ } } ], "meta" : { - "globalKey" : "ce3ba700" + "globalKey" : "4af6c45a" } }, "meta" : { - "globalKey" : "ce3ba700" + "globalKey" : "4af6c45a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-1.json index 06fa37f8e1..622eba6de6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-1.json @@ -1,409 +1,402 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "d7a86d0" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 5 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : true, + "notSubordinated" : false, + "specifiedCurrency" : { + "applicable" : false }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "notSovereignLender" : false, + "notDomesticCurrency" : { + "applicable" : false }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notDomesticLaw" : true, + "notContingent" : false, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : false + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "78" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "notBearer" : true, + "fullFaithAndCreditObLiability" : true }, + "escrow" : true, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "a9d730ad" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "d7a86d0" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 5 - }, - "deliverableObligations" : { - "accruedInterest" : true, - "notSubordinated" : false, - "specifiedCurrency" : { - "applicable" : false - }, - "notSovereignLender" : false, - "notDomesticCurrency" : { - "applicable" : false - }, - "notDomesticLaw" : true, - "notContingent" : false, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : false - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "notBearer" : true, - "fullFaithAndCreditObLiability" : true - }, - "escrow" : true, - "meta" : { - "globalKey" : "a9d730ad" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "be0f4df4" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notDomesticIssuance" : true, - "fullFaithAndCreditObLiability" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "c0a67a2c" + "globalKey" : "1a10e2d1" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5d5ec869" + "globalKey" : "be0f4df4" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notDomesticIssuance" : true, + "fullFaithAndCreditObLiability" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "430a20a7" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "c0a67a2c" } + } ], + "meta" : { + "globalKey" : "5d5ec869" } }, "meta" : { - "globalKey" : "51766a81" + "globalKey" : "430a20a7" } }, - "meta" : { - "globalKey" : "51766a81" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "51766a81" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -495,10 +488,10 @@ } }, "meta" : { - "globalKey" : "a3232eec" + "globalKey" : "9b3c5ce" } }, "meta" : { - "globalKey" : "a3232eec" + "globalKey" : "9b3c5ce" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-2.json index 656d24f82b..7f86ea6a58 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/CreditEvents_physicalSettlementMatrix-2.json @@ -1,375 +1,368 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "19debe7" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "meta" : { + "globalKey" : "1e" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "444afa68" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } - }, - "meta" : { - "globalKey" : "5e207bbe" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "globalKey" : "0" - } + "priceType" : "AssetPrice" }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "19debe7" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" + } }, "meta" : { - "globalKey" : "1e" + "globalKey" : "6c32a26b" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "be0f4df4" - } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notDomesticIssuance" : true, - "fullFaithAndCreditObLiability" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "c0a67a2c" + "globalKey" : "1a10e2d1" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "d3397680" + "globalKey" : "be0f4df4" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notDomesticIssuance" : true, + "fullFaithAndCreditObLiability" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "9a828be" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "c0a67a2c" } + } ], + "meta" : { + "globalKey" : "d3397680" } }, "meta" : { - "globalKey" : "5ef7418" + "globalKey" : "9a828be" } }, - "meta" : { - "globalKey" : "5ef7418" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5ef7418" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -466,10 +459,10 @@ } }, "meta" : { - "globalKey" : "870a8034" + "globalKey" : "30ca2604" } }, "meta" : { - "globalKey" : "870a8034" + "globalKey" : "30ca2604" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-1.json index 3b5f1f0d62..dcead16ea6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-1.json @@ -1,397 +1,390 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "17f73" - } + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "80da8a4e" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, + "escrow" : true, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "2dbe1d51" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "80da8a4e" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "excluded" : "true", - "othReferenceEntityObligations" : "true" - }, - "escrow" : true, - "meta" : { - "globalKey" : "2dbe1d51" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "obligationDefault" : false, - "obligationAcceleration" : true, - "repudiationMoratorium" : false, - "governmentalIntervention" : true, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "fbc76c4f" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "notSovereignLender" : true, - "notDomesticLaw" : false, - "notDomesticIssuance" : true, - "revenueObligationLiability" : false, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "obligationDefault" : false, + "obligationAcceleration" : true, + "repudiationMoratorium" : false, + "governmentalIntervention" : true, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b2f557d" + "globalKey" : "1a10e2d1" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "15fc4784" + "globalKey" : "fbc76c4f" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "notSovereignLender" : true, + "notDomesticLaw" : false, + "notDomesticIssuance" : true, + "revenueObligationLiability" : false, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "55eabdc2" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "b2f557d" } + } ], + "meta" : { + "globalKey" : "15fc4784" } }, "meta" : { - "globalKey" : "3a9ef91c" + "globalKey" : "55eabdc2" } }, - "meta" : { - "globalKey" : "3a9ef91c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3a9ef91c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -483,10 +476,10 @@ } }, "meta" : { - "globalKey" : "e88f9131" + "globalKey" : "fbfa0e9" } }, "meta" : { - "globalKey" : "e88f9131" + "globalKey" : "fbfa0e9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-2.json index bc15656ba9..7d4ac30d0b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/DeliverableObligations_physicalSettlementMatrix-2.json @@ -1,393 +1,386 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "17f73" - } + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "59f9e207" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "9bbcf3e" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "59f9e207" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "excluded" : "true", - "othReferenceEntityObligations" : "true" - }, - "meta" : { - "globalKey" : "9bbcf3e" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "obligationDefault" : false, - "obligationAcceleration" : true, - "repudiationMoratorium" : false, - "governmentalIntervention" : true, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "fbc76c4f" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "notSovereignLender" : true, - "notDomesticLaw" : false, - "notDomesticIssuance" : true, - "revenueObligationLiability" : false, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "obligationDefault" : false, + "obligationAcceleration" : true, + "repudiationMoratorium" : false, + "governmentalIntervention" : true, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b2f557d" + "globalKey" : "1a10e2d1" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "aeebbc89" + "globalKey" : "fbc76c4f" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "notSovereignLender" : true, + "notDomesticLaw" : false, + "notDomesticIssuance" : true, + "revenueObligationLiability" : false, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "c5251f0b" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "b2f557d" } + } ], + "meta" : { + "globalKey" : "aeebbc89" } }, "meta" : { - "globalKey" : "3a782137" + "globalKey" : "c5251f0b" } }, - "meta" : { - "globalKey" : "3a782137" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3a782137" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -484,10 +477,10 @@ } }, "meta" : { - "globalKey" : "9ae2035d" + "globalKey" : "1abe9e05" } }, "meta" : { - "globalKey" : "9ae2035d" + "globalKey" : "1abe9e05" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FloatingAmountEvents_mortgages.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FloatingAmountEvents_mortgages.json index a906815e2c..7c5a1721ba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FloatingAmountEvents_mortgages.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FloatingAmountEvents_mortgages.json @@ -1,91 +1,41 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "yt67d" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "b6f0aca" - } - } ], - "tradeDate" : { - "value" : "2006-10-05", - "meta" : { - "globalKey" : "3eb285" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-09-25", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "da556d3a" } }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-09-25", "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { @@ -102,307 +52,350 @@ "globalKey" : "da556d3a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d3" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "177d3" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "firstPaymentDate" : "2006-11-01", - "lastRegularPaymentDate" : "2035-06-01", - "meta" : { - "globalKey" : "7d8d44c" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d3" }, + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : 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"quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } + "deliverableObligations" : { + "accruedInterest" : true }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + "escrow" : true, + "meta" : { + "globalKey" : "2dfbb" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "New Century Home Equity Loan Trust 2005-4" }, "meta" : { - "globalKey" : "c8400e78" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 5 - }, - "deliverableObligations" : { - "accruedInterest" : true - }, - "escrow" : true, - "meta" : { - "globalKey" : "2dfbb" - } + "globalKey" : "5df00e1c" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "New Century Home Equity Loan Trust 2005-4" - }, - "meta" : { - "globalKey" : "5df00e1c" - } - }, - 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"priceType" : "AssetPrice" - } + "identifierType" : "BBGID" + } ], + "securityType" : "Debt" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPayPrincipal" : true, - "failureToPayInterest" : true, - "distressedRatingsDowngrade" : true, - "maturityExtension" : true, - "writedown" : true, - "impliedWritedown" : true, - "creditEventNotice" : { - "notifyingParty" : [ "Party2" ] - }, - "meta" : { - "globalKey" : "59089299" + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 0.26, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BondOrLoan" - }, - "floatingAmountEvents" : { - "failureToPayPrincipal" : true, - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : false, - "rateSource" : { - "value" : "USD-LIBOR-BBA" - } - }, - "writedown" : true, - "floatingAmountProvisions" : { - "stepUpProvision" : true - }, - "additionalFixedPayments" : { - "interestShortfallReimbursement" : true, - "principalShortfallReimbursement" : true, - "writedownReimbursement" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "globalKey" : "59c94253" - } - } ], + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPayPrincipal" : true, + "failureToPayInterest" : true, + "distressedRatingsDowngrade" : true, + "maturityExtension" : true, + "writedown" : true, + "impliedWritedown" : true, + "creditEventNotice" : { + "notifyingParty" : [ "Party2" ] + }, "meta" : { - "globalKey" : "6bfe1160" + "globalKey" : "59089299" + } + }, + "obligations" : { + "category" : "BondOrLoan" + }, + "floatingAmountEvents" : { + "failureToPayPrincipal" : true, + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA" + } + }, + "writedown" : true, + "floatingAmountProvisions" : { + "stepUpProvision" : true + }, + "additionalFixedPayments" : { + "interestShortfallReimbursement" : true, + "principalShortfallReimbursement" : true, + "writedownReimbursement" : true } }, "meta" : { - "globalKey" : "b96579aa" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "59c94253" } + } ], + "meta" : { + "globalKey" : "6bfe1160" } }, "meta" : { - "globalKey" : "a453fb53" + "globalKey" : "b96579aa" } }, - "meta" : { - "globalKey" : "a453fb53" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a453fb53" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e3639930" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "yt67d" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "gf4t5" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "gf4t5" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "yt67d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "gf4t5" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "gf4t5" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "yt67d" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "b6f0aca" + } + } ], + "tradeDate" : { + "value" : "2006-10-05", + "meta" : { + "globalKey" : "3eb285" + } }, "party" : [ { "partyId" : [ { @@ -499,10 +492,10 @@ } }, "meta" : { - "globalKey" : "d2d39c7" + "globalKey" : "573b96e7" } }, "meta" : { - "globalKey" : "d2d39c7" + "globalKey" : "573b96e7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_12.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_12.json index abab129e9d..49b3f69903 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_12.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_12.json @@ -1,422 +1,415 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37263", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb09be86" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb09be86" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "73fb0461" - } - } ], - "tradeDate" : { - "value" : "2002-11-13", - "meta" : { - "globalKey" : "3e92cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09be86" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb9fe686" + } + }, + "meta" : { + "globalKey" : "eb9fe686" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb09be86" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "eb9fe686" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f58" + }, + "rollConvention" : "14" }, "meta" : { - "globalKey" : "eb9fe686" + "globalKey" : "17f58" } }, - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2003-02-14", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "3ead24" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "591556cb" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "406c5db3" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f58" - }, - "rollConvention" : "14" + "notSovereignLender" : true, + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f58" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-02-14", - "meta" : { - "globalKey" : "3ead24" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "591556cb" + "globalKey" : "62da3db6" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4AB951", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Republic of Italy" }, "meta" : { - "globalKey" : "0" + "globalKey" : "546f933e", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "406c5db3" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0125141316", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "546f933e", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : -1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "62da3db6" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4AB951", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Republic of Italy" - }, - "meta" : { - "globalKey" : "546f933e", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS0125141316", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "546f933e", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : -1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "ac191169" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "d0780530" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "30a9873b" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "ac191169" } + } ], + "meta" : { + "globalKey" : "d0780530" } }, "meta" : { - "globalKey" : "4d099d67" + "globalKey" : "30a9873b" } }, - "meta" : { - "globalKey" : "4d099d67" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0011, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4d099d67" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0011, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "68fb68ec" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "68fb68ec" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37263", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73fb0461" + } + } ], + "tradeDate" : { + "value" : "2002-11-13", + "meta" : { + "globalKey" : "3e92cd" + } }, "party" : [ { "partyId" : [ { @@ -515,10 +508,10 @@ } }, "meta" : { - "globalKey" : "eedc355f" + "globalKey" : "6bd90bf1" } }, "meta" : { - "globalKey" : "eedc355f" + "globalKey" : "6bd90bf1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_19.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_19.json index 7117154efa..f20246f3c3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_19.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_19.json @@ -1,83 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee95" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -96,316 +44,361 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, - "meta" : { - "globalKey" : "944a7af8" - } + "globalKey" : "e414546d", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "ACOM CO., LTD." }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "multipleHolderObligation" : true, - "multipleCreditEventNotices" : true - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "businessCenter" : "GBLO", - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "a12d3685" + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "globalKey" : "b67a88d5" + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "multipleHolderObligation" : true, + "multipleCreditEventNotices" : true + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "businessCenter" : "GBLO", + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 } - } ], + }, "meta" : { - "globalKey" : "a655c169" + "globalKey" : "a12d3685" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "428d271b" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "b67a88d5" } + } ], + "meta" : { + "globalKey" : "a655c169" } }, "meta" : { - "globalKey" : "871b5a6b" + "globalKey" : "428d271b" } }, - "meta" : { - "globalKey" : "871b5a6b" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "871b5a6b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee95" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -508,10 +501,10 @@ } }, "meta" : { - "globalKey" : "d3153ffb" + "globalKey" : "13bfb47" } }, "meta" : { - "globalKey" : "d3153ffb" + "globalKey" : "13bfb47" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_26_28.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_26_28.json index 7a81b556a9..a3386e386b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_26_28.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_26_28.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee19" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,241 +42,284 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "6584aa9f" + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "90d2cafc" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", "meta" : { - "globalKey" : "90d2cafc" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" + }, + "meta" : { + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b6882474" + "globalKey" : "48eb1e55" + } + } + }, + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "cc335c23" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "26562f83" + "globalKey" : "cc335c23" } }, - "meta" : { - "globalKey" : "26562f83" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "26562f83" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee19" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +418,7 @@ } }, "meta" : { - "globalKey" : "61acc1c" + "globalKey" : "2b8c6484" } }, "transferHistory" : [ { @@ -438,25 +431,15 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD" - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2002-12-03" } }, "meta" : { - "globalKey" : "5dba2d60" + "globalKey" : "48c10feb" } } ], "meta" : { - "globalKey" : "92225c4" + "globalKey" : "c37fe7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-1.json index 953eada561..c24cdef8f9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-1.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee19" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,241 +42,284 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "6584aa9f" + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "90d2cafc" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", "meta" : { - "globalKey" : "90d2cafc" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" + }, + "meta" : { + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b6882474" + "globalKey" : "48eb1e55" + } + } + }, + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "cc335c23" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "26562f83" + "globalKey" : "cc335c23" } }, - "meta" : { - "globalKey" : "26562f83" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "26562f83" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee19" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +418,7 @@ } }, "meta" : { - "globalKey" : "61acc1c" + "globalKey" : "2b8c6484" } }, "transferHistory" : [ { @@ -438,25 +431,15 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD" - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2007-12-03" } }, "meta" : { - "globalKey" : "5dba5560" + "globalKey" : "48c137eb" } } ], "meta" : { - "globalKey" : "9224dc4" + "globalKey" : "c3a7e7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-2.json index 8bc654a2a2..bc3c9ac21d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-2.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee19" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,241 +42,284 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "6584aa9f" + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "90d2cafc" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", "meta" : { - "globalKey" : "90d2cafc" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" + }, + "meta" : { + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b6882474" + "globalKey" : "48eb1e55" + } + } + }, + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "cc335c23" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "26562f83" + "globalKey" : "cc335c23" } }, - "meta" : { - "globalKey" : "26562f83" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "26562f83" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee19" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +418,7 @@ } }, "meta" : { - "globalKey" : "61acc1c" + "globalKey" : "2b8c6484" } }, "transferHistory" : [ { @@ -475,6 +468,6 @@ } } ], "meta" : { - "globalKey" : "3ebcba15" + "globalKey" : "a70df2ad" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-3.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-3.json index ec36e238d8..f3a5d0ad92 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-3.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_27-3.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee19" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,241 +42,284 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "6584aa9f" + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "90d2cafc" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", "meta" : { - "globalKey" : "90d2cafc" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" + }, + "meta" : { + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b6882474" + "globalKey" : "48eb1e55" + } + } + }, + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "cc335c23" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "26562f83" + "globalKey" : "cc335c23" } }, - "meta" : { - "globalKey" : "26562f83" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "26562f83" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee19" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +418,7 @@ } }, "meta" : { - "globalKey" : "61acc1c" + "globalKey" : "2b8c6484" } }, "transferHistory" : [ { @@ -470,6 +463,6 @@ } } ], "meta" : { - "globalKey" : "2150b729" + "globalKey" : "c3269191" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-1.json index 8fe562116c..4a91a564c3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-1.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee19" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,348 +42,391 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204a" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "3" + }, + "meta" : { + "globalKey" : "204a" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-03", + "lastRegularPaymentDate" : "2007-12-03", + "meta" : { + "globalKey" : "7d5b8ca" + } + }, + "meta" : { + "globalKey" : "39fee775" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204a" - }, - "rollConvention" : "3" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204a" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-03", - "lastRegularPaymentDate" : "2007-12-03", - "meta" : { - "globalKey" : "7d5b8ca" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "39fee775" + "globalKey" : "90d2cafc" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" }, "meta" : { - "globalKey" : "0" + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6584aa9f" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "90d2cafc" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "ff824c98" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "224416c8" + "globalKey" : "ff824c98" } }, - "meta" : { - "globalKey" : "224416c8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.012, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "224416c8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.012, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "ab937ba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "ab937ba" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee19" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -532,10 +525,10 @@ } }, "meta" : { - "globalKey" : "13bbca4d" + "globalKey" : "5afc9033" } }, "meta" : { - "globalKey" : "13bbca4d" + "globalKey" : "5afc9033" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-2.json index d789beea9a..14a0835f63 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_30-2.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee19" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,348 +42,391 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "29255039" + } + }, + "meta" : { + "globalKey" : "29255039" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204a" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "3" + }, + "meta" : { + "globalKey" : "204a" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-03", + "lastRegularPaymentDate" : "2008-03-03", + "meta" : { + "globalKey" : "7d5be8a" + } + }, + "meta" : { + "globalKey" : "39feed35" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204a" - }, - "rollConvention" : "3" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204a" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-03", - "lastRegularPaymentDate" : "2008-03-03", - "meta" : { - "globalKey" : "7d5be8a" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "39feed35" + "globalKey" : "90d2cafc" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8GB54M", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Kingdom of Thailand" }, "meta" : { - "globalKey" : "0" + "globalKey" : "5cf1ae36", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6584aa9f" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US88322KAC53", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "5cf1ae36", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "90d2cafc" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8GB54M", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Kingdom of Thailand" - }, - "meta" : { - "globalKey" : "5cf1ae36", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US88322KAC53", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "5cf1ae36", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BondOrLoan", - "notSovereignLender" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "698886fa" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "cc335c23" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BondOrLoan", + "notSovereignLender" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "ec2f1258" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "698886fa" } + } ], + "meta" : { + "globalKey" : "cc335c23" } }, "meta" : { - "globalKey" : "bb97fc88" + "globalKey" : "ec2f1258" } }, - "meta" : { - "globalKey" : "bb97fc88" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.012, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "bb97fc88" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.012, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "ab937ba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "ab937ba" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee19" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -532,10 +525,10 @@ } }, "meta" : { - "globalKey" : "6cfbc00d" + "globalKey" : "55b0a273" } }, "meta" : { - "globalKey" : "6cfbc00d" + "globalKey" : "55b0a273" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_34.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_34.json index 740739188c..3bcec4134c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_34.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_34.json @@ -1,396 +1,389 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2018-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7e458aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e2b23be" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "cdb97daf" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : 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"address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "cdb97daf" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "ReferenceObligationsOnly", - "notSubordinated" : true, - "notContingent" : true, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : 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+ } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -487,10 +480,10 @@ } }, "meta" : { - "globalKey" : "88762c8" + "globalKey" : "411407f2" } }, "meta" : { - "globalKey" : "88762c8" + "globalKey" : "411407f2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_37.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_37.json index 4f94d49e85..c0855df194 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_37.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_37.json @@ -1,405 +1,398 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3ad6e637", - "externalReference" : "fyure4" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "33d9d70" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } 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"publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "176be5a5" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "5c249185" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "176be5a5" } }, "meta" : { - "globalKey" : "713ec188" + "globalKey" : "5c249185" } - }, - "meta" : { - "globalKey" : "713ec188" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "713ec188" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6d67b86", - "externalReference" : "tif563d" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3ad6e637", - "externalReference" : "fyure4" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6d67b86", + "externalReference" : "tif563d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3ad6e637", + "externalReference" : "fyure4" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3ad6e637", + "externalReference" : "fyure4" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "33d9d70" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -476,10 +469,10 @@ } }, "meta" : { - "globalKey" : "c4b4661" + "globalKey" : "518ae8d1" } }, "meta" : { - "globalKey" : "c4b4661" + "globalKey" : "518ae8d1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_41.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_41.json index 06ad5a10d4..0ad0c8cabf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_41.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_41.json @@ -1,83 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee95" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -96,317 +44,362 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true - }, - "escrow" : true, - "meta" : { - "globalKey" : "944a7af8" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" }, - "modifiedEquityDelivery" : true - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "multipleHolderObligation" : true, - "multipleCreditEventNotices" : true - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "businessCenter" : "GBLO", - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "a12d3685" + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "referenceEntity" + } + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "globalKey" : "b67a88d5" + "priceType" : "AssetPrice" + } + }, + "modifiedEquityDelivery" : true + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "multipleHolderObligation" : true, + "multipleCreditEventNotices" : true + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "businessCenter" : "GBLO", + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 } - } ], + }, "meta" : { - "globalKey" : "a2d8e990" + "globalKey" : "a12d3685" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "8d8e3a1e" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "b67a88d5" } + } ], + "meta" : { + "globalKey" : "a2d8e990" } }, "meta" : { - "globalKey" : "4c8b575e" + "globalKey" : "8d8e3a1e" } }, - "meta" : { - "globalKey" : "4c8b575e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4c8b575e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee95" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -505,10 +498,10 @@ } }, "meta" : { - "globalKey" : "adb4a67e" + "globalKey" : "61d12976" } }, "meta" : { - "globalKey" : "adb4a67e" + "globalKey" : "61d12976" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_42.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_42.json index 227468522e..1b981c7fbd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_42.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_42.json @@ -1,83 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee95" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -96,317 +44,362 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true - }, - "escrow" : true, - "meta" : { - "globalKey" : "944a7af8" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" }, - "substitution" : true - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "multipleHolderObligation" : true, - "multipleCreditEventNotices" : true - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "businessCenter" : "GBLO", - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "a12d3685" + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "referenceEntity" + } + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "globalKey" : "b67a88d5" + "priceType" : "AssetPrice" + } + }, + "substitution" : true + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "multipleHolderObligation" : true, + "multipleCreditEventNotices" : true + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "businessCenter" : "GBLO", + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 } - } ], + }, "meta" : { - "globalKey" : "a2d8e990" + "globalKey" : "a12d3685" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "8d8e3a1e" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "b67a88d5" } + } ], + "meta" : { + "globalKey" : "a2d8e990" } }, "meta" : { - "globalKey" : "4c8b575e" + "globalKey" : "8d8e3a1e" } }, - "meta" : { - "globalKey" : "4c8b575e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4c8b575e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee95" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -505,10 +498,10 @@ } }, "meta" : { - "globalKey" : "adb4a67e" + "globalKey" : "61d12976" } }, "meta" : { - "globalKey" : "adb4a67e" + "globalKey" : "61d12976" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_44.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_44.json index d60acb2862..55463c4593 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_44.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_cd_44.json @@ -1,519 +1,512 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "fbdf4ddd", - "externalKey" : "tid1" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } + } ], + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.40 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - 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"value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "b88d63fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b88d63fd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "fbdf4ddd", + "externalKey" : "tid1" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -587,10 +580,10 @@ } }, "meta" : { - "globalKey" : "89508c97" + "globalKey" : "db740473" } }, "meta" : { - "globalKey" : "89508c97" + "globalKey" : "db740473" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_14.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_14.json index 3ad55ca85a..1ac877f7b4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_14.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_14.json @@ -1,266 +1,259 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "9f2d8a91" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - 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"793fa8c1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "793fa8c1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "9f2d8a91" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -330,10 +323,10 @@ } }, "meta" : { - "globalKey" : "10649305" + "globalKey" : "bff1c37f" } }, "meta" : { - "globalKey" : "10649305" + "globalKey" : "bff1c37f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_economicTermsEffectiveDate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_economicTermsEffectiveDate.json index 54eead2141..0c7cb72079 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_economicTermsEffectiveDate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_economicTermsEffectiveDate.json @@ -1,433 +1,426 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37263", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb09be86" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb09be86" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "73fb0461" - } - } ], - "tradeDate" : { - "value" : "2002-11-13", - "meta" : { - "globalKey" : "3e92cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb9fe686" + } + }, + "meta" : { + "globalKey" : "eb9fe686" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "eb09be86" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "eb09be86" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-14", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3e92ce" } }, "meta" : { - "globalKey" : "eb9fe686" + "globalKey" : "3e92ce" } }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f58" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "eb9fe686" + "globalKey" : "c5fdfb26" } }, - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2003-02-14", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "3ead24" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "e48db35f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "406c5db3" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-14", - "meta" : { - "globalKey" : "3e92ce" - } - }, - "meta" : { - "globalKey" : "3e92ce" - } + "notSovereignLender" : true, + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f58" - }, - "rollConvention" : "14" + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "c5fdfb26" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-02-14", - "meta" : { - "globalKey" : "3ead24" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "e48db35f" + "globalKey" : "62da3db6" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4AB951", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Republic of Italy" }, "meta" : { - "globalKey" : "0" + "globalKey" : "546f933e", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "406c5db3" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "specifiedCurrency" : { - "applicable" : true - }, - "notSovereignLender" : true, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0125141316", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "546f933e", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : -1, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "62da3db6" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4AB951", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Republic of Italy" - }, - "meta" : { - "globalKey" : "546f933e", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS0125141316", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "546f933e", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : -1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "ac191169" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "d0780530" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "63fcc6cf" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "ac191169" } + } ], + "meta" : { + "globalKey" : "d0780530" } }, "meta" : { - "globalKey" : "f4c34533" + "globalKey" : "63fcc6cf" } }, - "meta" : { - "globalKey" : "f4c34533" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0011, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f4c34533" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0011, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "68fb68ec" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "68fb68ec" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37263", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73fb0461" + } + } ], + "tradeDate" : { + "value" : "2002-11-13", + "meta" : { + "globalKey" : "3e92cd" + } }, "party" : [ { "partyId" : [ { @@ -526,10 +519,10 @@ } }, "meta" : { - "globalKey" : "5aadf649" + "globalKey" : "b11fe1a5" } }, "meta" : { - "globalKey" : "5aadf649" + "globalKey" : "b11fe1a5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_payoutEffectiveDate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_payoutEffectiveDate.json index 562b7f2747..100ea96956 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_payoutEffectiveDate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_21_payoutEffectiveDate.json @@ -1,323 +1,274 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "70f86d60", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d11100e" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "32e8158a", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "32e8158a", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "214e084d" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "ea1a6ec6" } }, "meta" : { - "globalKey" : "52995c09" + "globalKey" : "ea1a6ec6" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "32e8158a", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "32e8158a", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "30E/360" + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "52995c09" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -332,176 +283,237 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "4b27bc90" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "b4b47bc7" } - }, + } ], "meta" : { "globalKey" : "4b27bc90" } - }, - "meta" : { - "globalKey" : "4b27bc90" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "4b27bc90" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "70f86d60", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c6416b25", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "70f86d60", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c6416b25", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "70f86d60", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d11100e" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -540,10 +552,10 @@ } } ], "meta" : { - "globalKey" : "5707db1c" + "globalKey" : "8631d9ba" } }, "meta" : { - "globalKey" : "5707db1c" + "globalKey" : "8631d9ba" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_29_FpML_ird_9.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_29_FpML_ird_9.json index 31ea587677..4b86320d30 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_29_FpML_ird_9.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_29_FpML_ird_9.json @@ -1,316 +1,267 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8e18b962", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "77570379" - } - } ], - "tradeDate" : { - "value" : "2000-04-25", - "meta" : { - "globalKey" : "3e8119" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac74d93" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "42f910b", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "97b8e49c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7a" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "c239cad3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f4e4ef21" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "6e1bcfd9" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c239cad3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7a" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "c239cad3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "ffe08ec6" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "6e1bcfd9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c239cad3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "ffe08ec6" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "3494f012" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3494f012" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -325,173 +276,234 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abd" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "d54cd385", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "3494f012" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" + "meta" : { + "globalKey" : "3494f012" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abd" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "d54cd385", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "425bf60a" + "globalKey" : "eb13047c" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "60964209" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "3d392683" + "globalKey" : "425bf60a" } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "60964209" } - }, + } ], "meta" : { "globalKey" : "3d392683" } - }, - "meta" : { - "globalKey" : "3d392683" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "3d392683" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f5b7bf9b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0585, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "2c4970f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0585, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "7b5d60e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e18b962", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "7b5d60e0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e18b962", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8e18b962", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "77570379" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -532,10 +544,10 @@ } } ], "meta" : { - "globalKey" : "174a70f5" + "globalKey" : "3e4a85ab" } }, "meta" : { - "globalKey" : "174a70f5" + "globalKey" : "3e4a85ab" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_30.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_30.json index 2afb76a2d4..9650cae47b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_30.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_30.json @@ -1,599 +1,511 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "70f86d60", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d11100e" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1995-01-16", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea2e2b88" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1995-01-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea2e2b88" - } - }, - "meta" : { - "globalKey" : "ea2e2b88" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea2e2b88" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - "firstRegularPeriodStartDate" : "1995-06-14", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "85642914", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "1995-06-14", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" 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"globalKey" : "9c3130ba" + } + }, { + "adjustedPaymentDate" : "1997-12-15", + "calculationPeriod" : [ { + "adjustedStartDate" : "1996-12-16", + "adjustedEndDate" : "1997-12-15", + "meta" : { + "globalKey" : "8a199fc6" + }, + "notionalAmount" : 30000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "f9389d4f" + "globalKey" : "b0bec617" } }, { - "date" : "1997-12-14", - "value" : 20000000.00, + "adjustedPaymentDate" : "1998-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1997-12-15", + "adjustedEndDate" : "1998-12-14", + "meta" : { + "globalKey" : "f995b8a5" + }, + "notionalAmount" : 20000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "91586870" + "globalKey" : "c54afe57" } }, { - "date" : "1998-12-14", - "value" : 10000000.00, + "adjustedPaymentDate" : "1999-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1998-12-14", + "adjustedEndDate" : "1999-12-14", + "meta" : { + "globalKey" : "6911d545" + }, + "notionalAmount" : 10000000.00, + "fixedRate" : 0.06 + } ], "meta" : { - "globalKey" : "29783391" + "globalKey" : "db8c12f7" } } ] }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "c074b788" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "b92c1e47" + } + } + }, + "meta" : { + "globalKey" : "b92c1e47" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, + } + }, + "datedValue" : [ { + "date" : "1995-12-14", + "value" : 40000000.00, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "globalKey" : "6118d22e" } - } + }, { + "date" : "1996-12-14", + "value" : 30000000.00, + "meta" : { + "globalKey" : "f9389d4f" + } + }, { + "date" : "1997-12-14", + "value" : 20000000.00, + "meta" : { + "globalKey" : "91586870" + } + }, { + "date" : "1998-12-14", + "value" : 10000000.00, + "meta" : { + "globalKey" : "29783391" + } + } ] }, "meta" : { - "globalKey" : "1b0c096b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } - } - }, - "datedValue" : [ { - "date" : "1995-12-14", - "value" : 40000000.00, + }, "meta" : { - "globalKey" : "6118d22e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, { - "date" : "1996-12-14", - "value" : 30000000.00, + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8de573f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "f9389d4f" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, { - "date" : "1997-12-14", - "value" : 20000000.00, + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "91586870" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, { - "date" : "1998-12-14", - "value" : 10000000.00, + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", "meta" : { - "globalKey" : "29783391" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - } ] + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], + "datedValue" : [ { + "date" : "1995-12-14", + "value" : 40000000.00, + "meta" : { + "globalKey" : "6118d22e" + } + }, { + "date" : "1996-12-14", + "value" : 30000000.00, + "meta" : { + "globalKey" : "f9389d4f" + } + }, { + "date" : "1997-12-14", + "value" : 20000000.00, + "meta" : { + "globalKey" : "91586870" + } + }, { + "date" : "1998-12-14", + "value" : 10000000.00, + "meta" : { + "globalKey" : "29783391" + } + } ] + }, "meta" : { - "globalKey" : "bd1df6cc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "70f86d60", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c6416b25", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "bd1df6cc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "70f86d60", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c6416b25", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "70f86d60", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d11100e" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -903,10 +915,10 @@ } } ], "meta" : { - "globalKey" : "241cb8e9" + "globalKey" : "7998fd1f" } }, "meta" : { - "globalKey" : "241cb8e9" + "globalKey" : "7998fd1f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-1.json index 8ec990bd79..8fa44b3d9c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-1.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37206", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee38" - } - } ], - "tradeDate" : { - "value" : "2002-11-29", - "meta" : { - "globalKey" : "3e92dd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-11-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "12cbe3fe" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "12cbe3fe" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-11-30", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,322 +42,365 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, - "meta" : { - "globalKey" : "17f92" - } + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "17f92" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-02-28", + "lastRegularPaymentDate" : "2002-02-28", + "meta" : { + "globalKey" : "7d589aa" + } + }, + "meta" : { + "globalKey" : "c5fd819d" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "4a43c26e" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "escrow" : true, + "meta" : { + "globalKey" : "871" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4B818G", "meta" : { - "globalKey" : "aa" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Japan" }, - "firstPaymentDate" : "2003-02-28", - "lastRegularPaymentDate" : "2002-02-28", "meta" : { - "globalKey" : "7d589aa" + "globalKey" : "23b559bc", + "externalKey" : "referenceEntity" } }, - "meta" : { - "globalKey" : "c5fd819d" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP1200551248", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : 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"scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Japan" - }, - "meta" : { - "globalKey" : "23b559bc", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP1200551248", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "23b559bc", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" 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"meta" : { - "globalKey" : "ef3287e9" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "6bf3d43" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "notSovereignLender" : false, + "notDomesticLaw" : false, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "8a1ced20" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "ef3287e9" } + } ], + "meta" : { + "globalKey" : "6bf3d43" } }, "meta" : { - "globalKey" : "64538630" + "globalKey" : "8a1ced20" } }, - "meta" : { - "globalKey" : "64538630" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0015, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "64538630" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0015, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "d07c4aec" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d07c4aec" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37206", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee38" + } + } ], + "tradeDate" : { + "value" : "2002-11-29", + "meta" : { + "globalKey" : "3e92dd" + } }, "party" : [ { "partyId" : [ { @@ -501,10 +494,10 @@ } }, "meta" : { - "globalKey" : "84f4c778" + "globalKey" : "95474ba0" } }, "meta" : { - "globalKey" : "84f4c778" + "globalKey" : "95474ba0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-2.json index 3434386169..b45822a922 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31-2.json @@ -1,81 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37206", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "73faee38" - } - } ], - "tradeDate" : { - "value" : "2002-11-29", - "meta" : { - "globalKey" : "3e92dd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-11-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "12cbe3fe" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "12cbe3fe" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-11-30", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -92,322 +42,365 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, - "meta" : { - "globalKey" : "17f92" - } + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "17f92" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-02-28", + "lastRegularPaymentDate" : "2003-02-28", + "meta" : { + "globalKey" : "7d591aa" + } + }, + "meta" : { + "globalKey" : "c5fd899d" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "4a43c26e" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "escrow" : true, + "meta" : { + "globalKey" : "871" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4B818G", "meta" : { - "globalKey" : "aa" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Japan" }, - "firstPaymentDate" : "2003-02-28", - "lastRegularPaymentDate" : "2003-02-28", "meta" : { - "globalKey" : "7d591aa" + "globalKey" : "23b559bc", + "externalKey" : "referenceEntity" } }, - "meta" : { - "globalKey" : "c5fd899d" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP1200551248", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "0" + "primaryObligorReference" : { + "globalReference" : "23b559bc", + "externalReference" : "referenceEntity" } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" + } ], + "referencePrice" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "globalKey" : "4a43c26e" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "871" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4B818G", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Japan" - }, - "meta" : { - "globalKey" : "23b559bc", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP1200551248", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "23b559bc", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "notSovereignLender" : false, - "notDomesticLaw" : false, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "ef3287e9" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "6bf3d43" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "notSovereignLender" : false, + "notDomesticLaw" : false, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "e7b6f520" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "ef3287e9" } + } ], + "meta" : { + "globalKey" : "6bf3d43" } }, "meta" : { - "globalKey" : "d5a98e30" + "globalKey" : "e7b6f520" } }, - "meta" : { - "globalKey" : "d5a98e30" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0015, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "d5a98e30" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0015, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "d07c4aec" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d07c4aec" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37206", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "73faee38" + } + } ], + "tradeDate" : { + "value" : "2002-11-29", + "meta" : { + "globalKey" : "3e92dd" + } }, "party" : [ { "partyId" : [ { @@ -501,10 +494,10 @@ } }, "meta" : { - "globalKey" : "c80dbf78" + "globalKey" : "4aa753a0" } }, "meta" : { - "globalKey" : "c80dbf78" + "globalKey" : "4aa753a0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31.json index b258f262c4..23ba408564 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_35_cd_31.json @@ -1,310 +1,261 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bf09665f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.bankA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d11100e" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "979ed7b2" - } - }, - "meta" : { - "globalKey" : "548070e4" - } - }, - "meta" : { - "globalKey" : "548070e4" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "4158421", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "979ed7b2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "fa9d937e", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "548070e4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "1995-12-14", - "lastRegularPaymentDate" : "1994-12-14", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "548070e4" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9f6f1c7a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "fa9d937e", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3a08a845", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "fa9d937e", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "1995-12-14", + "lastRegularPaymentDate" : "1994-12-14", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3a08a845", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "3e5aa35e" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "9f6f1c7a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "fa9d937e", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "3a08a845", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "3a08a845", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "3e5aa35e" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -319,164 +270,225 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dda5f974" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "630b8752" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "dda5f974" } - }, + } ], "meta" : { "globalKey" : "630b8752" } - }, - "meta" : { - "globalKey" : "630b8752" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "630b8752" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "bf09665f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "bf09665f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bf09665f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.bankA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d11100e" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -514,10 +526,10 @@ } } ], "meta" : { - "globalKey" : "b265dced" + "globalKey" : "4e2d5f67" } }, "meta" : { - "globalKey" : "b265dced" + "globalKey" : "4e2d5f67" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_6.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_6.json index 3552580099..8a69374f8b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_6.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_6.json @@ -1,310 +1,261 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bf09665f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.bankA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d11100e" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "979ed7b2" - } - }, - "meta" : { - "globalKey" : "548070e4" - } - }, - "meta" : { - "globalKey" : "548070e4" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "4158421", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "979ed7b2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "fa9d937e", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "548070e4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "1994-12-14", - "lastRegularPaymentDate" : "1996-12-14", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "548070e4" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f9bc347a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "fa9d937e", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3a08a845", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "fa9d937e", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "1994-12-14", + "lastRegularPaymentDate" : "1996-12-14", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3a08a845", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "d745bb5e" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f9bc347a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "fa9d937e", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "3a08a845", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "3a08a845", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "d745bb5e" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -319,164 +270,225 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dda5f974" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "c8989f52" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "dda5f974" } - }, + } ], "meta" : { "globalKey" : "c8989f52" } - }, - "meta" : { - "globalKey" : "c8989f52" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "c8989f52" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "bf09665f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "bf09665f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bf09665f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.bankA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d11100e" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -514,10 +526,10 @@ } } ], "meta" : { - "globalKey" : "69fdc4ed" + "globalKey" : "e8f54767" } }, "meta" : { - "globalKey" : "69fdc4ed" + "globalKey" : "e8f54767" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_1.json index 3213824a5c..1d23fe4bba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_1.json @@ -1,321 +1,272 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1301e6bb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "77570379" - } - } ], - "tradeDate" : { - "value" : "2000-04-25", - "meta" : { - "globalKey" : "3e8119" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "5c38cb89" - }, - "finalRateRounding" : { - "roundingDirection" : "Nearest", - "precision" : 7 - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5c38cb89" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, + "finalRateRounding" : { + "roundingDirection" : "Nearest", + "precision" : 7 + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abd" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "c239d616", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eac74d93" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "6e1bcfd9" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c239d616", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "42f910b", + "externalKey" : "primaryBusinessCenters" } }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "97b8e49c" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "2d428871" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abd" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "c239d616", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "6e1bcfd9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c239d616", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "30/360" + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "2d428871" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "3494f012" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3494f012" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -330,172 +281,233 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abd" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "d54cd385", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "3494f012" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" + "meta" : { + "globalKey" : "3494f012" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abd" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "d54cd385", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "6e1bcfd9" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f290f1f5" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "fb905ca6" + "globalKey" : "6e1bcfd9" } + }, + "meta" : { + "globalKey" : "f290f1f5" } - }, + } ], "meta" : { "globalKey" : "fb905ca6" } - }, - "meta" : { - "globalKey" : "fb905ca6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "fb905ca6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0585, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0585, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "7b5d60e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1301e6bb", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "7b5d60e0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1301e6bb", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1301e6bb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "77570379" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +545,10 @@ } } ], "meta" : { - "globalKey" : "f23fa87a" + "globalKey" : "4bbd0186" } }, "meta" : { - "globalKey" : "f23fa87a" + "globalKey" : "4bbd0186" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_2-distinct-within-the-leg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_2-distinct-within-the-leg.json index a3c2e18295..96b487da9d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_2-distinct-within-the-leg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_7_2-distinct-within-the-leg.json @@ -1,320 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1301e6bb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "77570379" - } - } ], - "tradeDate" : { - "value" : "2000-04-25", - "meta" : { - "globalKey" : "3e8119" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "5c38cb89" - }, - "finalRateRounding" : { - "roundingDirection" : "Nearest", - "precision" : 7 - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5c38cb89" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, + "finalRateRounding" : { + "roundingDirection" : "Nearest", + "precision" : 7 + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7a" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "c239cad3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "eac74d93" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "425bf60a" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c239cad3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "42f910b", + "externalKey" : "primaryBusinessCenters" } }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "97b8e49c" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "39e785b6" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7a" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "c239cad3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "425bf60a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c239cad3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "30/360" + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "39e785b6" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "3494f012" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3494f012" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -329,172 +280,233 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7a" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "d54cc842", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "3494f012" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" + "meta" : { + "globalKey" : "3494f012" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7a" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "d54cc842", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "5706dfbc" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "e97e67d5" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "e1dc5f0b" + "globalKey" : "5706dfbc" } + }, + "meta" : { + "globalKey" : "e97e67d5" } - }, + } ], "meta" : { "globalKey" : "e1dc5f0b" } - }, - "meta" : { - "globalKey" : "e1dc5f0b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "e1dc5f0b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0585, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0585, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "7b5d60e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1301e6bb", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "7b5d60e0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1301e6bb", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1301e6bb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "77570379" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -532,10 +544,10 @@ } } ], "meta" : { - "globalKey" : "332eab47" + "globalKey" : "54d41b81" } }, "meta" : { - "globalKey" : "332eab47" + "globalKey" : "54d41b81" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_8.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_8.json index d0c7d3627f..878114ef7c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_8.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_8.json @@ -1,253 +1,246 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "9f2d8a91" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-09-06", + "meta" : { + "globalKey" : "3ed246" + } + }, + "meta" : { + "globalKey" : "3ed246" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-09-06", - "meta" : { - "globalKey" : "3ed246" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ed246" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } - }, "meta" : { - "globalKey" : "8f48142f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party1" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "8f48142f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true - }, - "meta" : { - "globalKey" : "4cf" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4cf" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "e6e4ceae" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "ea017d5f" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "e6e4ceae" } }, "meta" : { - "globalKey" : "a2e21321" + "globalKey" : "ea017d5f" } - }, - "meta" : { - "globalKey" : "a2e21321" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a2e21321" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "280b774f" + } } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "9f2d8a91" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -310,10 +303,10 @@ } }, "meta" : { - "globalKey" : "f87fbbe6" + "globalKey" : "d2539da0" } }, "meta" : { - "globalKey" : "f87fbbe6" + "globalKey" : "d2539da0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_9_ResetDates_interestRateSwap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_9_ResetDates_interestRateSwap.json index c47c7e7d96..fd318ede5b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_9_ResetDates_interestRateSwap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/FpML_ird_9_ResetDates_interestRateSwap.json @@ -1,423 +1,374 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1301e6bb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "77570379" - } - } ], - "tradeDate" : { - "value" : "2000-04-25", - "meta" : { - "globalKey" : "3e8119" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "5c38cb89" - }, - "finalRateRounding" : { - "roundingDirection" : "Nearest", - "precision" : 7 - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5c38cb89" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, + "finalRateRounding" : { + "roundingDirection" : "Nearest", + "precision" : 7 + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f4e4ef21" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "42f910b", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "97b8e49c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7a" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "c239cad3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f4e4ef21" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7a" + }, + "rollConvention" : "27" + }, + "meta" : { + 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"primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } }, "meta" : { - "globalKey" : "669a7230" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "d5261abe" + "globalKey" : "6e1bcfd9" } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2000-11-03", + "calculationPeriod" : [ { + "adjustedStartDate" : "2000-04-27", + "adjustedEndDate" : "2000-10-27", + "meta" : { + "globalKey" : "f1cc728f" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.0585 + } ], + "meta" : { + "globalKey" : "8b1031ac" + } + }, { + "adjustedPaymentDate" : "2001-05-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2000-10-27", + "adjustedEndDate" : "2001-04-27", + "meta" : { + "globalKey" : "f293678f" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.0585 + } ], + "meta" : { + "globalKey" : "a50c08cb" + } + }, { + "adjustedPaymentDate" : "2001-11-05", + "calculationPeriod" : [ { + "adjustedStartDate" : "2001-04-27", + "adjustedEndDate" : "2001-10-29", + "meta" : { + "globalKey" : "f58d7a11" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.0585 + } ], + "meta" : { + "globalKey" : "38ffe26c" + } + }, { + "adjustedPaymentDate" : "2002-05-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2001-10-29", + "adjustedEndDate" : "2002-04-29", + "meta" : { + "globalKey" : "f65557cf" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.0585 + } ], + "meta" : { + "globalKey" : "52fca249" + } + } ] + }, + "meta" : { + "globalKey" : "669a7230" } - }, + } ], "meta" : { "globalKey" : "d5261abe" } - }, - "meta" : { - "globalKey" : "d5261abe" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "d5261abe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0585, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0585, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "7b5d60e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1301e6bb", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "7b5d60e0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1301e6bb", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1301e6bb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "77570379" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -695,10 +707,10 @@ } } ], "meta" : { - "globalKey" : "9a8c9ba2" + "globalKey" : "41c6786e" } }, "meta" : { - "globalKey" : "9a8c9ba2" + "globalKey" : "41c6786e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-1.json index 6b02711577..54b63d85d3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-1.json @@ -1,409 +1,402 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "4c527e2f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : true, + "notSubordinated" : false, + "specifiedCurrency" : { + "applicable" : false }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "notSovereignLender" : false, + "notDomesticCurrency" : { + "applicable" : false }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notDomesticLaw" : true, + "notContingent" : false, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : false + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "78" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "notBearer" : true, + "fullFaithAndCreditObLiability" : true }, + "escrow" : false, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "e8af280c" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "4c527e2f" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : true, - "notSubordinated" : false, - "specifiedCurrency" : { - "applicable" : false - }, - "notSovereignLender" : false, - "notDomesticCurrency" : { - "applicable" : false - }, - "notDomesticLaw" : true, - "notContingent" : false, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : false - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "notBearer" : true, - "fullFaithAndCreditObLiability" : true - }, - "escrow" : false, - "meta" : { - "globalKey" : "e8af280c" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "obligationDefault" : false, - "obligationAcceleration" : false, - "repudiationMoratorium" : true, - "governmentalIntervention" : true, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "afe7ff03" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "obligationDefault" : false, + "obligationAcceleration" : false, + "repudiationMoratorium" : true, + "governmentalIntervention" : true, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "2164a59e" + "globalKey" : "1a10e2d1" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "ea9b113a" + "globalKey" : "afe7ff03" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "d0466978" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "2164a59e" } + } ], + "meta" : { + "globalKey" : "ea9b113a" } }, "meta" : { - "globalKey" : "e2cfe2d2" + "globalKey" : "d0466978" } }, - "meta" : { - "globalKey" : "e2cfe2d2" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e2cfe2d2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -495,10 +488,10 @@ } }, "meta" : { - "globalKey" : "9a178a3b" + "globalKey" : "31afe39f" } }, "meta" : { - "globalKey" : "9a178a3b" + "globalKey" : "31afe39f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-2.json index e736271902..a042e06ff1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Obligations_physicalSettlementMatrix-2.json @@ -1,409 +1,402 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "af1194b5" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "4c527e2f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : true, + "notSubordinated" : false, + "specifiedCurrency" : { + "applicable" : false }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "notSovereignLender" : false, + "notDomesticCurrency" : { + "applicable" : false }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notDomesticLaw" : true, + "notContingent" : false, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : false + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "78" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "notBearer" : true, + "fullFaithAndCreditObLiability" : true }, + "escrow" : false, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "e8af280c" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "4c527e2f" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : true, - "notSubordinated" : false, - "specifiedCurrency" : { - "applicable" : false - }, - "notSovereignLender" : false, - "notDomesticCurrency" : { - "applicable" : false - }, - "notDomesticLaw" : true, - "notContingent" : false, - "notDomesticIssuance" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : false - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "notBearer" : true, - "fullFaithAndCreditObLiability" : true - }, - "escrow" : false, - "meta" : { - "globalKey" : "e8af280c" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "obligationDefault" : false, - "obligationAcceleration" : false, - "repudiationMoratorium" : true, - "governmentalIntervention" : true, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "afe7ff03" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "obligationDefault" : false, + "obligationAcceleration" : false, + "repudiationMoratorium" : true, + "governmentalIntervention" : true, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "2164a59e" + "globalKey" : "1a10e2d1" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "ea9b113a" + "globalKey" : "afe7ff03" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "d0466978" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "2164a59e" } + } ], + "meta" : { + "globalKey" : "ea9b113a" } }, "meta" : { - "globalKey" : "e2cfe2d2" + "globalKey" : "d0466978" } }, - "meta" : { - "globalKey" : "e2cfe2d2" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e2cfe2d2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "63b2e9b8", - "externalReference" : "f6g4h5" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4627ed18", - "externalReference" : "fg4rde3" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "63b2e9b8", + "externalReference" : "f6g4h5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4627ed18", + "externalReference" : "fg4rde3" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "af1194b5" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -500,10 +493,10 @@ } }, "meta" : { - "globalKey" : "27e219ee" + "globalKey" : "71ec960a" } }, "meta" : { - "globalKey" : "27e219ee" + "globalKey" : "71ec960a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/PaymentDates_paymentDaysOffset.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/PaymentDates_paymentDaysOffset.json index 9d978ec91c..cf5153413a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/PaymentDates_paymentDaysOffset.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/PaymentDates_paymentDaysOffset.json @@ -1,317 +1,268 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bf09665f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.bankA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d11100e" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "979ed7b2" - } - }, - "meta" : { - "globalKey" : "548070e4" - } - }, - "meta" : { - "globalKey" : "548070e4" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "4158421", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "979ed7b2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "fa9d937e", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "548070e4" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "1995-06-14", - "lastRegularPaymentDate" : "1996-12-14", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "44" - } - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "548070e4" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a0c841bc" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "fa9d937e", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3a08a845", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "fa9d937e", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "1995-06-14", + "lastRegularPaymentDate" : "1996-12-14", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "3a08a845", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "77403682" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "a0c841bc" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "fa9d937e", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "3a08a845", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "3a08a845", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "77403682" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -326,164 +277,225 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4158421", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4158421", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dda5f974" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "7d7ced76" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "dda5f974" } - }, + } ], "meta" : { "globalKey" : "7d7ced76" } - }, - "meta" : { - "globalKey" : "7d7ced76" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "7d7ced76" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "bf09665f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "bf09665f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bf09665f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.bankA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d11100e" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -521,10 +533,10 @@ } } ], "meta" : { - "globalKey" : "bf6c12a5" + "globalKey" : "e12ea8c3" } }, "meta" : { - "globalKey" : "bf6c12a5" + "globalKey" : "e12ea8c3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Tranche_dataRules.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Tranche_dataRules.json index 2a65b3a8de..5fb41dbf15 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Tranche_dataRules.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/invalid-products/Tranche_dataRules.json @@ -1,376 +1,369 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3ad6e637", - "externalReference" : "fyure4" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "33d9d70" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "r65hfd" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "r65hfd" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + } ], + "referencePool" : { + "referencePoolItem" : [ { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Agrium Inc." + }, + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "r65hfd" } - }, { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "uiyn4" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "uiyn4" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "r65hfd" } - } ] - }, - "tranche" : { - "attachmentPoint" : 1.2, - "exhaustionPoint" : 1.1 + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + }, { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "uiyn4" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "uiyn4" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "tranche" : { + "attachmentPoint" : 1.2, + "exhaustionPoint" : 1.1 + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e9aa8989" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "9c1e0569" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "e9aa8989" } }, "meta" : { - "globalKey" : "c515e1ec" + "globalKey" : "9c1e0569" } - }, - "meta" : { - "globalKey" : "c515e1ec" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "c515e1ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6d67b86", - "externalReference" : "tif563d" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3ad6e637", - "externalReference" : "fyure4" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6d67b86", + "externalReference" : "tif563d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3ad6e637", + "externalReference" : "fyure4" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3ad6e637", + "externalReference" : "fyure4" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "33d9d70" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -442,10 +435,10 @@ } }, "meta" : { - "globalKey" : "4d598fc3" + "globalKey" : "27ce000b" } }, "meta" : { - "globalKey" : "4d598fc3" + "globalKey" : "27ce000b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.json index bb2ef79775..a7650bb6e6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-cleared-alpha-trade-CFTC-SEC-and-canada.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789011", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c67" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "1229b6fb" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "1229b6fb" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "db0e608f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "35366fe9", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "35366fe9", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789011", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c67" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -746,7 +729,7 @@ } } ], "meta" : { - "globalKey" : "5c4434bd" + "globalKey" : "5ba4460" } }, "transferHistory" : [ { @@ -797,7 +780,7 @@ } } ], "meta" : { - "globalKey" : "2814462" + "globalKey" : "b506a7c5" } } } @@ -836,6 +819,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "73452435" + "globalKey" : "5dd9383e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.json index 70663c238f..ab3ce73df4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex51-execution-advice-trade-initiation-C01-00.json @@ 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"http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "de6e400c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "de6e400c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "de6e400c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98d05603" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -414,7 +407,7 @@ } } ], "meta" : { - "globalKey" : "9e0d5c64" + "globalKey" : "4ffa6f60" } }, "transferHistory" : [ { @@ -456,7 +449,7 @@ } } ], "meta" : { - "globalKey" : "5f379914" + "globalKey" : "795610" } } } @@ -492,6 +485,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "702f3941" + "globalKey" : "fad9f2c5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.json index b56d7ff4eb..3a2c48b41b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex52-execution-advice-trade-partial-novation-C02-00.json @@ 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"productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - 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"http://www.imgr.com/schemes/entity-id" } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "de6e400c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "de6e400c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "de6e400c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98d05603" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -552,7 +545,7 @@ } } ], "meta" : { - "globalKey" : "33833a85" + "globalKey" : "bcd7ee09" } }, "transferHistory" : [ { @@ -594,7 +587,7 @@ } } ], "meta" : { - "globalKey" : "ecca1cb5" + "globalKey" : "f6a5e639" } } } @@ -630,6 +623,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "adbcaef" + "globalKey" : "3498d22b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json index 8e58bfe67c..ae87fb82a0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json +++ 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"value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { 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"perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "de6e400c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98d05603" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -552,7 +545,7 @@ } } ], "meta" : { - "globalKey" : "33833a85" + "globalKey" : "bcd7ee09" } }, "transferHistory" : [ { @@ -594,7 +587,7 @@ } } ], "meta" : { - "globalKey" : "ecca1cb5" + "globalKey" : "f6a5e639" } } } @@ -630,6 +623,6 @@ } ], "action" : "Correct", "meta" : { - "globalKey" : "b37e5c49" + "globalKey" : "4f11185" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.json index 7431f5186a..bd9378dd38 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex58-execution-advice-trade-initiation-F01-00.json +++ 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: "c9d95f07" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "3edeea" + } + }, + "meta" : { + "globalKey" : "9ca46f04" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX-NAIGHVOLS10.5Y" + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65B3BA0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX-NAIGHVOLS10.5Y" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX-NAIGHVOLS10.5Y" - }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "b1757383" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "b1757383" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda8462" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98dee5c3" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -387,7 +389,7 @@ } } ], "meta" : { - "globalKey" : "2a4383db" + "globalKey" : "7519eb8a" } }, "transferHistory" : [ { @@ -429,7 +431,7 @@ } } ], "meta" : { - "globalKey" : "dcee5f0b" + "globalKey" : "881b193a" } } } @@ -465,6 +467,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "ad3abe23" + "globalKey" : "5f6cbd04" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.json index 179abd159a..29f7180a48 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-ex63-execution-advice-trade-initiation.json @@ -5,131 +5,52 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS2", - "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "afb2105a" - } - } ], - "tradeDate" : { - "value" : "2007-07-27", - "meta" : { - "globalKey" : "3eb9db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "99ecd50c", - "externalKey" : "BCT1" - } - }, - "meta" : { - "globalKey" : "706f885d" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -144,137 +65,141 @@ "globalKey" : "365a0a2f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "b4c01db4", - "externalKey" : "CALC1" + "globalKey" : "d83acb11" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d83acb11" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "1f065e" + "globalKey" : "99ecd50c", + "externalKey" : "BCT1" } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "706f885d" } }, "meta" : { - "globalKey" : "3fe2ea5c" + "globalKey" : "9a6e183f" } }, "meta" : { - "globalKey" : "493035cb" + "globalKey" : "9a6e183f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "1f065e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "b4c01db4", + "externalKey" : "CALC1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "3fe2ea5c" + } + }, + "meta" : { + "globalKey" : "493035cb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "211c224d" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "99ecd50c", @@ -285,32 +210,21 @@ } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "211c224d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "81e1e301", - "externalKey" : "CALC2" + "globalKey" : "c2fce32f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c2fce32f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -326,172 +240,270 @@ } }, "meta" : { - "globalKey" : "b347d10d" + "globalKey" : "634fdb11" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "81e1e301", - "externalReference" : "CALC2" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "536cd230" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "cda103d8", - "externalReference" : "RES2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } + "meta" : { + "globalKey" : "634fdb11" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "cda103d8", - "externalKey" : "RES2" + "globalKey" : "1f065e" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "45e87af8" + "globalKey" : "365a0a2f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "e373b7cd" + "globalKey" : "81e1e301", + "externalKey" : "CALC2" } - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0987, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b347d10d" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "81e1e301", + "externalReference" : "CALC2" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "536cd230" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "cda103d8", + "externalReference" : "RES2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "cda103d8", + "externalKey" : "RES2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "45e87af8" } } ], "meta" : { - "globalKey" : "83890fee" + "globalKey" : "e373b7cd" } - }, { - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } + }, + "meta" : { + "globalKey" : "e373b7cd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0987, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "JPY-BBSF-Bloomberg-15:00" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "83890fee" + } + }, { + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7ce2984e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "98985a5b", - "externalReference" : "FIRST" + }, + "meta" : { + "globalKey" : "45b8ec09" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "98985a5b", + "externalReference" : "FIRST" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS2", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "afb2105a" + } + } ], + "tradeDate" : { + "value" : "2007-07-27", + "meta" : { + "globalKey" : "3eb9db" + } }, "party" : [ { "partyId" : [ { @@ -606,11 +618,11 @@ } } ], "meta" : { - "globalKey" : "1bca20fd" + "globalKey" : "98be33e6" } }, "meta" : { - "globalKey" : "1bca20fd" + "globalKey" : "98be33e6" } } } @@ -646,6 +658,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "b2882ce3" + "globalKey" : "fff64712" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.json index d836bfea98..a63454a1a5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-alpha-trade-CFTC-SEC-and-canada.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "1229b6fb" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "1229b6fb" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "db0e608f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "35366fe9", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "35366fe9", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -746,7 +729,7 @@ } } ], "meta" : { - "globalKey" : "2755d41c" + "globalKey" : "13c66e3f" } }, "transferHistory" : [ { @@ -797,7 +780,7 @@ } } ], "meta" : { - "globalKey" : "11698281" + "globalKey" : "4d29064" } } } @@ -836,6 +819,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "4960b8eb" + "globalKey" : "1c32d774" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.json index c9fecd817d..10e6ee20e4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-beta-trade-CFTC-SEC-and-canada.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "1229b6fb" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "1229b6fb" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "db0e608f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a3344cf2", + "externalReference" : "clearing-svc" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "35366fe9", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a3344cf2", - "externalReference" : "clearing-svc" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "35366fe9", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -689,7 +672,7 @@ } } ], "meta" : { - "globalKey" : "356f35ce" + "globalKey" : "acf3f78b" } }, "transferHistory" : [ { @@ -740,7 +723,7 @@ } } ], "meta" : { - "globalKey" : "715da5af" + "globalKey" : "d909cbac" } } } @@ -782,6 +765,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "519d285a" + "globalKey" : "a1261d59" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.json index 4ae09a044a..13950ae7a2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-SEC-and-canada.json @@ -111,339 +111,322 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "12345678901234567890123456789012", + "value" : "X123", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.theice.com/coding-scheme/product-id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "96fa356" } } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SecurityBasedSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" + } } } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SecurityBasedSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/sec-product-category" - } - } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credi Default Swap", + "meta" : { + "scheme" : "http://www.theice.com/coding-scheme/product-name" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credi Default Swap", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-name" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "meta" : { + "globalKey" : "3ec8da" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : 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}, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "X123", - "meta" : { - "scheme" : "http://www.theice.com/coding-scheme/product-id" - } + "transactedPrice" : { + "marketFixedRate" : 0.02 }, - "source" : "Other", "meta" : { - "globalKey" : "96fa356" + "globalKey" : "c847dc2a" } - } ], + }, "meta" : { - "globalKey" : "1229b6fb" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "1229b6fb" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } + "meta" : { + "globalKey" : "db0e608f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" }, "meta" : { - "globalKey" : "1f7333" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5da152cd", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "35366fe9", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", "meta" : { - "globalKey" : "280b774f" + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5da152cd", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "35366fe9", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -746,7 +729,7 @@ } } ], "meta" : { - "globalKey" : "2755d41c" + "globalKey" : "13c66e3f" } }, "transferHistory" : [ { @@ -797,7 +780,7 @@ } } ], "meta" : { - "globalKey" : "11698281" + "globalKey" : "4d29064" } } } @@ -836,6 +819,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "7ad32f5e" + "globalKey" : "c0d2a2d7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-clearing.json index d0733b9933..c02e36ec33 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-new-trade-CFTC-clearing.json @@ -93,297 +93,290 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "FCHUXIINML", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" } } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "ce80645" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678901234567890123456789012", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "globalKey" : "3ec8da" } - } - } ], - "meta" : { - "globalKey" : "671d1c86" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "meta" : { + "globalKey" : "3ef194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-pair-1-0" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } }, - "nonStandardisedTerms" : true + "transactedPrice" : { + "marketFixedRate" : 0.02 + }, + "meta" : { + "globalKey" : "c847dc2a" + } }, "meta" : { - "globalKey" : "10aba0e2" + "globalKey" : "bd438fa6" } }, - "meta" : { - "globalKey" : "10aba0e2" - } + "nonStandardisedTerms" : true }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "10aba0e2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "20e98d8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "20e98d8a" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] + } ], + "meta" : { + "globalKey" : "280b774f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9c0c8140", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a3344cf2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "FCHUXIINML", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9c0c8140", - "externalReference" : "party2" + "meta" : { + "globalKey" : "ce80645" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a3344cf2", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } - } ] + } ], + "meta" : { + "globalKey" : "671d1c86" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -618,7 +611,7 @@ } } ], "meta" : { - "globalKey" : "1cafc732" + "globalKey" : "aa11f368" } }, "transferHistory" : [ { @@ -669,7 +662,7 @@ } } ], "meta" : { - "globalKey" : "2be6117" + "globalKey" : "a76de0cd" } } } @@ -717,6 +710,6 @@ "workflowStatus" : "Cleared" }, "meta" : { - "globalKey" : "f757cf0e" + "globalKey" : "7ad93a44" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy-swap.json index ed1d0aaf5a..c6a00923bf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy-swap.json @@ -190,331 +190,280 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789013", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f4e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notl1" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "meta" : { - "globalKey" : "12a6f5" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notl1" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec0f763e" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-02-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "814e2ae6", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "57d0de37" - } - }, - "meta" : { - "globalKey" : "c15a1c71" - } - }, - "meta" : { - "globalKey" : "c15a1c71" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-02-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "814e2ae6", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "57d0de37" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "fbb27399", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "c15a1c71" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "c15a1c71" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "fbb27399", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "fbb27399", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "2baa425" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "fbb27399", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "notl2" + "globalKey" : "21479e" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "globalKey" : "12a6f5" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "2baa425" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notl2" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12a6f5" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "meta" : { - "globalKey" : "ec0f763e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "133f9387" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "133f9387" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "meta" : { + "globalKey" : "ec0f763e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -529,165 +478,228 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "ef914f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "133f9387" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "133f9387" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "ef914f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "e216dd7c" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "6a7a08e1" + "globalKey" : "9e3bcf2b" } }, - "nonStandardisedTerms" : false - }, + "meta" : { + "globalKey" : "e216dd7c" + } + } ], "meta" : { - "globalKey" : "e4c71814" + "globalKey" : "6a7a08e1" } }, - "meta" : { - "globalKey" : "e4c71814" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "e4c71814" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a0325171" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f90337b5" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000.00, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000.00, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "ce3ac9dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "20d01c41", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "ce3ac9dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "20d01c41", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789013", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f4e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -806,11 +818,11 @@ } } ], "meta" : { - "globalKey" : "436393c1" + "globalKey" : "dece7c65" } }, "meta" : { - "globalKey" : "436393c1" + "globalKey" : "dece7c65" } } } @@ -849,6 +861,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "b105783b" + "globalKey" : "d2d6bbbf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy.json index e0abd5813b..246ea03ade 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination-xccy.json @@ -100,207 +100,180 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } ], + }, "meta" : { - "globalKey" : "90c7297" + "globalKey" : "0" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "1881e51e" - } - }, - "meta" : { - "globalKey" : "1881e51e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9, - "unit" : { - "currency" : { - "value" : "USD" + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - }, - "priceType" : "ExchangeRate" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "c600712a" } } ], - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "c600712a" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "fa0db8eb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 18000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 18000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "EUR" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "22e959be" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20d01c41", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3b9fcdcf" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "20d01c41", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -439,11 +412,11 @@ } } ], "meta" : { - "globalKey" : "4eb74021" + "globalKey" : "5425f423" } }, "meta" : { - "globalKey" : "4eb74021" + "globalKey" : "5425f423" } } } @@ -482,6 +455,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "3308e255" + "globalKey" : "6a5b6e57" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination.json index 0d16ae40e8..65d1f4f050 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/processes/msg-partial-termination.json @@ -80,325 +80,283 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", + "product" : { + "identifier" : [ { + "identifier" : { + "value" : "SWI-ST-USD-IRS" + }, + "source" : "Other", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "globalKey" : "dff03671" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "712345678901234567890123456789012", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } ], + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "88f03f2f" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2011-02-12", - "meta" : { - "globalKey" : "3ed88c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec0f7dc0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "USLA" - } ], - "meta" : { - "globalKey" : "4fc9cca", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "9885f05b" - } - }, - "meta" : { - "globalKey" : "d306c6d3" - } - }, - "meta" : { - "globalKey" : "d306c6d3" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "USLA" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "4fc9cca", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "9885f05b" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "7ba59ae9", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "d306c6d3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "d306c6d3" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "7ba59ae9", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "7ba59ae9", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "8264052a" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "7ba59ae9", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "8264052a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "58821cc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58821cc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -413,186 +371,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "da8c707a", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "58821cc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc9cca", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "58821cc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dee3a99e" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "82d9a48" + "globalKey" : "da8c707a", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "SWI-ST-USD-IRS" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "4fc9cca", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "2ad6e87a" + } }, - "source" : "Other", "meta" : { - "globalKey" : "dff03671" + "globalKey" : "dee3a99e" } } ], "meta" : { - "globalKey" : "63e7a62" + "globalKey" : "82d9a48" } }, - "meta" : { - "globalKey" : "63e7a62" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 7500000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "67620be2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 7500000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "90ac0ddb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "ad39658b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 7500000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 7500000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "37d33d23" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "20d01c41", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "37d33d23" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "20d01c41", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -711,11 +723,11 @@ } } ], "meta" : { - "globalKey" : "b0cd5b5e" + "globalKey" : "bffff44e" } }, "meta" : { - "globalKey" : "b0cd5b5e" + "globalKey" : "bffff44e" } } } @@ -754,6 +766,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "78362c0c" + "globalKey" : "34b4e774" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.json index 3a3dff4e70..8b4df0b2aa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex01-gas-swap-daily-delivery-prices-last.json @@ -1,407 +1,396 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a4ce2c" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25a4ce2c" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a53eca" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25a53eca" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2006-06-01", - "meta" : { - "globalKey" : "3eb181" - } - }, - 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"globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-06-01", + "meta" : { + "globalKey" : "3eb181" + } }, "party" : [ { "partyId" : [ { @@ -489,10 +478,10 @@ } }, "meta" : { - "globalKey" : "87aa02f6" + "globalKey" : "bd389287" } }, "meta" : { - "globalKey" : "87aa02f6" + "globalKey" : "bd389287" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.json index 2f197e07f7..cbeb03c256 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex02-gas-swap-prices-first-day.json @@ -1,381 +1,379 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a6aeac" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25a6aeac" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - 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] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-07-28", + "meta" : { + "globalKey" : "3eb1dc" + } }, "party" : [ { "partyId" : [ { @@ -477,10 +475,10 @@ } }, "meta" : { - "globalKey" : "c74a8ce7" + "globalKey" : "e4d8e92f" } }, "meta" : { - "globalKey" : "c74a8ce7" + "globalKey" : "e4d8e92f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.json index b6645f81f1..eb8134c46d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex05-gas-v-electricity-spark-spread.json @@ -1,446 +1,440 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_Basis" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e0de2c" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25e0de2c" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e14eca" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25e14eca" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2008-06-11", - "meta" : { - "globalKey" : "3ec18b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_Basis" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25e0de2c" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "25e0de2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25e14eca" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25e14eca" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "commodityPriceReturnTerms" : { - "spread" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "commodityPriceReturnTerms" : { + "spread" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLeg1CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2c4cb386" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - }, - "meta" : { - "globalKey" : "18b966e5" - } - }, - "meta" : { - "globalKey" : "840b4d61" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "averagingFeature" : { - "averagingMethod" : { - "isWeighted" : false, - "calculationMethod" : "Arithmetic" - } - }, - "commodityPriceReturnTerms" : { - "conversionFactor" : 0.4913 - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Calendar", - "dayDistribution" : "All", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "DowJonesPower" - } ], - "meta" : { - "globalKey" : "e1cbae2a" - } - } - } - }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + } + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" + } ], "meta" : { - "globalKey" : "2c4cb386" + "globalKey" : "acc66859" } + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLeg1CalculationPeriods" }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-MID-COLUMBIA FIRM (ON-PEAK)-DOW JONES POWER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" - }, - "meta" : { - "globalKey" : "545278bd" - } + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "a5abbab" + "globalKey" : "3a4b88ab" } - } ], + }, "meta" : { - "globalKey" : "34b0450c" + "globalKey" : "2c4cb386" } - } - }, - "meta" : { - "globalKey" : "cd31842a" - } - }, - "meta" : { - "globalKey" : "cd31842a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : -1.45, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USMMBTU" - }, - "priceType" : "AssetPrice", - "arithmeticOperator" : "Add" }, - "meta" : { - "location" : [ { + "underlier" : { + "address" : { "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "f95d4f04" } - } ], - "quantity" : [ { - "value" : { - "value" : 15000.0, - "unit" : { - "capacityUnit" : "USMMBTU" + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "frequency" : { - "periodMultiplier" : 1, + "meta" : { + "globalKey" : "0" + } + }, + "averagingFeature" : { + "averagingMethod" : { + "isWeighted" : false, + "calculationMethod" : "Arithmetic" + } + }, + "commodityPriceReturnTerms" : { + "conversionFactor" : 0.4913 + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Calendar", + "dayDistribution" : "All", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "DowJonesPower" + } ], + "meta" : { + "globalKey" : "e1cbae2a" + } + } + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, "period" : "D", "meta" : { - "globalKey" : "63" + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "2c4cb386" } }, - "meta" : { - "location" : [ { + "underlier" : { + "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 465000.0, - "unit" : { - "capacityUnit" : "USMMBTU" + "value" : "Commodity-2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "globalKey" : "eea90cd2" } } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } + "meta" : { + "globalKey" : "5ff7ea4e" + } + } + }, + "meta" : { + "globalKey" : "469754ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : -1.45, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "AssetPrice", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 15000.0, + "unit" : { + "capacityUnit" : "USMMBTU" + }, + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } } }, "meta" : { - "globalKey" : "d7b2a4fc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 15000.0, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", + "value" : { + "value" : 465000.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, "meta" : { - "globalKey" : "63" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - }, { - "value" : { - "value" : 465000.0, - "unit" : { - "capacityUnit" : "USMMBTU" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d5699c3c" + } + }, { + "quantity" : [ { + "value" : { + "value" : 15000.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 465000.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-MID-COLUMBIA FIRM (ON-PEAK)-DOW JONES POWER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ELECTRICITY-MID-COLUMBIA FIRM (ON-PEAK)-DOW JONES POWER", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "MeanOfHighAndLow" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } ] + } } } }, "meta" : { - "globalKey" : "e0cfde0d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "23417acd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2008-06-11", + "meta" : { + "globalKey" : "3ec18b" + } }, "party" : [ { "partyId" : [ { @@ -528,10 +522,10 @@ } }, "meta" : { - "globalKey" : "af4fb770" + "globalKey" : "1eca70ae" } }, "meta" : { - "globalKey" : "af4fb770" + "globalKey" : "1eca70ae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.json index 76bcc9d31c..cfa9bdf278 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex06-gas-call-option.json @@ -1,310 +1,301 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2568be2c" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "2568be2c" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2004-05-17", - "meta" : { - "globalKey" : "3ea151" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2568be2c" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "2568be2c" + "globalKey" : "0" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5f333497" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE" - } - }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", "meta" : { "globalKey" : "5f333497" - } - }, - "meta" : { - "globalKey" : "80c9229e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, - 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"acc66859" - } - } - } - } + "balanceOfFirstPeriod" : false }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "ScheduledTradingDay", + "dayDistribution" : "Penultimate", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } + "meta" : { + "globalKey" : "acc66859" } - }, - "meta" : { - "globalKey" : "18b966e5" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2004-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25692eca" - } - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2004-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25692eca" + "globalKey" : "3a4b88ab" } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - }, - "followUpConfirmation" : false }, "meta" : { - "globalKey" : "d3778b41" - } - }, - "strike" : { - "strikePrice" : { - "value" : 2.7, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USMMBTU" - }, - "priceType" : "AssetPrice" + "globalKey" : "25692eca" } }, "meta" : { - "globalKey" : "6ffc6e90" + "globalKey" : "25692eca" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + }, + "followUpConfirmation" : false + }, "meta" : { - "globalKey" : "6ffc6e90" + "globalKey" : "d3778b41" } + }, + "strike" : { + "strikePrice" : { + "value" : 2.7, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "ef9065d5" } - }, + } ], "meta" : { - "globalKey" : "bec6d5e4" + "globalKey" : "ef9065d5" } - }, - "meta" : { - "globalKey" : "bec6d5e4" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1700000, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "period" : "T", - "meta" : { - "globalKey" : "54" - } - } + "meta" : { + "globalKey" : "5c002629" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1700000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 1700000, - "unit" : { - "capacityUnit" : "USMMBTU" + "frequency" : { + "period" : "T", + "meta" : { + "globalKey" : "54" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1700000, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "3dbfad19" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "df4b4dd9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2004-05-17", + "meta" : { + "globalKey" : "3ea151" + } }, "party" : [ { "partyId" : [ { @@ -392,7 +383,7 @@ } }, "meta" : { - "globalKey" : "c32d0d6e" + "globalKey" : "ed0e2109" } }, "transferHistory" : [ { @@ -443,6 +434,6 @@ } } ], "meta" : { - "globalKey" : "17431f81" + "globalKey" : "8d19d21c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex07-gas-put-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex07-gas-put-option.json index 941694539a..0098f8d076 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex07-gas-put-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex07-gas-put-option.json @@ -1,304 +1,295 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c1e5ec" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "25c1e5ec" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2007-04-10", - "meta" : { - "globalKey" : "3eb90a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c1e5ec" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25c1e5ec" + "globalKey" : "0" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - 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"externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } + "meta" : { + "globalKey" : "5f333497" + } + }, + "meta" : { + "globalKey" : "80c9229e" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "CalculationPeriods" }, - "observationDates" : { - "parametricDates" : { - "dayType" : "ScheduledTradingDay", - "dayDistribution" : "Penultimate", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - } + "balanceOfFirstPeriod" : false }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "ScheduledTradingDay", + "dayDistribution" : "Penultimate", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } + "meta" : { + "globalKey" : "acc66859" } - }, - "meta" : { - "globalKey" : "18b966e5" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c252c9" - } - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c252c9" + "globalKey" : "3a4b88ab" } - } ], + }, "meta" : { - "globalKey" : "599cfada" - } - }, - "strike" : { - "strikePrice" : { - "value" : 6.6, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USMMBTU" - }, - "priceType" : "AssetPrice" + "globalKey" : "25c252c9" } }, "meta" : { - "globalKey" : "12a379eb" + "globalKey" : "25c252c9" } } ], "meta" : { - "globalKey" : "12a379eb" + "globalKey" : "599cfada" } + }, + "strike" : { + "strikePrice" : { + "value" : 6.6, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "3a77dbb0" } - }, + } ], "meta" : { - "globalKey" : "b7ea9b7f" + "globalKey" : "3a77dbb0" } - }, - "meta" : { - "globalKey" : "b7ea9b7f" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1500000, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "period" : "T", - "meta" : { - "globalKey" : "54" - } - } + "meta" : { + "globalKey" : "5cdc2644" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1500000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 1500000, - "unit" : { - "capacityUnit" : "USMMBTU" + "frequency" : { + "period" : "T", + "meta" : { + "globalKey" : "54" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1500000, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "42ebb359" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "c68a3419" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2007-04-10", + "meta" : { + "globalKey" : "3eb90a" + } }, "party" : [ { "partyId" : [ { @@ -386,7 +377,7 @@ } }, "meta" : { - "globalKey" : "8e4f55b3" + "globalKey" : "5b589c4e" } }, "transferHistory" : [ { @@ -437,6 +428,6 @@ } } ], "meta" : { - "globalKey" : "32b4b08e" + "globalKey" : "f30a9629" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex08-oil-call-option-strip.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex08-oil-call-option-strip.json index c639299eb1..22d197ae0c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex08-oil-call-option-strip.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex08-oil-call-option-strip.json @@ -1,343 +1,327 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-08-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e1ce6c" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "25e1ce6c" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2008-02-05", - "meta" : { - "globalKey" : "3ec085" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-08-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5f333497" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, "meta" : { - "globalKey" : "25e1ce6c" + "globalKey" : "5f333497" } }, "meta" : { - "globalKey" : "25e1ce6c" + "globalKey" : "80c9229e" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "buyerSeller" : { + "buyer" : "Party1", + "seller" : 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"globalKey" : "25e32b89" + } + }, { + "adjustableDate" : { + "unadjustedDate" : "2008-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "11e9" + "globalKey" : "3a4b88ab" } }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } + "meta" : { + "globalKey" : "25e41f8a" } }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "GAS OIL-IPE", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - } - }, - "meta" : { - "globalKey" : "15a6e6ec" + "meta" : { + "globalKey" : 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"quantity-2" + } ] + } + }, { + "value" : { + "value" : 30000, + "unit" : { + "capacityUnit" : "MT" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "GAS OIL-IPE", "meta" : { - "globalKey" : "25e23b49" + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" } }, - "meta" : { - "globalKey" : "25e23b49" - } - }, { - "adjustableDate" : { - "unadjustedDate" : "2008-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "25e32b89" + "globalKey" : "6c" } }, - "meta" : { - "globalKey" : "25e32b89" - } - }, { - "adjustableDate" : { - "unadjustedDate" : "2008-10-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { - "globalKey" : "25e41f8a" + "globalKey" : "63" } - }, - "meta" : { - "globalKey" : "25e41f8a" } - } ], - "meta" : { - "globalKey" : "dc97c7ad" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1120, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "MT" - }, - "priceType" : "AssetPrice" } }, "meta" : { - "globalKey" : "3587542" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } - } ], - "meta" : { - "globalKey" : "3587542" } } }, "meta" : { - "globalKey" : "4b673556" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "4b673556" + "globalKey" : "406d197c" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "capacityUnit" : "MT" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 30000, - "unit" : { - "capacityUnit" : "MT" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "GAS OIL-IPE", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - } - } - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "3ce86c7c" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2008-02-05", + "meta" : { + "globalKey" : "3ec085" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +409,7 @@ } }, "meta" : { - "globalKey" : "af101039" + "globalKey" : "10ba6499" } }, "transferHistory" : [ { @@ -476,6 +460,6 @@ } } ], "meta" : { - "globalKey" : "a1aa689a" + "globalKey" : "90b59cfa" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex09-oil-put-option-american.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex09-oil-put-option-american.json index 7820ecc0e0..ce849a3866 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex09-oil-put-option-american.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex09-oil-put-option-american.json @@ -1,328 +1,303 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec3028aa" - } - }, { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : 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"expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2009-01-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f96df7", - "externalKey" : "expirationDate" + "globalKey" : "3a4b88ab" } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - }, - "followUpConfirmation" : false }, "meta" : { - "globalKey" : "514df6b7" - } - }, - "strike" : { - "strikePrice" : { - "value" : 78.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "BBL" - }, - "priceType" : "AssetPrice" + "globalKey" : "25f96df7" } }, "meta" : { - "globalKey" : "a1df88ba" + "globalKey" : "25f96df7", + "externalKey" : "expirationDate" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + }, + "followUpConfirmation" : false + }, "meta" : { - "globalKey" : "a1df88ba" + "globalKey" : "514df6b7" } }, - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" + "strike" : { + "strikePrice" : { + "value" : 78.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "BBL" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "ae56ee94" } - }, + } ], "meta" : { - "globalKey" : "172719e5" + "globalKey" : "ae56ee94" } }, - "meta" : { - "globalKey" : "172719e5" + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 12000, - "unit" : { - "capacityUnit" : "BBL" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "e35c713f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 12000, + "unit" : { + "capacityUnit" : "BBL" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 12000, - "unit" : { - "capacityUnit" : "BBL" + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 12000, + "unit" : { + "capacityUnit" : "BBL" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-BRENT-IPE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "IFEU" - }, - "meta" : { - "globalKey" : "223e8d" - } - }, - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "period" : "M", + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-BRENT-IPE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "IFEU" + }, "meta" : { - "globalKey" : "4d" + "globalKey" : "223e8d" } }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "period" : "M", + "meta" : { + "globalKey" : "4d" + } }, - "dayType" : "Business" + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "a36ef17c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "467cbd7c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec3028aa" + } + }, { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec309d09" + } + } ], + "tradeDate" : { + "value" : "2008-10-27", + "meta" : { + "globalKey" : "3ec29b" + } }, "party" : [ { "partyId" : [ { @@ -408,7 +383,7 @@ } }, "meta" : { - "globalKey" : "3ad2a486" + "globalKey" : "a019be0e" } }, "transferHistory" : [ { @@ -459,6 +434,6 @@ } } ], "meta" : { - "globalKey" : "890d8376" + "globalKey" : "3a8284fe" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-listedoption-date.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-listedoption-date.json index 1fbdca7521..91deeeb51c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-listedoption-date.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex27-wti-put-option-asian-listedoption-date.json @@ -1,315 +1,306 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "CommodityOption", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c1e5ec" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "25c1e5ec" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2007-04-10", - "meta" : { - "globalKey" : "3eb90a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "CommodityOption", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5f333497" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, "meta" : { - "globalKey" : "25c1e5ec" + "globalKey" : "5f333497" } }, "meta" : { - "globalKey" : "25c1e5ec" + "globalKey" : "80c9229e" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "11e9", + "externalKey" : "CalculationPeriods" }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5f333497" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE" - } - }, - "meta" : { - "globalKey" : "5f333497" - } - }, - "meta" : { - "globalKey" : "80c9229e" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "balanceOfFirstPeriod" : false }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-OIL" - } ], - "meta" : { - "globalKey" : "ae251688" - } - } - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-OIL" } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } + "meta" : { + "globalKey" : "ae251688" } - }, - "meta" : { - "globalKey" : "4c00df14" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c252c9" - } - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c252c9" + "globalKey" : "3a4b88ab" } - } ], + }, "meta" : { - "globalKey" : "599cfada" - } - }, - "strike" : { - "strikePrice" : { - "value" : 88, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "BBL" - }, - "priceType" : "AssetPrice" + "globalKey" : "25c252c9" } }, "meta" : { - "globalKey" : "e3ae6303" + "globalKey" : "25c252c9" } } ], "meta" : { - "globalKey" : "e3ae6303" + "globalKey" : "599cfada" } + }, + "strike" : { + "strikePrice" : { + "value" : 88, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "BBL" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "2ee78817" } - }, + } ], "meta" : { - "globalKey" : "d935d665" + "globalKey" : "2ee78817" } - }, - "meta" : { - "globalKey" : "d935d665" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000, - "unit" : { - "capacityUnit" : "BBL" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "7c636df9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000, + "unit" : { + "capacityUnit" : "BBL" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 15000, - "unit" : { - "capacityUnit" : "BBL" + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000, + "unit" : { + "capacityUnit" : "BBL" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "f8d413c6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "412af5c6" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2007-04-10", + "meta" : { + "globalKey" : "3eb90a" + } }, "party" : [ { "partyId" : [ { @@ -397,7 +388,7 @@ } }, "meta" : { - "globalKey" : "1561c02a" + "globalKey" : "648099be" } }, "transferHistory" : [ { @@ -448,6 +439,6 @@ } } ], "meta" : { - "globalKey" : "961ce605" + "globalKey" : "486d4399" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.json index b17dc99bae..ae32e4fd0c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex28-gas-swap-daily-delivery-prices-option-last.json @@ -1,417 +1,406 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "CommoditySwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + 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"issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-06-01", + "meta" : { + "globalKey" : "3eb181" + } }, "party" : [ { "partyId" : [ { @@ -499,10 +488,10 @@ } }, "meta" : { - "globalKey" : "1e013ea4" + "globalKey" : "678f5b37" } }, "meta" : { - "globalKey" : "1e013ea4" + "globalKey" : "678f5b37" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.json index e41fd3089a..13504c14d0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex41-oil-asian-barrier-option-strip.json @@ -1,333 +1,324 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7fd57548", - "externalReference" : "PartyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UVXY54321", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" + } + }, { + "source" : "Other", + "value" : { + "name" : { + 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- } - }, - "meta" : { - "globalKey" : "2673b5ca" - } - }, + "meta" : { + "globalKey" : "2672ba47" + } + }, { + "adjustableDate" : { + "unadjustedDate" : "2013-03-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2673b5ca" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "3dfd0ea3" + "globalKey" : "2673b5ca" } }, "meta" : { - "globalKey" : "6e98b82c" + "globalKey" : "2673b5ca" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "6e98b82c" + "globalKey" : "3dfd0ea3" } + }, + "meta" : { + "globalKey" : "a12e5c18" } - }, + } ], "meta" : { - "globalKey" : "e4b3ea41" + "globalKey" : "a12e5c18" } - }, - "meta" : { - "globalKey" : "e4b3ea41" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "capacityUnit" : "BBL" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "5bc8346d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "BBL" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 30000, - "unit" : { - "capacityUnit" : "BBL" + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 30000, + "unit" : { + "capacityUnit" : "BBL" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-BRENT-IPE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-3-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-BRENT-IPE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-3-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "7f8efb92" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4041c228", - "externalReference" : "PartyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7fd57548", - "externalReference" : "PartyA" + }, + "meta" : { + "globalKey" : "21cb1d92" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4041c228", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7fd57548", + "externalReference" : "PartyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7fd57548", + "externalReference" : "PartyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UVXY54321", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f758c676" + } + } ], + "tradeDate" : { + "value" : "2012-11-15", + "meta" : { + "globalKey" : "3ee2cf", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -372,7 +363,7 @@ } } ], "meta" : { - "globalKey" : "5f80ddab" + "globalKey" : "cf01bbeb" } }, "transferHistory" : [ { @@ -437,6 +428,6 @@ } } ], "meta" : { - "globalKey" : "9aaac39e" + "globalKey" : "1e9e1d5e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex46-simple-financial-put-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex46-simple-financial-put-option.json index 3b3ee5d056..9c3efa95ad 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex46-simple-financial-put-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/commodity/com-ex46-simple-financial-put-option.json @@ -1,302 +1,302 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1bf2f883", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "GHJK0987", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "265adeac" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "265adeac" } - } - } ], - "meta" : { - "globalKey" : "c8340faf" - } - } ], - "tradeDate" : { - "value" : "2012-04-10", - "meta" : { - "globalKey" : "3ee10a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "265adeac" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "265b4b89" + } + }, + "meta" : { + "globalKey" : "265b4b89" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "265adeac" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5951832e" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING" } }, "meta" : { - "globalKey" : "265b4b89" + "globalKey" : "5951832e" } }, "meta" : { - "globalKey" : "265b4b89" + "globalKey" : "7ae77135" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5951832e" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING" - } - }, - "meta" : { - "globalKey" : "5951832e" - } + "globalKey" : "11e9", + "externalKey" : "CalculationPeriods" }, - "meta" : { - "globalKey" : "7ae77135" - } + "balanceOfFirstPeriod" : false }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "GAS-DAILY-PRICE-GUIDE" + } ], "meta" : { - "globalKey" : "11e9" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "GAS-DAILY-PRICE-GUIDE" - } ], - "meta" : { - "globalKey" : "3c9a52fa" - } - } + "globalKey" : "3c9a52fa" } } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc389813" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "95ec4b9b" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "externalReference" : "PricingDate" - } - }, - "meta" : { - "globalKey" : "95ec4b9b" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "95ec4b9b" }, - "meta" : { - "globalKey" : "a48309e3" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1.9500, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USMMBTU" - }, - "priceType" : "AssetPrice" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "PricingDate" } }, "meta" : { - "globalKey" : "f619309b" + "globalKey" : "95ec4b9b" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f619309b" + "globalKey" : "a48309e3" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1.9500, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "13b9648" } - }, + } ], "meta" : { - "globalKey" : "ff46af22" + "globalKey" : "13b9648" } }, - "meta" : { - "globalKey" : "ff46af22" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "10cd274f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 300000, - "unit" : { - "capacityUnit" : "USMMBTU" + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", + "meta" : { + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Mid" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "ba5fda9e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "fc9b469a", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "cccfe45e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1bf2f883", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "fc9b469a", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1bf2f883", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "1bf2f883", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1bf2f883", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "GHJK0987", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "1bf2f883", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "c8340faf" + } + } ], + "tradeDate" : { + "value" : "2012-04-10", + "meta" : { + "globalKey" : "3ee10a" + } }, "party" : [ { "partyId" : [ { @@ -387,7 +387,7 @@ } }, "meta" : { - "globalKey" : "97e909eb" + "globalKey" : "96b9bf1c" } }, "transferHistory" : [ { @@ -438,6 +438,6 @@ } } ], "meta" : { - "globalKey" : "beaee654" + "globalKey" : "c12f5885" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.json index fb527e93eb..715191949c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex01-correlation-swap.json @@ -1,342 +1,366 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : 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"value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "ff5e9727" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "ee615251" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ee615251" + "globalKey" : "7b1c2a58" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" }, - "tradeLot" : [ { - "priceQuantity" : [ { - 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"http://www.partyB.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "kom722" - } ] - } ] + "meta" : { + "globalKey" : "ef1edd3e" + } + } ], + "tradeDate" : { + "value" : "2007-01-05", + "meta" : { + "globalKey" : "3eb845" + } }, "party" : [ { "partyId" : [ { @@ -422,10 +446,10 @@ } }, "meta" : { - "globalKey" : "c542e901" + "globalKey" : "a2f8e816" } }, "meta" : { - "globalKey" : "c542e901" + "globalKey" : "a2f8e816" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json index b053ad9dc8..6451e82b81 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json @@ -1,354 +1,378 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" + } ], + "economicTerms" : { + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "538ca0c6" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "235d2240", + "externalReference" : "sd2344" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + "globalKey" : "538ca0c6" } - } - } ], - "meta" : { - "globalKey" : "fde00dd4" - } - } ], - "tradeDate" : { - "value" : "2007-05-01", - "meta" : { - "globalKey" : "3eb941", - "externalKey" : "td9202" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "538ca0c6" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "235d2240", - "externalReference" : "sd2344" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "538ca0c6" + "globalKey" : "0" } }, - "payout" : { - 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"identifierType" : "ISIN" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS" - }, - "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XNAS" - }, - "meta" : { - "globalKey" : "292da8" - } - } ], - "securityType" : "Equity" + }, + "relatedExchange" : [ { + "name" : { + "value" : "XNAS" + }, + "meta" : { + "globalKey" : "292da8" } - } - } - } ] - }, - "meta" : { - "globalKey" : "cfaac85c" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "dividendApplicability" : { - "allDividends" : false - }, - "expectedN" : 30, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + } ], + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "bce50a6a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "bce50a6a" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "c7bfb3ce" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "c7bfb3ce" + "globalKey" : "e7760ed8" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "f19667ef" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - } ] - } ] + "meta" : { + "globalKey" : "fde00dd4" + } + } ], + "tradeDate" : { + "value" : "2007-05-01", + "meta" : { + "globalKey" : "3eb941", + "externalKey" : "td9202" + } }, "party" : [ { "partyId" : [ { @@ -457,10 +481,10 @@ } } ], "meta" : { - "globalKey" : "572acd80" + "globalKey" : "eb55c22f" } }, "meta" : { - "globalKey" : "572acd80" + "globalKey" : "eb55c22f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json index 8ec347e153..523512316f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json @@ -1,365 +1,389 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" + } ], + "economicTerms" : { + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "538ca0c6" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "82e2774", + "externalReference" : "sd2344" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + "globalKey" : "538ca0c6" } - } - } ], - "meta" : { - "globalKey" : "fde00dd4" - } - } ], - "tradeDate" : { - "value" : "2005-11-07", - "meta" : { - "globalKey" : "3eaac7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "538ca0c6" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "82e2774", - "externalReference" : "sd2344" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "538ca0c6" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "82e2774" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "258bafbb", + "externalReference" : "vs8292" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "meta" : { + "globalKey" : "82e2774", + "externalKey" : "sd2344" + } + }, + "meta" : { + "globalKey" : "31d36627" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "82e2774" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "258bafbb", - "externalReference" : "vs8292" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "2581954a" + } + }, + "meta" : { + "globalKey" : "2581954a" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-12-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "82e2774", - "externalKey" : "sd2344" + "globalKey" : "258bafbb" } }, "meta" : { - "globalKey" : "31d36627" + "globalKey" : "258bafbb", + "externalKey" : "vs8292" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "258bafbb" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "correlationReturnTerms" : { + "expectedN" : 30, + "correlationStrikePrice" : { + "value" : 0.60123, + "priceType" : "Correlation" + }, + "boundedCorrelation" : { + "lowerBound" : { + "number" : 0.35123 + }, + "upperBound" : { + "number" : 0.85123 + } + }, + "numberOfDataSeries" : 1 + } + }, + "meta" : { + "globalKey" : "979b9437" + } + } ], + "meta" : { + "globalKey" : "979b9437" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "7410eea7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Basket" : { + "basketConstituent" : [ { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "IBM.N", "meta" : { - "globalKey" : "3a4b88ab" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "ABN AMRO HOLDING NV" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "2581954a" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "2581954a" - } + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } } } }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-12-16", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "MSFT.O", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AEGON NV" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "258bafbb" - } - }, - "meta" : { - "globalKey" : "258bafbb", - "externalKey" : "vs8292" + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } - }, - "meta" : { - "globalKey" : "258bafbb" } } }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "ABN AMRO HOLDING NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "MSFT.O", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AEGON NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "B.N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AIR LIQUIDE" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XPAR" + }, + "meta" : { + "globalKey" : "293529" } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "B.N", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AIR LIQUIDE" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + }, + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" } - } - } - } ] - }, - "meta" : { - "globalKey" : "27edba75" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "expectedN" : 30, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + } ], + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "1e148262" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "1e148262" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "e1d11d46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "e1d11d46" + "globalKey" : "b9e8ffb7" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "7372ec75" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } ] - } ] + "meta" : { + "globalKey" : "fde00dd4" + } + } ], + "tradeDate" : { + "value" : "2005-11-07", + "meta" : { + "globalKey" : "3eaac7" + } }, "party" : [ { "partyId" : [ { @@ -468,10 +492,10 @@ } } ], "meta" : { - "globalKey" : "c3e53e5c" + "globalKey" : "21989845" } }, "meta" : { - "globalKey" : "c3e53e5c" + "globalKey" : "21989845" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json index 58eb606a5a..e99bd72386 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json @@ -1,365 +1,389 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" + } ], + "economicTerms" : { + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "538ca0c6" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "75ac6e3", + "externalReference" : "sd2344" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + "globalKey" : "538ca0c6" } - } - } ], - "meta" : { - "globalKey" : "fde00dd4" - } - } ], - "tradeDate" : { - "value" : "2006-11-07", - "meta" : { - "globalKey" : "3eb2c7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "538ca0c6" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "75ac6e3", - "externalReference" : "sd2344" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "538ca0c6" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "75ac6e3" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "25c21a7a", + "externalReference" : "vd8290" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "meta" : { + "globalKey" : "75ac6e3", + "externalKey" : "sd2344" + } + }, + "meta" : { + "globalKey" : "31000596" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-11-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "75ac6e3" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "25c21a7a", - "externalReference" : "vd8290" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25a8a5b2" } }, "meta" : { - "globalKey" : "75ac6e3", - "externalKey" : "sd2344" + "globalKey" : "25a8a5b2" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-06-15", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c21a7a" } }, "meta" : { - "globalKey" : "31000596" + "globalKey" : "25c21a7a", + "externalKey" : "vd8290" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-11-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "25c21a7a" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "correlationReturnTerms" : { + "expectedN" : 30, + "correlationStrikePrice" : { + "value" : 0.60123, + "priceType" : "Correlation" + }, + "boundedCorrelation" : { + "lowerBound" : { + "number" : 0.35123 + }, + "upperBound" : { + "number" : 0.85123 + } + }, + "numberOfDataSeries" : 1 + } + }, + "meta" : { + "globalKey" : "daf9d72f" + } + } ], + "meta" : { + "globalKey" : "daf9d72f" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "58ea539f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Basket" : { + "basketConstituent" : [ { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "IBM.N", "meta" : { - "globalKey" : "3a4b88ab" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "ABN AMRO HOLDING NV" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "25a8a5b2" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "25a8a5b2" - } + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } } } }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-06-15", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "MSFT.O", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AEGON NV" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "25c21a7a" - } - }, - "meta" : { - "globalKey" : "25c21a7a", - "externalKey" : "vd8290" + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } - }, - "meta" : { - "globalKey" : "25c21a7a" } } }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "ABN AMRO HOLDING NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "MSFT.O", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AEGON NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "B.N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AIR LIQUIDE" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XPAR" + }, + "meta" : { + "globalKey" : "293529" } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "B.N", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AIR LIQUIDE" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + }, + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" } - } - } - } ] - }, - "meta" : { - "globalKey" : "27edba75" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "expectedN" : 30, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + } ], + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "6cb9a26a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "6cb9a26a" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "1bae5b4e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "1bae5b4e" + "globalKey" : "b9e8ffb7" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "7372ec75" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - } ] - } ] + "meta" : { + "globalKey" : "fde00dd4" + } + } ], + "tradeDate" : { + "value" : "2006-11-07", + "meta" : { + "globalKey" : "3eb2c7" + } }, "party" : [ { "partyId" : [ { @@ -468,10 +492,10 @@ } } ], "meta" : { - "globalKey" : "22b30986" + "globalKey" : "69437eff" } }, "meta" : { - "globalKey" : "22b30986" + "globalKey" : "69437eff" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex01-long-asia-corp-fixreg-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex01-long-asia-corp-fixreg-versioned.json index 6f24c40624..38450811ab 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex01-long-asia-corp-fixreg-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex01-long-asia-corp-fixreg-versioned.json @@ -1,83 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "RTD3ERTF37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "14710dcb" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -96,341 +44,386 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "fhjgt43" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310860A032", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "e414546d", + "externalReference" : "fhjgt43" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "b883af02" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "004CC9", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "ACOM CO., LTD." - }, - "meta" : { - "globalKey" : "e414546d", - "externalKey" : "fhjgt43" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310860A032", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "e414546d", - "externalReference" : "fhjgt43" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "b883af02" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 1000000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "57e64854" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8f38683" + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true - }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "dfd917a0" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "bb058eae" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "dfd917a0" } }, "meta" : { - "globalKey" : "65d77dee" + "globalKey" : "bb058eae" } }, - "meta" : { - "globalKey" : "65d77dee" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "65d77dee" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "rsf765" + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "f845ge" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "rsf765" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "f845ge" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "RTD3ERTF37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "14710dcb" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +526,10 @@ } }, "meta" : { - "globalKey" : "7ceaa7dc" + "globalKey" : "39cef582" } }, "meta" : { - "globalKey" : "7ceaa7dc" + "globalKey" : "39cef582" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex02-2003-short-asia-corp-fixreg-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex02-2003-short-asia-corp-fixreg-versioned.json index 08cccee732..372a3cf353 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex02-2003-short-asia-corp-fixreg-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex02-2003-short-asia-corp-fixreg-versioned.json @@ -1,275 +1,268 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "trg6836" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "meta" : { + "globalKey" : "3e9305" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3e9305" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "16dc98d0" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "meta" : { - "globalKey" : "3e9305" - } - }, - "meta" : { - "globalKey" : "3e9305" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "meta" : { + "globalKey" : "3ebb05" + } + }, + "meta" : { + "globalKey" : "3ebb05" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "meta" : { - "globalKey" : "3ebb05" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb05" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" } }, "meta" : { - "globalKey" : "6f25196e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "6f25196e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008FAQ" + } ], + "name" : { + "value" : "Aiful Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7abf9ebb", + "externalKey" : "uy6758" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008FAQ" - } ], - "name" : { - "value" : "Aiful Corporation" - }, - "meta" : { - "globalKey" : "7abf9ebb", - "externalKey" : "uy6758" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310504B117", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310504B117", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" + } }, - "primaryObligorReference" : { - "globalReference" : "7abf9ebb", - "externalReference" : "uy6758" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : false, - "obligationDefault" : false, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "multipleHolderObligation" : true - }, - "governmentalIntervention" : true, - "meta" : { - "globalKey" : "7fd736f" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "7fd736f" + "primaryObligorReference" : { + "globalReference" : "7abf9ebb", + "externalReference" : "uy6758" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : false, + "obligationDefault" : false, + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "multipleHolderObligation" : true + }, + "governmentalIntervention" : true, "meta" : { - "globalKey" : "411c1921", - "externalKey" : "cd1236" + "globalKey" : "7fd736f" } }, "meta" : { - "globalKey" : "684f51f3" - } - }, - "calculationAgent" : { - "calculationAgentBusinessCenter" : { - "value" : "JPTO" + "globalKey" : "7fd736f" } + } ], + "meta" : { + "globalKey" : "411c1921", + "externalKey" : "cd1236" } }, "meta" : { - "globalKey" : "d48bbd8e" + "globalKey" : "684f51f3" } }, - "meta" : { - "globalKey" : "d48bbd8e" + "calculationAgent" : { + "calculationAgentBusinessCenter" : { + "value" : "JPTO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "d48bbd8e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7b558f64" - } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "zgr5867g" + } ], + "meta" : { + "globalKey" : "7b558f64" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "trg6836" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "zgr5867g" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "trg6836" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "trg6836" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "16dc98d0" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -339,10 +332,10 @@ } }, "meta" : { - "globalKey" : "b00c69f5" + "globalKey" : "d9ced993" } }, "meta" : { - "globalKey" : "b00c69f5" + "globalKey" : "d9ced993" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor-versioned.json index ed4e8d8538..45cc834803 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor-versioned.json @@ -1,281 +1,274 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "rt4563" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRG858TH30", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3e9304" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "49071ad3" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, + "meta" : { + "globalKey" : "3eba46" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "76102c6b" + }, + "cashSettlementTerms" : [ { + "recoveryFactor" : 0.60, + "meta" : { + "globalKey" : "b9f8" + } + } ] + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "tyr34" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "76102c6b" - }, - "cashSettlementTerms" : [ { - "recoveryFactor" : 0.60, - "meta" : { - "globalKey" : "b9f8" - } - } ] - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tyr34" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tyr34" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tyr34" + } + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } - } ], + }, "meta" : { - "globalKey" : "ead8598d" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "ade3a5bf" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "ead8598d" } }, "meta" : { - "globalKey" : "4aef4a01" + "globalKey" : "ade3a5bf" } - }, - "meta" : { - "globalKey" : "4aef4a01" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4aef4a01" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "u6789r" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "rt4563" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "u6789r" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "rt4563" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "rt4563" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRG858TH30", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "49071ad3" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -366,10 +359,10 @@ } }, "meta" : { - "globalKey" : "c250962a" + "globalKey" : "ea25e738" } }, "meta" : { - "globalKey" : "c250962a" + "globalKey" : "ea25e738" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.json index e1915dcaa7..afaaa7ef0d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-indamt-ex01-short-us-corp-fixreg-versioned.json @@ -1,277 +1,270 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "koy4rt1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "3207a896" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, + "meta" : { + "globalKey" : "3eba46" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0", + "externalKey" : "notional" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notional" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notional" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0", - "externalKey" : "notional" + "globalKey" : "92cc27", + "externalKey" : "jg45d" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "jg45d" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "jg45d" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : false, - "obligationDefault" : false, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" }, - "multipleHolderObligation" : true - }, - "governmentalIntervention" : true, - "meta" : { - "globalKey" : "702698a4" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "702698a4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "jg45d" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : false, + "obligationDefault" : false, + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + }, + "multipleHolderObligation" : true + }, + "governmentalIntervention" : true, "meta" : { - "globalKey" : "c44c7ba" + "globalKey" : "702698a4" } }, "meta" : { - "globalKey" : "39adcf6c" + "globalKey" : "702698a4" } + } ], + "meta" : { + "globalKey" : "c44c7ba" } }, "meta" : { - "globalKey" : "c2616b2e" + "globalKey" : "39adcf6c" } - }, - "meta" : { - "globalKey" : "c2616b2e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "c2616b2e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "nf4f5" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "koy4rt1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "nf4f5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "koy4rt1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "koy4rt1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "3207a896" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -370,10 +363,10 @@ } }, "meta" : { - "globalKey" : "7ce62baf" + "globalKey" : "9a6b4b81" } }, "meta" : { - "globalKey" : "7ce62baf" + "globalKey" : "9a6b4b81" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-usi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-usi.json index ae3925bc8a..6a0529d2c1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-usi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-usi.json @@ -1,550 +1,542 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "af42d69a" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2006-06-27", - "meta" : { - "globalKey" : "3eb19b", - "externalKey" : "t56r3w" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "tk5n56" - }, - "meta" : { - "globalKey" : "cbefb631" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "594a6d92", - "externalReference" : "c67efw" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "tk5n56" + }, + "meta" : { + "globalKey" : "cbefb631" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "594a6d92", + "externalReference" : "c67efw" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb80184d" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb80184d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb80184d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec16404d" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec16404d" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "ec16404d" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "42f910b" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "yu67d" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "yu67d" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2006-12-20", - "lastRegularPaymentDate" : "2011-09-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d907ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-12-20", + "lastRegularPaymentDate" : "2011-09-20", "meta" : { - "globalKey" : "5e1fd2fe" + "globalKey" : "7d907ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "tk5n56" + }, + "meta" : { + "globalKey" : "5e1fd2fe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6c15950f" + "meta" : { + "globalKey" : "0", + "externalKey" : "tk5n56" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6c15950f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true, + "currency" : { + "value" : "USD" + } }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true, - "currency" : { - "value" : "USD" - } - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } + }, + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" + }, + "escrow" : true, + "meta" : { + "globalKey" : "e4bdbb92" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "Entity1" }, - "escrow" : true, "meta" : { - "globalKey" : "e4bdbb92" + "globalKey" : "457308e" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "ExampleCUSIP1", + "meta" : { + "scheme" : "CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { "name" : { "value" : "Entity1" }, "meta" : { "globalKey" : "457308e" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP1", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Entity1" - }, - "meta" : { - "globalKey" : "457308e" - } - } - } ], - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } + } ], + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - }, - "multipleHolderObligation" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "defaultRequirement" : { - "value" : 10000000, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, "unit" : { "currency" : { "value" : "USD" } }, "meta" : { - "globalKey" : "d467e427" + "globalKey" : "48eb1e55" } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "multipleHolderObligation" : true + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "594a6d92", - "externalKey" : "c67efw" + "globalKey" : "d467e427" } }, - "obligations" : { - "category" : "BorrowedMoney", - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "89059707" + "globalKey" : "594a6d92", + "externalKey" : "c67efw" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney", + "excluded" : "true", + "othReferenceEntityObligations" : "true" + }, "meta" : { - "globalKey" : "7052bbeb" + "globalKey" : "89059707" } - }, + } ], "meta" : { - "globalKey" : "3ec204e9" + "globalKey" : "7052bbeb" } + }, + "meta" : { + "globalKey" : "3ec204e9" } - }, - "meta" : { - "globalKey" : "3a1b1083" } }, "meta" : { "globalKey" : "3a1b1083" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-09-20", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-09-20", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "5f6d3466" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "5f6d3466" + "globalKey" : "da556d3a" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "5e8e3c1c" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "yu67d" + "globalKey" : "5f6d3466" } }, "meta" : { - "globalKey" : "d2f9cc29" + "globalKey" : "5f6d3466" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "d2f9cc29" + "globalKey" : "5e8e3c1c" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "yu67d" + } + }, + "meta" : { + "globalKey" : "66371b95" } - }, + } ], "meta" : { - "globalKey" : "48034ed3" + "globalKey" : "66371b95" } }, - "meta" : { - "globalKey" : "48034ed3" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.085, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "12a733f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.085, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "dc623dff" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4abe1855", - "externalReference" : "aot89re" + } ], + "meta" : { + "globalKey" : "dc623dff" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4abe1874", - "externalReference" : "t76heo4" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4abe1855", - "externalReference" : "aot89re" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4abe1855", + "externalReference" : "aot89re" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4abe1874", + "externalReference" : "t76heo4" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4abe1855", + "externalReference" : "aot89re" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } + } + } ], + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2006-06-27", + "meta" : { + "globalKey" : "3eb19b", + "externalKey" : "t56r3w" + } }, "party" : [ { "partyId" : [ { @@ -630,7 +622,7 @@ } }, "meta" : { - "globalKey" : "ba7d63ba" + "globalKey" : "f35856ac" } }, "transferHistory" : [ { @@ -697,6 +689,6 @@ } } ], "meta" : { - "globalKey" : "584b295" + "globalKey" : "9f5765e3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-uti.json index 1e07088b0b..ae09361e3c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cd-swaption-uti.json @@ -1,290 +1,247 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "c6afb4da" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-12-05", - "meta" : { - "globalKey" : "3eb305", - "externalKey" : "ruytof" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "nft4rt" - }, - "meta" : { - "globalKey" : "c187fe3a" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "1333467d", - "externalReference" : "oif5t" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "nft4rt" + }, + "meta" : { + "globalKey" : "c187fe3a" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "1333467d", + "externalReference" : "oif5t" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a3e7e" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a3e7e" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a3e7e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec2ea6cd" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec2ea6cd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ec2ea6cd" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "fty64w" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "fty64w" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2012-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d9c0aa" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2012-03-20", "meta" : { - "globalKey" : "55080c1c" + "globalKey" : "7d9c0aa" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "55080c1c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "nft4rt" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "eb40ee68" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 + }, + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond" }, + "escrow" : true, "meta" : { - "globalKey" : "0", - "externalKey" : "nft4rt" + "globalKey" : "5800f1f" } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "eb40ee68" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Bond" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "Entity3" }, - "escrow" : true, "meta" : { - "globalKey" : "5800f1f" + "globalKey" : "4573090" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "ExampleCUSIP2", + "meta" : { + "scheme" : "CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { "name" : { "value" : "Entity3" }, "meta" : { "globalKey" : "4573090" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP2", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Entity3" - }, - "meta" : { - "globalKey" : "4573090" - } - } - } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "restructuring" : { - "applicable" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "defaultRequirement" : { + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { "value" : 1000000, "unit" : { "currency" : { @@ -294,206 +251,241 @@ "meta" : { "globalKey" : "48eb1e55" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party1", "Party2" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + } + }, + "restructuring" : { + "applicable" : true + }, + "defaultRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "1333467d", - "externalKey" : "oif5t" + "globalKey" : "48eb1e55" } }, - "obligations" : { - "category" : "Bond" + "creditEventNotice" : { + "notifyingParty" : [ "Party1", "Party2" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "139ace00" + "globalKey" : "1333467d", + "externalKey" : "oif5t" } - } ], + }, + "obligations" : { + "category" : "Bond" + }, "meta" : { - "globalKey" : "afc3b294" + "globalKey" : "139ace00" } - }, + } ], "meta" : { - "globalKey" : "388692f8" + "globalKey" : "afc3b294" } + }, + "meta" : { + "globalKey" : "388692f8" } - }, - "meta" : { - "globalKey" : "45761349" } }, "meta" : { "globalKey" : "45761349" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-03-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-03-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "80df3cd5" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "80df3cd5" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da556d3a" } }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "1f046114" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "fty64w" + "globalKey" : "80df3cd5" } }, "meta" : { - "globalKey" : "cffd3f1f" + "globalKey" : "80df3cd5" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "cffd3f1f" + "globalKey" : "1f046114" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "fty64w" + } + }, + "meta" : { + "globalKey" : "ff3e36ab" } - }, + } ], "meta" : { - "globalKey" : "11f5dc49" + "globalKey" : "ff3e36ab" } }, - "meta" : { - "globalKey" : "11f5dc49" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0186, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "74d720d5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0186, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "9b6e4015" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "9b6e4015" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "c6afb4da" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-12-05", + "meta" : { + "globalKey" : "3eb305", + "externalKey" : "ruytof" + } }, "party" : [ { "partyId" : [ { @@ -585,7 +577,7 @@ } }, "meta" : { - "globalKey" : "e84763f9" + "globalKey" : "b264d403" } }, "transferHistory" : [ { @@ -652,6 +644,6 @@ } } ], "meta" : { - "globalKey" : "2c5dc1d6" + "globalKey" : "22ebfb0c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-seniority-Senior.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-seniority-Senior.json index 46fccdcfb3..28f535c0b3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-seniority-Senior.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-seniority-Senior.json @@ -1,208 +1,208 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, 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@@ -272,7 +272,7 @@ } }, "meta" : { - "globalKey" : "9fecff44" + "globalKey" : "780b8a22" } }, "transferHistory" : [ { @@ -314,6 +314,6 @@ } } ], "meta" : { - "globalKey" : "4f2f2d9" + "globalKey" : "30d62b7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-uti.json index cb3a4e9aec..51da4d2b45 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex01-cdx-uti.json @@ -1,207 +1,207 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - 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: { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -271,7 +271,7 @@ } }, "meta" : { - "globalKey" : "58269bf0" + "globalKey" : "c41b1b58" } }, "transferHistory" : [ { @@ -313,6 +313,6 @@ } } ], "meta" : { - "globalKey" : "130b8185" + "globalKey" : "fcee3ced" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-cdx-seniority-Subordinate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-cdx-seniority-Subordinate.json index 3d3e0c079e..bfd04f3a01 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-cdx-seniority-Subordinate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-cdx-seniority-Subordinate.json @@ -1,208 +1,208 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : 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}, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3b443027" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -272,7 +272,7 @@ } }, "meta" : { - "globalKey" : "c29dd1b3" + "globalKey" : "b0ccecd3" } }, "transferHistory" : [ { @@ -314,6 +314,6 @@ } } ], "meta" : { - "globalKey" : "df5937c8" + "globalKey" : "950b82e8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-iTraxx-usi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-iTraxx-usi.json index 1c4e99a2c9..6a78bb5d5f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-iTraxx-usi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex02-iTraxx-usi.json @@ -1,142 +1,142 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + "globalKey" : "3ed0d4" } - } - } ], - "meta" : { - "globalKey" : "df285a49" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2004-11-03", - "meta" : { - "globalKey" : "3ea2c3" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ed0d4" + "globalKey" : "0" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], "meta" : { - "globalKey" : "ae1d399e" + "globalKey" : "43886e95" } } - }, + } ], "meta" : { - "globalKey" : "9b32dffd" + "globalKey" : "df6c52dd" } - }, - "meta" : { - "globalKey" : "9b32dffd" } + }, + "meta" : { + "globalKey" : "be0acfde" } }, "meta" : { - "globalKey" : "307d88d1" + "globalKey" : "be0acfde" } - }, - "meta" : { - "globalKey" : "307d88d1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "feec8b8a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1dd5dd49", - "externalReference" : "z45rdfg" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1733b005", - "externalReference" : "yuhge34" + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1dd5dd49", + "externalReference" : "z45rdfg" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1733b005", + "externalReference" : "yuhge34" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } + } + } ], + "meta" : { + "globalKey" : "df285a49" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2004-11-03", + "meta" : { + "globalKey" : "3ea2c3" + } }, "party" : [ { "partyId" : [ { @@ -206,7 +206,7 @@ } }, "meta" : { - "globalKey" : "96dafb2" + "globalKey" : "a2baee57" } }, "transferHistory" : [ { @@ -248,6 +248,6 @@ } } ], "meta" : { - "globalKey" : "3696e7c8" + "globalKey" : "516f61ed" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-cdx-seniority-Other.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-cdx-seniority-Other.json index dcc3de4a93..b898abf98d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-cdx-seniority-Other.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-cdx-seniority-Other.json @@ -1,208 +1,208 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "meta" : { + "globalKey" : "3ec8d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "seniority" : "Other", - "meta" : { - "globalKey" : "a6b5d187" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, + "seniority" : "Other", "meta" : { - "globalKey" : "9326348" + "globalKey" : "623b0707" } - }, - "meta" : { - "globalKey" : "d41d18a7" } + }, + "meta" : { + "globalKey" : "e54865e6" } }, "meta" : { - "globalKey" : "3353536a" + "globalKey" : "dbe333e7" } - }, - "meta" : { - "globalKey" : "3353536a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "d4423b04" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -272,7 +272,7 @@ } }, "meta" : { - "globalKey" : "8f021236" + "globalKey" : "5f5aa2f0" } }, "transferHistory" : [ { @@ -314,6 +314,6 @@ } } ], "meta" : { - "globalKey" : "416318cb" + "globalKey" : "a6f60885" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-iTraxx-contractual-supplement-account-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-iTraxx-contractual-supplement-account-versioned.json index 1415f342a6..a4975748f3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-iTraxx-contractual-supplement-account-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex03-iTraxx-contractual-supplement-account-versioned.json @@ -1,144 +1,144 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "9c95540c", - "externalReference" : "g56bw4" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "ITRAXX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ed0d4" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "36c7fbdc" - } - } ], - "tradeDate" : { - "value" : "2005-11-03", - "meta" : { - "globalKey" : "3eaac3" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ed0d4" + "globalKey" : "0" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "indexAnnexDate" : "2005-11-01", - "indexAnnexSource" : { - "value" : "Publisher" + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "indexAnnexDate" : "2005-11-01", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" }, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], "meta" : { - "globalKey" : "aba314c9" + "globalKey" : "43886e95" } } - }, + } ], "meta" : { - "globalKey" : "760ede0a" + "globalKey" : "cf6dff2a" } - }, - "meta" : { - "globalKey" : "760ede0a" } + }, + "meta" : { + "globalKey" : "3ce2d689" } }, "meta" : { - "globalKey" : "b14394b6" + "globalKey" : "3ce2d689" } - }, - "meta" : { - "globalKey" : "b14394b6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "99b16b5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8b68721" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a84be2ec", - "externalReference" : "ruytb" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9c95540c", - "externalReference" : "g56bw4" + } ], + "meta" : { + "globalKey" : "a8b68721" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a84be2ec", + "externalReference" : "ruytb" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9c95540c", + "externalReference" : "g56bw4" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "9c95540c", + "externalReference" : "g56bw4" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "ITRAXX1234", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "36c7fbdc" + } + } ], + "tradeDate" : { + "value" : "2005-11-03", + "meta" : { + "globalKey" : "3eaac3" + } }, "party" : [ { "partyId" : [ { @@ -265,7 +265,7 @@ } } ], "meta" : { - "globalKey" : "ad2b04a3" + "globalKey" : "ee7daf02" } }, "transferHistory" : [ { @@ -307,6 +307,6 @@ } } ], "meta" : { - "globalKey" : "32aeae7b" + "globalKey" : "d6cb735a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex04-iBoxx-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex04-iBoxx-uti.json index 38d17586be..38dc4b60cf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex04-iBoxx-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdindex-ex04-iBoxx-uti.json @@ -1,283 +1,304 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-03-23", + "meta" : { + "globalKey" : "3ef0d7" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "3ef0d7" } - } - } ], - "meta" : { - "globalKey" : "c6afb4da" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-03-23", - "meta" : { - "globalKey" : "3ef0d7" - } - }, - "meta" : { - "globalKey" : "3ef0d7" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-03-20", + "meta" : { + "globalKey" : "3f18d4" + } + }, + "meta" : { + "globalKey" : "3f18d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-03-20", - "meta" : { - "globalKey" : "3f18d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "3f18d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "e06fa940" - }, - "initialRate" : { - "value" : 0.025, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } - } + "meta" : { + "globalKey" : "e06fa940" }, - "resetDates" : { - "initialFixingDate" : { - "initialFixingDate" : "2014-03-23" + "initialRate" : { + "value" : 0.025, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "finalFixingDate" : { - "unadjustedDate" : "2019-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2727bc7f" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, + "priceType" : "InterestRate" + } + } + }, + "resetDates" : { + "initialFixingDate" : { + "initialFixingDate" : "2014-03-23" + }, + "finalFixingDate" : { + "unadjustedDate" : "2019-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "1a4469d6" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "8f2b235" + "globalKey" : "2727bc7f" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "meta" : { + "globalKey" : "1a4469d6" + } + }, + "meta" : { + "globalKey" : "8f2b235" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "iBoxx EUR Corporates" }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "iBoxx EUR Corporates" - }, - "indexId" : [ { - "value" : "DE0006301161", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - } ], + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "DE0006301161", "meta" : { - "globalKey" : "8b0e5955" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" } - } + }, + "identifierType" : "ISIN" + } ], + "name" : { + "value" : "iBoxx EUR Corporates" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "647c0734" + "globalKey" : "451af30d" } - }, - "meta" : { - "globalKey" : "cd0d51df" } + }, + "meta" : { + "globalKey" : "f86bc4e" } }, "meta" : { - "globalKey" : "6e93ebfc" + "globalKey" : "8c372b43" } - }, - "meta" : { - "globalKey" : "6e93ebfc" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "81716686" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } } }, "meta" : { - "globalKey" : "8feabf86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e9be61f4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "c6afb4da" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -349,7 +370,7 @@ } }, "meta" : { - "globalKey" : "40b78d0" + "globalKey" : "2863710a" } }, "transferHistory" : [ { @@ -391,6 +412,6 @@ } } ], "meta" : { - "globalKey" : "5db31aa5" + "globalKey" : "f906b1df" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-mortgage-CMBS-single-payment-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-mortgage-CMBS-single-payment-versioned.json index f93d8eac2a..ffd7f2e919 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-mortgage-CMBS-single-payment-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-mortgage-CMBS-single-payment-versioned.json @@ -1,81 +1,14 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4f580caa", - "externalReference" : "trg6836" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "16dc98d0" - } - } ], - "tradeDate" : { - "value" : "2006-11-14", - "meta" : { - "globalKey" : "3eb2ce" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-11-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, - "meta" : { - "globalKey" : "18601d49" - } - }, - "meta" : { - "globalKey" : "18601d49" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2046-07-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "f02f5604" - } - }, - "meta" : { - "globalKey" : "f02f5604" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-11-17", "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { @@ -92,183 +25,243 @@ "globalKey" : "da556d3a" } }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "18601d49" + } + }, + "meta" : { + "globalKey" : "18601d49" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2046-07-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "f02f5604" + } + }, + "meta" : { + "globalKey" : "f02f5604" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "321f92c1" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 5 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "escrow" : true, + "meta" : { + "globalKey" : "56a" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "MERRILL LYNCH/COUNTRYWIDE COMM, 2006-3" }, "meta" : { - "globalKey" : "0" + "globalKey" : "65eff19" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "321f92c1" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 5 - }, - "escrow" : true, - "meta" : { - "globalKey" : "56a" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "MERRILL LYNCH/COUNTRYWIDE COMM, 2006-3" - }, - "meta" : { - "globalKey" : "65eff19" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "60687VAQ8", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "MLCFC 2006-3", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - } ], - "securityType" : "Debt" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "60687VAQ8", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } }, - "primaryObligor" : { - "name" : { - "value" : "MERRILL LYNCH/COUNTRYWIDE COMM, 2006-3" - }, + "identifierType" : "CUSIP" + }, { + "identifier" : { + "value" : "MLCFC 2006-3", "meta" : { - "globalKey" : "65eff19" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" } - } + }, + "identifierType" : "BBGID" } ], - "allGuarantees" : false - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPayPrincipal" : true, - "failureToPayInterest" : false, - "distressedRatingsDowngrade" : true, - "maturityExtension" : false, - "writedown" : true, - "impliedWritedown" : true, - "meta" : { - "globalKey" : "7af7892c" - } + "securityType" : "Debt" }, - "floatingAmountEvents" : { - "failureToPayPrincipal" : true, - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : true, - "rateSource" : { - "value" : "USD-LIBOR-BBA" - } - }, - "writedown" : true, - "impliedWritedown" : false, - "floatingAmountProvisions" : { - "wacCapInterestProvision" : true + "primaryObligor" : { + "name" : { + "value" : "MERRILL LYNCH/COUNTRYWIDE COMM, 2006-3" }, - "additionalFixedPayments" : { - "interestShortfallReimbursement" : true, - "principalShortfallReimbursement" : true, - "writedownReimbursement" : true + "meta" : { + "globalKey" : "65eff19" } - }, - "meta" : { - "globalKey" : "2b4fd275" } } ], + "allGuarantees" : false + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPayPrincipal" : true, + "failureToPayInterest" : false, + "distressedRatingsDowngrade" : true, + "maturityExtension" : false, + "writedown" : true, + "impliedWritedown" : true, "meta" : { - "globalKey" : "938f475d" + "globalKey" : "7af7892c" + } + }, + "floatingAmountEvents" : { + "failureToPayPrincipal" : true, + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : true, + "rateSource" : { + "value" : "USD-LIBOR-BBA" + } + }, + "writedown" : true, + "impliedWritedown" : false, + "floatingAmountProvisions" : { + "wacCapInterestProvision" : true + }, + "additionalFixedPayments" : { + "interestShortfallReimbursement" : true, + "principalShortfallReimbursement" : true, + "writedownReimbursement" : true } }, "meta" : { - "globalKey" : "938f475d" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "2b4fd275" } + } ], + "meta" : { + "globalKey" : "938f475d" } }, "meta" : { - "globalKey" : "6240ae51" + "globalKey" : "938f475d" } }, - "meta" : { - "globalKey" : "6240ae51" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "6240ae51" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "trg6836" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "zx456j" + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "trg6836" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "trg6836" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "zx456j" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "trg6836" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4f580caa", + "externalReference" : "trg6836" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "16dc98d0" + } + } ], + "tradeDate" : { + "value" : "2006-11-14", + "meta" : { + "globalKey" : "3eb2ce" + } }, "party" : [ { "partyId" : [ { @@ -367,7 +360,7 @@ } }, "meta" : { - "globalKey" : "a7e0b74a" + "globalKey" : "ce88314" } }, "transferHistory" : [ { @@ -380,26 +373,16 @@ } } }, - "asset" : { - "Cash" : { - "identifier" : [ { - "identifier" : { - "value" : "USD" - }, - "identifierType" : "CurrencyCode" - } ] - } - }, "settlementDate" : { "unadjustedDate" : "2006-12-27" } }, "meta" : { - "globalKey" : "fce5777b", + "globalKey" : "4a08d846", "externalKey" : "iey785" } } ], "meta" : { - "globalKey" : "12ca02f1" + "globalKey" : "ecc08bb2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-ref-ob-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-ref-ob-versioned.json index e6b9f4641c..68127079ff 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-ref-ob-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdm-cds-ref-ob-versioned.json @@ -1,449 +1,442 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "9a911e55", - "externalReference" : "g4789" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "56ERT7RHWE4", + "value" : "Credit_SingleName_Corporate_StandardEuropeanCorporate", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "668f2457" + } + }, { + "identifier" : { + "value" : "USP7807HAV70", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/underlying-id/ISIN" + } + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "78bb9e13" + } } ], - "meta" : { - "globalKey" : "da91262d" - } - } ], - "tradeDate" : { - "value" : "2018-10-02", - "meta" : { - "globalKey" : "3f1282", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Credit" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Credit" + } + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "SCUCCX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "SCUCCX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "SNDB", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-seniority" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "SNDB", + } + } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "SW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Untranched", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-tranched-product" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-10-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "e789456" + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-seniority" + "globalKey" : "3fdfc202" } + }, + "meta" : { + "globalKey" : "e93f2fca" } + }, + "meta" : { + "globalKey" : "d0db0fc6" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "SW", + }, + "meta" : { + "globalKey" : "d0db0fc6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + "globalKey" : "428533f", + "externalKey" : "e789456" } + }, + "meta" : { + "globalKey" : "d3636f07" } + }, + "meta" : { + "globalKey" : "d7cc5d73" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Untranched", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-tranched-product" + }, + "meta" : { + "globalKey" : "d7cc5d73" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "da4e2f6e" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-10-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "e789456" - }, - "meta" : { - "globalKey" : "3fdfc202" + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "e93f2fca" } }, "meta" : { - "globalKey" : "d0db0fc6" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "d0db0fc6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "e789456" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-20", "meta" : { - "globalKey" : "d3636f07" + "globalKey" : "3f1254" } }, "meta" : { - "globalKey" : "d7cc5d73" + "globalKey" : "3f1254" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, "meta" : { - "globalKey" : "d7cc5d73" + "globalKey" : "abb5ddd6" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "428533f" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2018-12-20", "meta" : { - "globalKey" : "da4e2f6e" + "globalKey" : "3f27aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-20", - "meta" : { - "globalKey" : "3f1254" - } - }, + "meta" : { + "globalKey" : "d0224dd3" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "PWF87O", "meta" : { - "globalKey" : "3f1254" + "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + }, { + "value" : "Identifier:549300YWR8TN1OFD4P06", "meta" : { - "globalKey" : "aa" + "scheme" : "http://www.dtcc.com/coding-scheme/external/emir-reference-entity" } - }, - "meta" : { - "globalKey" : "abb5ddd6" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } ], + "name" : { + "value" : "Petróleos de Venezuela, S.A.", "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-12-20", - "meta" : { - "globalKey" : "3f27aa" - } - }, - "meta" : { - "globalKey" : "d0224dd3" - } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "4ac1c48e" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "PWF87O", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - }, { - "value" : "Identifier:549300YWR8TN1OFD4P06", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "USP7807HAM71", "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/emir-reference-entity" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" } - } ], - "name" : { - "value" : "Petróleos de Venezuela, S.A.", + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "P7807HAM7", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-name-RED" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP" } }, - "meta" : { - "globalKey" : "4ac1c48e" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "USP7807HAM71", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "P7807HAM7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - } + "identifierType" : "CUSIP" } ], - "referencePrice" : { - "value" : 0.486, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : false, - "creditEventNotice" : { - "notifyingParty" : [ "Party2" ] - }, - "meta" : { - "globalKey" : "fb9ab88e" + } ], + "referencePrice" : { + "value" : 0.486, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "obligations" : { - "category" : "Payment" + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "globalKey" : "7bb68af4" - } - } ], - "meta" : { - "globalKey" : "93165079" + "priceType" : "AssetPrice" } - }, - "meta" : { - "globalKey" : "6556dd86" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "Credit_SingleName_Corporate_StandardEuropeanCorporate", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } }, - "source" : "Other", - "meta" : { - "globalKey" : "668f2457" - } - }, { - "identifier" : { - "value" : "USP7807HAV70", + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : false, + "creditEventNotice" : { + "notifyingParty" : [ "Party2" ] + }, + "meta" : { + "globalKey" : "fb9ab88e" + } + }, + "obligations" : { + "category" : "Payment" + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/underlying-id/ISIN" + "globalKey" : "7bb68af4" } - }, - "source" : "ISIN", + } ], "meta" : { - "globalKey" : "78bb9e13" + "globalKey" : "93165079" } - } ], + }, "meta" : { - "globalKey" : "30e05791" + "globalKey" : "6556dd86" } - }, - "meta" : { - "globalKey" : "30e05791" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "14a67159" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "cc63fc45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "d4716f8f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9a911e55", - "externalReference" : "g4789" + } ], + "meta" : { + "globalKey" : "cc63fc45" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "ac439d9e", - "externalReference" : "xdf45" + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d4716f8f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9a911e55", + "externalReference" : "g4789" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ac439d9e", + "externalReference" : "xdf45" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "9a911e55", + "externalReference" : "g4789" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "da91262d" + } + } ], + "tradeDate" : { + "value" : "2018-10-02", + "meta" : { + "globalKey" : "3f1282", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -508,10 +501,10 @@ } }, "meta" : { - "globalKey" : "90e22e4f" + "globalKey" : "bf4daaf" } }, "meta" : { - "globalKey" : "90e22e4f" + "globalKey" : "bf4daaf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-ELCDS-ReferenceObligation-collateral-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-ELCDS-ReferenceObligation-collateral-versioned.json index b3278c4ddd..a89d4a8bcb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-ELCDS-ReferenceObligation-collateral-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-ELCDS-ReferenceObligation-collateral-versioned.json @@ -1,346 +1,339 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "e54t5" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c6972c" + } + }, "meta" : { - "scheme" : "TradeRefNbr" + "globalKey" : "25c6972c" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "7b7af027" - } - } ], - "tradeDate" : { - "value" : "2007-10-31", - "meta" : { - "globalKey" : "3eba9f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c6972c" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-17", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c6972c" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-17", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c39fc" + "meta" : { + "globalKey" : "261c39fc" + } + }, + "meta" : { + "globalKey" : "261c39fc" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "261c39fc" + "globalKey" : "0", + "externalKey" : "gu5gh" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "gu5gh" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f78" - }, - "rollConvention" : "25" - }, - "meta" : { - "globalKey" : "17f78" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2007-12-20", - "meta" : { - "globalKey" : "3ecfaa" } }, "meta" : { - "globalKey" : "af3c7811" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f78" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "25" + }, + "meta" : { + "globalKey" : "17f78" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2007-12-20", + "meta" : { + "globalKey" : "3ecfaa" + } + }, + "meta" : { + "globalKey" : "af3c7811" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "gu5gh" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "BLMBERGID", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-Bloomberg" } + } ], + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0", - "externalKey" : "gu5gh" + "globalKey" : "5fb7a8be" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { + "referenceObligation" : [ { + "loan" : { + "identifier" : [ { + "identifier" : { + "value" : "64352VNC1", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + }, { + "identifier" : { + "value" : "ISIN00000000", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { "value" : "BLMBERGID", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-Bloomberg" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg" } - } ], + }, + "identifierType" : "BBGID" + } ], + "borrower" : [ { "name" : { - "value" : "CompanyDEF" + "value" : "BorrowerName1" }, "meta" : { - "globalKey" : "5fb7a8be" + "globalKey" : "238916a4" } - }, - "referenceObligation" : [ { - "loan" : { - "identifier" : [ { - "identifier" : { - "value" : "64352VNC1", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "ISIN00000000", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BLMBERGID", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg" - } - }, - "identifierType" : "BBGID" - } ], - "borrower" : [ { - "name" : { - "value" : "BorrowerName1" - }, - "meta" : { - "globalKey" : "238916a4" - } - }, { - "name" : { - "value" : "BorrowerName2" - }, - "meta" : { - "globalKey" : "238916a5" - } - } ], - "facilityType" : { - "value" : "RevolvingLoan", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/facility-type" - } - }, - "creditAgreementDate" : "2005-11-04" + }, { + "name" : { + "value" : "BorrowerName2" + }, + "meta" : { + "globalKey" : "238916a5" } } ], - "securedList" : false - } - }, - "protectionTerms" : [ { - "obligations" : { - "category" : "Loan", - "fullFaithAndCreditObLiability" : true, - "designatedPriority" : { - "value" : "FirstLienLoan", + "facilityType" : { + "value" : "RevolvingLoan", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/lien" + "scheme" : "http://www.fpml.org/coding-scheme/facility-type" } }, - "cashSettlementOnly" : true, - "deliveryOfCommitments" : true, - "continuity" : true - }, - "meta" : { - "globalKey" : "b8006f0a" + "creditAgreementDate" : "2005-11-04" } } ], - "meta" : { - "globalKey" : "25404a32" - } + "securedList" : false + } + }, + "protectionTerms" : [ { + "obligations" : { + "category" : "Loan", + "fullFaithAndCreditObLiability" : true, + "designatedPriority" : { + "value" : "FirstLienLoan", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/lien" + } + }, + "cashSettlementOnly" : true, + "deliveryOfCommitments" : true, + "continuity" : true }, "meta" : { - "globalKey" : "d7a6da41" + "globalKey" : "b8006f0a" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "25404a32" } }, "meta" : { - "globalKey" : "4ae7f93b" + "globalKey" : "d7a6da41" } }, - "meta" : { - "globalKey" : "4ae7f93b" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "4ae7f93b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "10b32f9f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } ], + "meta" : { + "globalKey" : "10b32f9f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "e54t5" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e102e2c", - "externalReference" : "fhgtd3" + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "8e102e2b", - "externalReference" : "e54t5" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "e54t5" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e102e2c", + "externalReference" : "fhgtd3" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "8e102e2b", + "externalReference" : "e54t5" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "e54t5" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "TradeRefNbr" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "7b7af027" + } + } ], + "tradeDate" : { + "value" : "2007-10-31", + "meta" : { + "globalKey" : "3eba9f" + } }, "party" : [ { "partyId" : [ { @@ -459,10 +452,10 @@ } }, "meta" : { - "globalKey" : "be75b" + "globalKey" : "b59351f9" } }, "meta" : { - "globalKey" : "be75b" + "globalKey" : "b59351f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-tranche-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-tranche-versioned.json index 5495813446..094c65a62e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-tranche-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-tranche-versioned.json @@ -1,376 +1,369 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "dddf17a3", - "externalReference" : "fyure4" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "33d9d70" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-RED-1-0" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "r65hfd" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "r65hfd" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + 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"dd2c76fa" + "globalKey" : "bd7f2188" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-uti.json index 9ec5482565..f701f5add6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-basket-uti.json @@ -1,382 +1,375 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "c6afb4da" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" 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"nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "9705da0a", - "externalKey" : "c789456" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "7a89ddea" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "9705da0a", + "externalKey" : "c789456" } }, "meta" : { - "globalKey" : "44fca5ad" + "globalKey" : "7a89ddea" } - }, - "meta" : { - "globalKey" : "44fca5ad" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "44fca5ad" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "c6afb4da" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -455,10 +448,10 @@ } }, "meta" : { - "globalKey" : "1621bdc9" + "globalKey" : "51fcc9f9" } }, "meta" : { - "globalKey" : "1621bdc9" + "globalKey" : "51fcc9f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-index-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-index-tranche.json index a14341e826..3a10949995 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-index-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-index-tranche.json @@ -1,5 +1,116 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_IndexTranche" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + }, + "settledEntityMatrix" : { + "matrixSource" : { + "value" : "NotApplicable" + } + }, + "meta" : { + "globalKey" : "f97d484f" + } + } + }, + "meta" : { + "globalKey" : "aa708910" + } + }, + "meta" : { + "globalKey" : "aa708910" + } + } + }, + "meta" : { + "globalKey" : "39d209bc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -33,117 +144,6 @@ "globalKey" : "ebf0fa6a" } } ], - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_IndexTranche" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "tranche" : { - "attachmentPoint" : 0.03, - "exhaustionPoint" : 0.07 - }, - "settledEntityMatrix" : { - "matrixSource" : { - "value" : "NotApplicable" - } - }, - "meta" : { - "globalKey" : "df8f82d0" - } - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -204,7 +204,7 @@ } }, "meta" : { - "globalKey" : "a480b327" + "globalKey" : "5b1fa80e" } }, "transferHistory" : [ { @@ -246,6 +246,6 @@ } } ], "meta" : { - "globalKey" : "b3a45f5b" + "globalKey" : "1746dac2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-ReferenceObligation-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-ReferenceObligation-uti.json index 25510f8a90..cb1a10343f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-ReferenceObligation-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-ReferenceObligation-uti.json @@ -1,424 +1,417 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb811f13" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb811f13" } - } - } ], - "meta" : { - "globalKey" : "c6afb4da" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-10-26", - "meta" : { - "globalKey" : "3eb29a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb811f13" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf57e13" + } + }, + "meta" : { + "globalKey" : "ebf57e13" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb811f13" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-12-20", + "lastRegularPaymentDate" : "2010-06-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d8ff2a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e1fca3e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "41e7ef00" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "notSubordinated" : true, + "notContingent" : true, + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2006-12-20", - "lastRegularPaymentDate" : "2010-06-20", - "meta" : { - "globalKey" : "7d8ff2a" - } + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, "meta" : { - "globalKey" : "5e1fca3e" + "globalKey" : "df3ad6f7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyABC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444aeec5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "41e7ef00" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "notSubordinated" : true, - "notContingent" : true, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "loan" : { + "identifier" : [ { + "identifier" : { + "value" : "23490234", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.partyA.com/coding-scheme/instrument-id" } }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "identifierType" : "Other" + } ], + "lien" : { + "value" : "FirstLienLoan" }, - "meta" : { - "globalKey" : "df3ad6f7" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyABC" - }, - "meta" : { - "globalKey" : "444aeec5" - } + "facilityType" : { + "value" : "RevolvingLoan" }, - "referenceObligation" : [ { - "loan" : { - "identifier" : [ { - "identifier" : { - "value" : "23490234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "lien" : { - "value" : "FirstLienLoan" - }, - "facilityType" : { - "value" : "RevolvingLoan" - }, - "creditAgreementDate" : "2005-11-04", - "tranche" : { - "value" : "LN190325" - } - }, - "primaryObligor" : { - "name" : { - "value" : "CompanyABC" - }, - "meta" : { - "globalKey" : "444aeec5" - } - } - } ], - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" + "creditAgreementDate" : "2005-11-04", + "tranche" : { + "value" : "LN190325" + } + }, + "primaryObligor" : { + "name" : { + "value" : "CompanyABC" }, - "securedList" : false + "meta" : { + "globalKey" : "444aeec5" + } } + } ], + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party1", "Party2" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : false + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "a015b08d" + "globalKey" : "48eb1e55" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "4f78c0b3" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party1", "Party2" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "a73e92f6" + "globalKey" : "a015b08d" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "6187e234" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "4f78c0b3" } + } ], + "meta" : { + "globalKey" : "a73e92f6" } }, "meta" : { - "globalKey" : "85eaa461" + "globalKey" : "6187e234" } }, - "meta" : { - "globalKey" : "85eaa461" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "85eaa461" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e499703a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e499703a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "c6afb4da" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-10-26", + "meta" : { + "globalKey" : "3eb29a" + } }, "party" : [ { "partyId" : [ { @@ -517,10 +510,10 @@ } }, "meta" : { - "globalKey" : "f23c4d76" + "globalKey" : "523c79a0" } }, "meta" : { - "globalKey" : "f23c4d76" + "globalKey" : "523c79a0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-SecuredList-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-SecuredList-uti.json index 55d74713a8..26b29ef916 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-SecuredList-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-loan-SecuredList-uti.json @@ -1,394 +1,387 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "globalKey" : "eb82a1ba" } - } - } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "41e7ef00" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "notSubordinated" : true, + "notContingent" : true, + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2010-03-20", - "meta" : { - "globalKey" : "7d9b0aa" - } + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, "meta" : { - "globalKey" : "5e207bbe" + "globalKey" : "df3ad6f7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444afa68" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "41e7ef00" + "noReferenceObligation" : true, + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "notSubordinated" : true, - "notContingent" : true, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" - }, - "meta" : { - "globalKey" : "df3ad6f7" + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyDEF" - }, - "meta" : { - "globalKey" : "444afa68" - } - }, - "noReferenceObligation" : true, - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - }, - "securedList" : true - } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "6c32a26b" - } - } - }, - "defaultRequirement" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "1a10e2d1" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : true + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "b45b5d03" + "globalKey" : "6c32a26b" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "ff84437d" + "globalKey" : "1a10e2d1" + } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 } - } ], + }, "meta" : { - "globalKey" : "ce93a6f0" + "globalKey" : "b45b5d03" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "4967c1f2" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "ff84437d" } + } ], + "meta" : { + "globalKey" : "ce93a6f0" } }, "meta" : { - "globalKey" : "1983ade" + "globalKey" : "4967c1f2" } }, - "meta" : { - "globalKey" : "1983ade" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1983ade" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -487,10 +480,10 @@ } }, "meta" : { - "globalKey" : "7dd077bc" + "globalKey" : "a37276da" } }, "meta" : { - "globalKey" : "7dd077bc" + "globalKey" : "a37276da" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-mortgage-RMBS-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-mortgage-RMBS-versioned.json index 4e044448be..5341c51253 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-mortgage-RMBS-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cds-mortgage-RMBS-versioned.json @@ -1,91 +1,41 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e1326d8", - "externalReference" : "yt67d" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56ERT7RHWE4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "b6f0aca" - } - } ], - "tradeDate" : { - "value" : "2006-10-05", - "meta" : { - "globalKey" : "3eb285" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-09-25", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "da556d3a" } }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-09-25", "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { @@ -102,278 +52,321 @@ "globalKey" : "da556d3a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d3" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "177d3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "firstPaymentDate" : "2006-11-01", - "lastRegularPaymentDate" : "2035-06-01", - "meta" : { - "globalKey" : "7d8d44c" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d3" }, + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "177d3" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "d48d40e0" + "globalKey" : "6c" + } + }, + "firstPaymentDate" : "2006-11-01", + "lastRegularPaymentDate" : "2035-06-01", + "meta" : { + "globalKey" : "7d8d44c" + } + }, + "meta" : { + "globalKey" : "d48d40e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "321f92c1" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 5 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "escrow" : true, + "meta" : { + "globalKey" : "56a" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "New Century Home Equity Loan Trust 2005-4" }, "meta" : { - "globalKey" : "0" + "globalKey" : "5df00e1c" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "321f92c1" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 5 - }, - "escrow" : true, - "meta" : { - "globalKey" : "56a" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "New Century Home Equity Loan Trust 2005-4" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "64352VNC1", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" + } }, - "meta" : { - "globalKey" : "5df00e1c" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "64352VNC1", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP-1-0" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "NCHET 2005-4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPayPrincipal" : true, - "failureToPayInterest" : true, - "distressedRatingsDowngrade" : true, - "maturityExtension" : false, - "writedown" : true, - "impliedWritedown" : false, - "meta" : { - "globalKey" : "7aa2fc2c" - } - }, - "floatingAmountEvents" : { - "failureToPayPrincipal" : true, - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : false, - "rateSource" : { - "value" : "USD-LIBOR-BBA" - } - }, - "writedown" : true, - "impliedWritedown" : true, - "floatingAmountProvisions" : { - "stepUpProvision" : true - }, - "additionalFixedPayments" : { - "interestShortfallReimbursement" : true, - "principalShortfallReimbursement" : true, - "writedownReimbursement" : true - } - }, - "meta" : { - "globalKey" : "46e6cc75" + "identifierType" : "CUSIP" + }, { + "identifier" : { + "value" : "NCHET 2005-4", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" + } + }, + "identifierType" : "BBGID" + } ], + "securityType" : "Debt" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPayPrincipal" : true, + "failureToPayInterest" : true, + "distressedRatingsDowngrade" : true, + "maturityExtension" : false, + "writedown" : true, + "impliedWritedown" : false, "meta" : { - "globalKey" : "20e6ff88" + "globalKey" : "7aa2fc2c" + } + }, + "floatingAmountEvents" : { + "failureToPayPrincipal" : true, + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA" + } + }, + "writedown" : true, + "impliedWritedown" : true, + "floatingAmountProvisions" : { + "stepUpProvision" : true + }, + "additionalFixedPayments" : { + "interestShortfallReimbursement" : true, + "principalShortfallReimbursement" : true, + "writedownReimbursement" : true } }, "meta" : { - "globalKey" : "395e4868" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "46e6cc75" } + } ], + "meta" : { + "globalKey" : "20e6ff88" } }, "meta" : { - "globalKey" : "7aa2a825" + "globalKey" : "395e4868" } }, - "meta" : { - "globalKey" : "7aa2a825" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "7aa2a825" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e3639930" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e1326d8", - "externalReference" : "yt67d" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4f580caa", - "externalReference" : "gf4t5" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4f580caa", - "externalReference" : "gf4t5" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e1326d8", + "externalReference" : "yt67d" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4f580caa", + "externalReference" : "gf4t5" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4f580caa", + "externalReference" : "gf4t5" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e1326d8", + "externalReference" : "yt67d" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56ERT7RHWE4", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "b6f0aca" + } + } ], + "tradeDate" : { + "value" : "2006-10-05", + "meta" : { + "globalKey" : "3eb285" + } }, "party" : [ { "partyId" : [ { @@ -472,10 +465,10 @@ } }, "meta" : { - "globalKey" : "b63936a7" + "globalKey" : "b85cb537" } }, "meta" : { - "globalKey" : "b63936a7" + "globalKey" : "b85cb537" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdx-index-option-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdx-index-option-uti.json index e79cb88101..9d88dedf6b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdx-index-option-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/cdx-index-option-uti.json @@ -1,371 +1,370 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "f756f" - }, - "meta" : { - "globalKey" : "5b72bb4" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-21", - "meta" : { - "globalKey" : "3eb0d5" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "f756f" + }, + "meta" : { + "globalKey" : "5b72bb4" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-21", "meta" : { "globalKey" : "3eb0d5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "meta" : { - "globalKey" : "3ed994" - } - }, + "meta" : { + "globalKey" : "3eb0d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", "meta" : { "globalKey" : "3ed994" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3ed994" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2006-06-20", - "lastRegularPaymentDate" : "2011-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d8d7ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-06-20", + "lastRegularPaymentDate" : "2011-03-20", "meta" : { - "globalKey" : "5507235c" + "globalKey" : "7d8d7ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "f756f" + }, + "meta" : { + "globalKey" : "5507235c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "f756f" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "Dow Jones CDX NA IG.2" }, - "indexSeries" : 2, - "indexAnnexDate" : "2005-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "5598e89" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2005-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "d197a909" } - }, - "meta" : { - "globalKey" : "daae824a" } }, "meta" : { - "globalKey" : "a74cb46e" + "globalKey" : "23b9e5e8" } + }, + "meta" : { + "globalKey" : "19996a44" } - }, - "meta" : { - "globalKey" : "e32c3b6f" } }, "meta" : { - "globalKey" : "e32c3b6f" + "globalKey" : "d10b1be3" } - }, - "optionType" : "Payer", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a605bf" - } - }, + } + } + }, + "optionType" : "Payer", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25a605bf" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" + 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"value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "1a8d5075" } } ], "meta" : { - "globalKey" : "4ccb38f0" + "globalKey" : "1a8d5075" } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "1a8d5075" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.019, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "4ccb38f0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -477,7 +476,7 @@ } }, "meta" : { - "globalKey" : "5f2d1559" + "globalKey" : "aaafc215" } }, "transferHistory" : [ { @@ -544,6 +543,6 @@ } } ], "meta" : { - "globalKey" : "8226e241" + "globalKey" : "69fdbd05" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/itraxx-index-option-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/itraxx-index-option-uti.json index 34f36f21f1..ffe37ea31d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/itraxx-index-option-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/credit/itraxx-index-option-uti.json @@ -1,484 +1,483 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - 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"21479e" } }, "meta" : { - "globalKey" : "2d387cf9" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "211e638d" } }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "e5a042f8" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "2d387cf9" } }, "meta" : { - "globalKey" : "57d16e80" + "globalKey" : "2d387cf9" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "57d16e80" + "globalKey" : "e5a042f8" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a121a35b" } - }, + } ], "meta" : { - "globalKey" : "f57bb76a" + "globalKey" : "a121a35b" } }, - "meta" : { - "globalKey" : "f57bb76a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2b922185" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 250000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "65ba978a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 250000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "6ceb3eab" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "65ba978a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "6ceb3eab" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "d4536d" + } }, "party" : [ { "partyId" : [ { @@ -549,7 +548,7 @@ } }, "meta" : { - "globalKey" : "c766a25" + "globalKey" : "ea22c444" } }, "transferHistory" : [ { @@ -606,6 +605,6 @@ } } ], "meta" : { - "globalKey" : "f8597467" + "globalKey" : "f3077a06" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.json index 01f504a0c1..94f8c06fa5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex01-dividend-swap.json @@ -1,406 +1,325 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ea0d0bb9" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ef1e6c61" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - } - }, + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c0" - } - }, - "meta" : { - "globalKey" : "815062c0" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } } }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - } - }, + }, + "meta" : { + "globalKey" : "815062c0" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c1" - } - }, - "meta" : { - "globalKey" : "815062c1" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } } }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", + }, + "meta" : { + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { - "scheme" : "http://example.com/instrumentId" + "globalKey" : "3ed314" } }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT" - }, "meta" : { - "globalKey" : "2929e8" + "globalKey" : "3ed314" } - }, { - "name" : { - "value" : "XMON" + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", + "meta" : { + "globalKey" : "3edb13" + } }, "meta" : { - "globalKey" : "292b94" + "globalKey" : "3edb13" } + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" } }, - "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, - "meta" : { - "globalKey" : "3ed314" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, - "meta" : { - "globalKey" : "3edb13" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } }, "meta" : { - "globalKey" : "211dc30c" - } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, - "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" - } - } + "globalKey" : "815062c0", + "externalKey" : "p1" } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, - "meta" : { - "globalKey" : "3edb14" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, - "meta" : { - "globalKey" : "3ee313" - } + } + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", + "meta" : { + "globalKey" : "3edb14" } + }, + "meta" : { + "globalKey" : "3edb14" } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3ee313" } }, "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "3ee313" } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, - "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" - } + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } - } ] + } } - }, - "meta" : { - "globalKey" : "bcbd392a" - } - } ], - "meta" : { - "globalKey" : "d503150b" + } ] } + }, + "meta" : { + "globalKey" : "8e8f9e5b" } - }, + } ], "meta" : { - "globalKey" : "d503150b" + "globalKey" : "ee8b607c" } - }, - "meta" : { - "globalKey" : "d503150b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "ee8b607c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -435,70 +354,112 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "84141f73" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "56544854" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], + }, "meta" : { - "globalKey" : "aab17b18" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" + } ], + "meta" : { + "globalKey" : "aab17b18" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ea0d0bb9" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ef1e6c61" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -534,10 +495,10 @@ } } ], "meta" : { - "globalKey" : "bfc699ab" + "globalKey" : "f7c4d603" } }, "meta" : { - "globalKey" : "bfc699ab" + "globalKey" : "f7c4d603" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.json index ff8abe163c..d8f6c1f9bd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex02-dividend-swap-collateral.json @@ -1,415 +1,325 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ea0d0bb9" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ef1e6c61" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - } - }, + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c0" - } - }, - "meta" : { - "globalKey" : "815062c0" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } } }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - } - }, + }, + "meta" : { + "globalKey" : "815062c0" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c1" - } - }, - "meta" : { - "globalKey" : "815062c1" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } } }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", + }, + "meta" : { + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/instrumentId" + "globalKey" : "3ed314" } }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR", + "meta" : { + "globalKey" : "3ed314" + } + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "3edb13" } }, "meta" : { - "globalKey" : "293529" + "globalKey" : "3edb13" } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT", + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } }, "meta" : { - "globalKey" : "2929e8" + "globalKey" : "815062c0", + "externalKey" : "p1" } - }, { - "name" : { - "value" : "XMON", + } + } + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "3edb14" } }, "meta" : { - "globalKey" : "292b94" + "globalKey" : "3edb14" } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + } } }, - "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, - "meta" : { - "globalKey" : "3ed314" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, - "meta" : { - "globalKey" : "3edb13" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3ee313" } }, "meta" : { - "globalKey" : "211dc30c" - } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, - "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" - } - } + "globalKey" : "3ee313" } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, - "meta" : { - "globalKey" : "3edb14" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, - "meta" : { - "globalKey" : "3ee313" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } }, "meta" : { - "globalKey" : "211dc30c" - } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, - "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" - } - } + "globalKey" : "815062c1", + "externalKey" : "p2" } } - } ] + } } - }, - "meta" : { - "globalKey" : "bcbd392a" - } - } ], - "meta" : { - "globalKey" : "d503150b" + } ] } + }, + "meta" : { + "globalKey" : "8e8f9e5b" } - }, + } ], "meta" : { - "globalKey" : "d503150b" + "globalKey" : "ee8b607c" } - }, - "meta" : { - "globalKey" : "d503150b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "ee8b607c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -453,70 +363,112 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "84141f73" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "56544854" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "aab17b18" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" + } ], + "meta" : { + "globalKey" : "aab17b18" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ea0d0bb9" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ef1e6c61" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -630,10 +582,10 @@ } }, "meta" : { - "globalKey" : "617e8e9c" + "globalKey" : "f3b56af4" } }, "meta" : { - "globalKey" : "617e8e9c" + "globalKey" : "f3b56af4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json index c5af935d0d..6ca63a9780 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json @@ -1,293 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ea0d0bb9" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ef1e6c61" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - } - }, + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c0" - } - }, - "meta" : { - "globalKey" : "815062c0" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } } }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - } - }, + }, + "meta" : { + "globalKey" : "815062c0" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c1" - } - }, - "meta" : { - "globalKey" : "815062c1" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } } }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "76109246" - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".N225", + }, + "meta" : { + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "76109246" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "specialDividends" : false, + "materialDividend" : false, + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { - "scheme" : "http://example.com/instrumentId" + "globalKey" : "3ed314" } }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTKS" - }, "meta" : { - "globalKey" : "294564" + "globalKey" : "3ed314" } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XOSE" - }, - "meta" : { - "globalKey" : "293389" - } - } ], - "name" : "NIKKEI 225 INDEX", - "assetClass" : "Equity" + } } }, - "meta" : { - "globalKey" : "4f0d6278" - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "specialDividends" : false, - "materialDividend" : false, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, - "meta" : { - "globalKey" : "3ed314" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, - "meta" : { - "globalKey" : "3edb13" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", "meta" : { - "globalKey" : "22da41" + "globalKey" : "3edb13" } }, "meta" : { - "globalKey" : "211ff630" + "globalKey" : "3edb13" } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, - "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" - } - } - } - }, - "dividendValuationDate" : { + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" + } + }, + "meta" : { + "globalKey" : "211ff630" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { "relativeDate" : { "periodMultiplier" : 3, "period" : "D", @@ -301,77 +210,77 @@ } }, "meta" : { - "globalKey" : "815062c0" + "globalKey" : "815062c0", + "externalKey" : "p1" } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, - "meta" : { - "globalKey" : "3edb14" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, - "meta" : { - "globalKey" : "3ee313" - } - } - } + } + }, + "dividendValuationDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" + } + }, + "meta" : { + "globalKey" : "815062c0" + } + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", "meta" : { - "globalKey" : "22da41" + "globalKey" : "3edb14" } }, "meta" : { - "globalKey" : "211ff630" + "globalKey" : "3edb14" } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, - "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" - } + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", + "meta" : { + "globalKey" : "3ee313" } + }, + "meta" : { + "globalKey" : "3ee313" } - }, - "dividendValuationDate" : { + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" + } + }, + "meta" : { + "globalKey" : "211ff630" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { "relativeDate" : { "periodMultiplier" : 3, "period" : "D", @@ -385,47 +294,64 @@ } }, "meta" : { - "globalKey" : "815062c1" + "globalKey" : "815062c1", + "externalKey" : "p2" } } - } ] + } + }, + "dividendValuationDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" + } + }, + "meta" : { + "globalKey" : "815062c1" + } } - }, - "meta" : { - "globalKey" : "1f7363c1" - } - } ], - "meta" : { - "globalKey" : "aff17622" + } ] } + }, + "meta" : { + "globalKey" : "5548d91b" } - }, + } ], "meta" : { - "globalKey" : "aff17622" + "globalKey" : "3dde70da" } - }, - "meta" : { - "globalKey" : "aff17622" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "3dde70da" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -453,70 +379,112 @@ "globalKey" : "293389" } } ], - "name" : "NIKKEI 225 INDEX", + "name" : { + "value" : "NIKKEI 225 INDEX" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b04f86ea" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "JPY" + } } }, "meta" : { - "globalKey" : "7ef9301b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "f42ff73e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" + } ], + "meta" : { + "globalKey" : "f42ff73e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ea0d0bb9" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ef1e6c61" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -552,10 +520,10 @@ } } ], "meta" : { - "globalKey" : "da33d15b" + "globalKey" : "e34a2a36" } }, "meta" : { - "globalKey" : "da33d15b" + "globalKey" : "e34a2a36" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json index 854a588d7e..7a89a5b331 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json @@ -1,478 +1,397 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2009-01-27", - "meta" : { - "globalKey" : "3ec85b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" + } ], + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } - }, - "meta" : { - "globalKey" : "815062c0" } }, "meta" : { "globalKey" : "815062c0" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "3ea988bb", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "3ea988bb", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } - }, - "meta" : { - "globalKey" : "815062c1" } }, "meta" : { "globalKey" : "815062c1" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "405e615a", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + } + }, + "meta" : { + "globalKey" : "405e615a", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", - "meta" : { - "scheme" : "http://example.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT" - }, - "meta" : { - "globalKey" : "2929e8" - } - }, { - "name" : { - "value" : "XMON" - }, - "meta" : { - "globalKey" : "292b94" - } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "f831b3d1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { "globalKey" : "3ed314" } + }, + "meta" : { + "globalKey" : "3ed314" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", "meta" : { "globalKey" : "3edb13" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3edb13" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } + }, + "meta" : { + "globalKey" : "815062c0", + "externalKey" : "p1" } } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", "meta" : { "globalKey" : "3edb14" } + }, + "meta" : { + "globalKey" : "3edb14" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", "meta" : { "globalKey" : "3ee313" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3ee313" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } } - } ] - } - }, - "meta" : { - "globalKey" : "43f2c988" + } + } ] } - } ], + }, "meta" : { - "globalKey" : "8b9a0e29" + "globalKey" : "bf312a39" } + } ], + "meta" : { + "globalKey" : "751b051a" } - }, - "meta" : { - "globalKey" : "8b9a0e29" } }, "meta" : { - "globalKey" : "8b9a0e29" + "globalKey" : "751b051a" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "c6635495" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "c6635495" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "3aee40f8" } - }, + } ], "meta" : { - "globalKey" : "c6635495" + "globalKey" : "3aee40f8" } - }, - "meta" : { - "globalKey" : "c6635495" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "3aee40f8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -507,70 +426,111 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "84141f73" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "56544854" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "aab17b18" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "aab17b18" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2009-01-27", + "meta" : { + "globalKey" : "3ec85b" + } }, "party" : [ { "partyId" : [ { @@ -612,7 +572,7 @@ } } ], "meta" : { - "globalKey" : "5f4a6037" + "globalKey" : "b922eaa7" } }, "transferHistory" : [ { @@ -663,6 +623,6 @@ } } ], "meta" : { - "globalKey" : "647450de" + "globalKey" : "94f08b4e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json index 46ad3fedc8..cd4aed168e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json @@ -1,476 +1,407 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "da4ebf86", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2012-01-27", - "meta" : { - "globalKey" : "3ee05b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "EUTA" - } - } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "EUTA" + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" + } ], + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } - }, - "meta" : { - "globalKey" : "815062c0" } }, "meta" : { "globalKey" : "815062c0" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } - }, - "meta" : { - "globalKey" : "815062c1" } }, "meta" : { "globalKey" : "815062c1" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "aadcf9f2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "externalReference" : "valuationDate" - } - } - }, - "meta" : { - "globalKey" : "aadcf9f2" - } - }, - "meta" : { - "globalKey" : "9ced0287" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".STOX50E", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "aadcf9f2" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "20a71d" } }, - "name" : "STOXX 50 Euro", - "assetClass" : "Equity" + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } } }, "meta" : { - "globalKey" : "395d4b10" + "globalKey" : "aadcf9f2" } }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-20", - "meta" : { - "globalKey" : "3efb14" - } - }, + "meta" : { + "globalKey" : "9ced0287" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-20", "meta" : { "globalKey" : "3efb14" } + }, + "meta" : { + "globalKey" : "3efb14" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f00d3" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } + }, + "meta" : { + "globalKey" : "815062c0", + "externalKey" : "p1" } } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } + }, + "meta" : { + "globalKey" : "3f00d3" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-06-20", - "meta" : { - "globalKey" : "3f0194" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-06-20", "meta" : { "globalKey" : "3f0194" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f0194" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } } - } ] - } - }, - "meta" : { - "globalKey" : "94b11e35" + } + } ] } - } ], + }, "meta" : { - "globalKey" : "14ce86f4" + "globalKey" : "29efa045" } + } ], + "meta" : { + "globalKey" : "2c4cef84" } - }, - "meta" : { - "globalKey" : "14ce86f4" } }, "meta" : { - "globalKey" : "14ce86f4" + "globalKey" : "2c4cef84" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "a6456f76" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "a6456f76" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "29f578cc" } - }, + } ], "meta" : { - "globalKey" : "a6456f76" + "globalKey" : "29f578cc" } - }, - "meta" : { - "globalKey" : "a6456f76" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "index" : { + "meta" : { + "globalKey" : "29f578cc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -493,70 +424,111 @@ "globalKey" : "290e4a" } }, - "name" : "STOXX 50 Euro", + "name" : { + "value" : "STOXX 50 Euro" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "5586d526" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "EUR" + } } }, "meta" : { - "globalKey" : "57563a43" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, "meta" : { - "globalKey" : "3cec7ea0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "da4ebf86", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "3cec7ea0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "da4ebf86", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "da4ebf86", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2012-01-27", + "meta" : { + "globalKey" : "3ee05b" + } }, "party" : [ { "partyId" : [ { @@ -599,7 +571,7 @@ } } ], "meta" : { - "globalKey" : "40b49522" + "globalKey" : "761b09c3" } }, "transferHistory" : [ { @@ -650,6 +622,6 @@ } } ], "meta" : { - "globalKey" : "8c57d4e9" + "globalKey" : "7502b68a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json index e432f183f9..ac7fd537ab 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json @@ -1,483 +1,414 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "1805a374", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2012-01-27", - "meta" : { - "globalKey" : "3ee05b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "a7504715" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", - "meta" : { - "globalKey" : "5d273b4a" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "EUTA" - } - } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "a7504715" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", + "meta" : { + "globalKey" : "5d273b4a" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "EUTA" + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" + } ], + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } - }, - "meta" : { - "globalKey" : "815062c0" } }, "meta" : { "globalKey" : "815062c0" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : 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+ "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } - }, - "meta" : { - "globalKey" : "815062c1" } }, "meta" : { "globalKey" : "815062c1" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "aadcf9f2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : 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"http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "aadcf9f2" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "20a71d" } }, - "name" : "STOXX 50 Euro", - "assetClass" : "Equity" + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } } }, "meta" : { - "globalKey" : "395d4b10" + "globalKey" : "aadcf9f2" } }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-20", - "meta" : { - "globalKey" : "3efb14" - } - }, + "meta" : { + "globalKey" : "9ced0287" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-20", "meta" : { "globalKey" : "3efb14" } + }, + "meta" : { + "globalKey" : "3efb14" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f00d3" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } + }, + "meta" : { + "globalKey" : "815062c0", + "externalKey" : "p1" } } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } + }, + "meta" : { + "globalKey" : "3f00d3" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-06-20", - "meta" : { - "globalKey" : "3f0194" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-06-20", "meta" : { "globalKey" : "3f0194" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f0194" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } } - } ] - } - }, - "meta" : { - "globalKey" : "94b11e35" + } + } ] } - } ], + }, "meta" : { - "globalKey" : "14ce86f4" + "globalKey" : "29efa045" } + } ], + "meta" : { + "globalKey" : "2c4cef84" } - }, - "meta" : { - "globalKey" : "14ce86f4" } }, "meta" : { - "globalKey" : "14ce86f4" + "globalKey" : "2c4cef84" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "938db858" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "938db858" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "d0c1e92a" } - }, + } ], "meta" : { - "globalKey" : "938db858" + "globalKey" : "d0c1e92a" } - }, - "meta" : { - "globalKey" : "938db858" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "index" : { + "meta" : { + "globalKey" : "d0c1e92a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -500,77 +431,118 @@ "globalKey" : "290e4a" } }, - "name" : "STOXX 50 Euro", + "name" : { + "value" : "STOXX 50 Euro" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "5586d526" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "EUR" + } } }, "meta" : { - "globalKey" : "57563a43" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "3cec7ea0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "3cec7ea0" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1805a374", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1805a374", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] - } ] + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "1805a374", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2012-01-27", + "meta" : { + "globalKey" : "3ee05b" + } }, "party" : [ { "partyId" : [ { @@ -632,7 +604,7 @@ } } ], "meta" : { - "globalKey" : "60be4fe9" + "globalKey" : "7253f3a8" } }, "transferHistory" : [ { @@ -683,6 +655,6 @@ } } ], "meta" : { - "globalKey" : "3adf6ab0" + "globalKey" : "7e85816f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.json index 6a06d236f1..a1454bb984 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex01-american-call-stock-long-form.json @@ -1,224 +1,189 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "baea5814" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "baea5814" + "globalKey" : "aedc32dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "1930298c" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "1930298c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "a80bd90" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -253,30 +218,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -360,7 +355,7 @@ } }, "meta" : { - "globalKey" : "2d73b18a" + "globalKey" : "bdc9d882" } }, "transferHistory" : [ { @@ -411,6 +406,6 @@ } } ], "meta" : { - "globalKey" : "96f189fd" + "globalKey" : "3f8048f5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.json index 85c223b676..3d3dabbd9c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqd-ex04-european-call-index-long-form.json @@ -1,212 +1,160 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyB.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2001-09-04", - "meta" : { - "globalKey" : "3e8a44" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "2c4c46fb" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "valuation" - } - } - }, + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "2c4c46fb" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "valuation" } - }, - "meta" : { - "globalKey" : "38606287" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SSMI", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "name" : "Swiss Market Index", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "ef0bfae3" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2004-12-19", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb46d18b" - } - }, + "meta" : { + "globalKey" : "2c4c46fb" + } + }, + "meta" : { + "globalKey" : "38606287" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2004-12-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb46d18b" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "e3d825ff" - } - }, - "strike" : { - "strikePrice" : { - "value" : 8700, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb46d18b" } }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "eb46d18b" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "e3d825ff" + } + }, + "strike" : { + "strikePrice" : { + "value" : 8700, + "unit" : { + "currency" : { + "value" : "CHF" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e4c22de1" } - }, + } ], "meta" : { - "globalKey" : "fdd47d3d" + "globalKey" : "e4c22de1" } }, - "meta" : { - "globalKey" : "fdd47d3d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 2500, + "meta" : { + "globalKey" : "b903f80" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 2500, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "financialUnit" : "IndexUnit" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -229,36 +177,67 @@ "globalKey" : "293090" } }, - "name" : "Swiss Market Index", + "name" : { + "value" : "Swiss Market Index" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "874dc0da" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "bf6418d4" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyB.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2001-09-04", + "meta" : { + "globalKey" : "3e8a44" + } }, "party" : [ { "partyId" : [ { @@ -342,7 +321,7 @@ } }, "meta" : { - "globalKey" : "d8cef1bd" + "globalKey" : "25e33fd4" } }, "transferHistory" : [ { @@ -393,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "50dc250b" + "globalKey" : "39bd5e22" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.json index 9262c79f76..104f36409e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form-other-party.json @@ -1,501 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-2" } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "56b8bd08", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "e80e5233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2001-10-12", "2001-11-13", "2001-12-12", "2002-01-14", "2002-02-12", "2002-03-12", "2002-04-12", "2002-05-13", "2002-06-12", "2002-07-12", "2002-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "e80e5233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "2276b670" + "globalKey" : "e80e5233" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252ee503" - } - }, + "meta" : { + "globalKey" : "e80e5233", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : 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"externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "dfe60714", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "252ee503", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "96fa6685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "dfe60714" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "PrimaryBusinessCenter" }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "252ee503", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "4fa43e79" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "56b8bd08", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "81133ec" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "81133ec" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "e9391333" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -529,93 +458,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59569", + "externalReference" : "party3" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59569", + "externalReference" : "party3" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59569", - "externalReference" : "party3" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59569", - "externalReference" : "party3" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -717,10 +705,10 @@ } }, "meta" : { - "globalKey" : "6a5b9995" + "globalKey" : "8d870b9d" } }, "meta" : { - "globalKey" : "6a5b9995" + "globalKey" : "8d870b9d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json index 4962b85671..38e566ef99 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json @@ -1,501 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { 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"globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "e80e5233", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "56b8bd08", - "externalKey" : "EquityPaymentDate" + "globalKey" : "dfe60714", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NASD", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "247344" - } + } ], + "finalPaymentDate" : { + "relativeDate" : { + 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"dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "5b213be9" - } - } ], - "meta" : { - "globalKey" : "2b1f5db0" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ad51f130" } - }, + } ], "meta" : { - "globalKey" : "81133ec" + "globalKey" : "4c5dab37" } }, - "meta" : { - "globalKey" : "81133ec" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "e9391333" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -529,93 +458,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -701,10 +689,10 @@ } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.json index 1d413137ed..84c87fa613 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex06-single-index-long-form.json @@ -1,478 +1,388 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "9591991c" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d3", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593db59" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d3", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d3", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "94f84ae8", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d3", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "94f84ae8", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2002-10-21", "2004-01-20", "2004-04-22" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "60230b82" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2002-10-21", "2004-01-20", "2004-04-22" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "60230b82", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "47c5c201" + "globalKey" : "60230b82" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "meta" : { + "globalKey" : "60230b82", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "47c5c201" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "97348ac2" + "globalKey" : "25690940" } + }, + "meta" : { + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bc36cf4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "HKHK" - } ], - "meta" : { - "globalKey" : "41619c9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "60230b82", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "bc36cf4", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "41619c9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "25690940", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "97348ac2" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bc36cf4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "HKHK" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "41619c9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "60230b82", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "94f84ae8", - "externalKey" : "EquityPaymentDate" + "globalKey" : "bc36cf4", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", - "meta" : { - "scheme" : "http://www.example.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "2929e8" - } - }, { - "name" : { - "value" : "XMON", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "292b94" - } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "41619c9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "25690940", + "externalReference" : "FinalValuationDate" } }, "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "80a9fbfc" } - } ], + }, "meta" : { - "globalKey" : "30f26bd5" + "globalKey" : "94f84ae8", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "4328d66d" } - }, + } ], "meta" : { - "globalKey" : "59e435d8" + "globalKey" : "49feba86" } }, - "meta" : { - "globalKey" : "59e435d8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 5591987.41, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5591987.41, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "b27cb089" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 5591987.41, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5591987.41, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -516,92 +426,153 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "83c42cbb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "4a0c7ec" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8a708821" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c0cf9ff6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9591991c" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593db59" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -687,10 +658,10 @@ } }, "meta" : { - "globalKey" : "6291d22a" + "globalKey" : "a608d0fd" } }, "meta" : { - "globalKey" : "6291d22a" + "globalKey" : "a608d0fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.json index 1729a1d94a..23319b525a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex09-compounding-swap.json @@ -1,413 +1,351 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3cfd166", - "externalReference" : "BankB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRADEABC", - "meta" : { - "scheme" : "TradeRefNbr" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "f6c3958" - } - } ], - "tradeDate" : { - "value" : "2008-01-01", - "meta" : { - "globalKey" : "3ec041" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebb45b39" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ebb45b39", - "externalKey" : "equityEffectiveDate" + "globalKey" : "24a738" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "meta" : { + "globalKey" : "ebb45b39" + } + }, + "meta" : { + "globalKey" : "ebb45b39", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" + } + }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { - "globalKey" : "ea96b216" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-2" } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "floatingRateCalculation" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "46357da4" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "ebb45b39", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "46357da4" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" - } - }, - "meta" : { - "globalKey" : "ea96b216" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "adeb53f2", - "externalKey" : "floatingCalculationPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2009-01-01" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - } ] + "globalKey" : "46357da4" }, - "meta" : { - "globalKey" : "25f944ac" + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebb45b39", + "externalReference" : "equityEffectiveDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "adeb53f2", - "externalReference" : "floatingCalculationPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "46357da4" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "8c441872" + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } }, "meta" : { - "globalKey" : "902f1e10" + "globalKey" : "ea96b216" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "adeb53f2", + "externalKey" : "floatingCalculationPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2009-01-01" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25f944ac" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "25f944ac" } - }, + } ] + }, + "meta" : { + "globalKey" : "25f944ac" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "adeb53f2", + "externalReference" : "floatingCalculationPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "8c441872" + } + }, + "meta" : { + "globalKey" : "902f1e10" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2009-01-01" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2009-01-01" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f944ac" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "f85ffd21", - "externalKey" : "equityValuationDates" + "globalKey" : "25f944ac" } }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "meta" : { - "globalKey" : "524b126b" - } + "meta" : { + "globalKey" : "25f944ac" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "f85ffd21", - "externalReference" : "equityValuationDates" - } - }, - "meta" : { - "globalKey" : "7e0a5d94" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "f85ffd21", - "externalReference" : "equityValuationDates" - } - }, - "meta" : { - "globalKey" : "7e0a5d94", - "externalKey" : "finalCashSettlementPaymentDate" - } + "meta" : { + "globalKey" : "f85ffd21", + "externalKey" : "equityValuationDates" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "meta" : { + "globalKey" : "524b126b" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "f85ffd21", + "externalReference" : "equityValuationDates" } }, "meta" : { - "globalKey" : "e5f7e728", - "externalKey" : "CashSettlementPaymentDate" + "globalKey" : "7e0a5d94" } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SPX", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "N", - "meta" : { - "scheme" : "http://www.abc.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "4e" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "ALL", - "meta" : { - "scheme" : "http://www.abc.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "fd81" - } - } ], - "assetClass" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "f85ffd21", + "externalReference" : "equityValuationDates" } }, "meta" : { - "globalKey" : "5824be2" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + "globalKey" : "7e0a5d94", + "externalKey" : "finalCashSettlementPaymentDate" } - }, - "meta" : { - "globalKey" : "c1abe542" } - } ], + }, "meta" : { - "globalKey" : "ab299352" + "globalKey" : "e5f7e728", + "externalKey" : "CashSettlementPaymentDate" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "mutualEarlyTermination" : false - }, - "meta" : { - "globalKey" : "4d5" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "5a33c7a4" } - }, + } ], "meta" : { - "globalKey" : "4678314a" + "globalKey" : "3eb451b4" } }, - "meta" : { - "globalKey" : "4678314a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : false }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4d5" } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + } + }, + "meta" : { + "globalKey" : "422217ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -446,73 +384,121 @@ } }, "meta" : { - "globalKey" : "23dc2851" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "9a1bad0d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519d790" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3cfd165", - "externalReference" : "BankA" + }, + "meta" : { + "globalKey" : "a48d1976" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cfd166", - "externalReference" : "BankB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3cfd165", + "externalReference" : "BankA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cfd166", + "externalReference" : "BankB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3cfd166", + "externalReference" : "BankB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRADEABC", + "meta" : { + "scheme" : "TradeRefNbr" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "f6c3958" + } + } ], + "tradeDate" : { + "value" : "2008-01-01", + "meta" : { + "globalKey" : "3ec041" + } }, "party" : [ { "partyId" : [ { @@ -603,10 +589,10 @@ } }, "meta" : { - "globalKey" : "a62d06f" + "globalKey" : "fd946201" } }, "meta" : { - "globalKey" : "a62d06f" + "globalKey" : "fd946201" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json index 0cb6fd3f2e..36645a62af 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json @@ -1,217 +1,146 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "72ad7ed7", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "124897", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-02", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25dff1ad" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + "globalKey" : "25dff1ad" } - } - } ], - "meta" : { - "globalKey" : "ebf10858" - } - }, { - "issuerReference" : { - "globalReference" : "72ad8d67", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "124897", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25dff92f" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + "globalKey" : "25dff92f" } - } - } ], - "meta" : { - "globalKey" : "ebf17cb7" - } - } ], - "tradeDate" : { - "value" : "2008-06-02", - "meta" : { - "globalKey" : "3ec182" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-02", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25dff1ad" + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { - "globalKey" : "25dff1ad" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "25dff92f" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "25dff92f" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e56d3bea" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "e56d3bea" + "globalKey" : "365baaee" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "e56d3bea" + } + }, + "meta" : { + "globalKey" : "e56d3bea" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-04", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "8c3233ea" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8c3233ea" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "c1e5d4", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "8c3233ea" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e56d3bea" - } - }, - "meta" : { - "globalKey" : "e56d3bea" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18c9" - }, - "rollConvention" : "4" - }, - "periodDatesAdjustments" : { + "meta" : { + "globalKey" : "8c3233ea" + } + }, + "meta" : { + "globalKey" : "c1e5d4", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -224,304 +153,316 @@ "meta" : { "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "e56d3bea" } }, "meta" : { - "globalKey" : "9f0f331b" + "globalKey" : "e56d3bea" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18c9" + }, + "rollConvention" : "4" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } - } ] - }, - "meta" : { - "globalKey" : "9f0f331b", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c1e5d4", - "externalReference" : "interestCalcPeriodDates" - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" } }, "meta" : { - "globalKey" : "8325f327" + "globalKey" : "9f0f331b" } - }, + } ] + }, + "meta" : { + "globalKey" : "9f0f331b", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c1e5d4", + "externalReference" : "interestCalcPeriodDates" + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "e0f9bfca" + "globalKey" : "6c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "8325f327" + } + }, + "meta" : { + "globalKey" : "e0f9bfca" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "relativeDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "3c7152e0" + }, + "businessDayConvention" : "PRECEDING", + "dateRelativeTo" : { + "globalReference" : "9f0f331b", + "externalReference" : "interestLegPaymentDates" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, "meta" : { - "globalKey" : "76108015" + "globalKey" : "3c7152e0", + "externalKey" : "interimValuationDate" } }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "3c7152e0" - }, - "businessDayConvention" : "PRECEDING", - "dateRelativeTo" : { - "globalReference" : "9f0f331b", - "externalReference" : "interestLegPaymentDates" - } - }, + "meta" : { + "globalKey" : "100bc215" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-02", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "3c7152e0", - "externalKey" : "interimValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "100bc215" + "globalKey" : "25fdf9ad" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-02", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf9ad" - } - }, + "meta" : { + "globalKey" : "25fdf9ad", + "externalKey" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "97c97b2f" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "25fdf9ad", - "externalKey" : "finalValuationDate" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "97c97b2f" + "dateRelativeTo" : { + "globalReference" : "3c7152e0", + "externalReference" : "interimValuationDate" } + }, + "meta" : { + "globalKey" : "24ad6927" } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3c7152e0", - "externalReference" : "interimValuationDate" - } - }, - "meta" : { - "globalKey" : "24ad6927" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "25fdf9ad", - "externalReference" : "finalValuationDate" - } - }, + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "fc30271" + "globalKey" : "20a71d" } + }, + "dateRelativeTo" : { + "globalReference" : "25fdf9ad", + "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "fc30271" } - }, - "underlier" : { - "security" : { + } + }, + "meta" : { + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "6ffc8b2a" + } + } ], + "meta" : { + "globalKey" : "a7955020" + } + } + }, + "meta" : { + "globalKey" : "57ef643e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { "identifier" : [ { "identifier" : { - "value" : "NL0000009322", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "PHGe.AS", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "PHILIPS BUY BACK ORD" + "value" : "EUR-EURIBOR-Reuters" }, - "identifierType" : "Name" + "identifierType" : "Other" } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "28fe4f" + "globalKey" : "6c" } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "b0f5456" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + } } }, "meta" : { - "globalKey" : "4f3db0d4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - } ], - "meta" : { - "globalKey" : "e567644a" } } }, "meta" : { - "globalKey" : "5cdbece8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "5cdbece8" + "globalKey" : "81076317" } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + }, { + "price" : [ { + "value" : { + "value" : 10.0, + "unit" : { + "currency" : { + "value" : "EUR" } - } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" }, "meta" : { - "globalKey" : "4f4caf8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 300000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 300000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -564,24 +505,69 @@ } }, "meta" : { - "globalKey" : "5ff25d23" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "72ad7ed7", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "ff1f3ff7" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "72ad8d67", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "72ad7ed7", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "72ad8d67", + "externalReference" : "party2" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "72ad7ed7", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "124897", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ebf10858" + } + }, { + "issuerReference" : { + "globalReference" : "72ad8d67", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "124897", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf17cb7" + } + } ], + "tradeDate" : { + "value" : "2008-06-02", + "meta" : { + "globalKey" : "3ec182" + } }, "party" : [ { "partyId" : [ { @@ -623,10 +609,10 @@ } } ], "meta" : { - "globalKey" : "18be4fb5" + "globalKey" : "7787485a" } }, "meta" : { - "globalKey" : "18be4fb5" + "globalKey" : "7787485a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json index 1ea6158358..6565d11f0f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json @@ -1,484 +1,413 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3eba58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2007-09-24", - "meta" : { - "globalKey" : "3eba58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3eba58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 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+ } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2007-10-12", "2007-11-13", "2007-12-12", "2008-01-14", "2008-02-12", "2008-03-12", "2008-04-12", "2008-05-13", "2008-06-12", "2008-07-12", "2008-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "4ae48233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2007-10-12", "2007-11-13", "2007-12-12", "2008-01-14", "2008-02-12", "2008-03-12", "2008-04-12", "2008-05-13", "2008-06-12", "2008-07-12", "2008-08-12" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "4ae48233", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : 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"meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25e31503" } }, "meta" : { - "globalKey" : "e03bd13c", - "externalKey" : "EquityPaymentDate" + "globalKey" : "25e31503", + "externalKey" : "FinalValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "NOK1V.HE", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Nokya Oyj" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XHEL", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "meta" : { + "globalKey" : "97ae9685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "c4b70c48" + }, + "dayType" : 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+ } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 0.01 + } ], + "firstOrSecondPeriod" : "FirstPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4a4b3d7b" } } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "faf8442" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "77d653fe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -513,80 +442,145 @@ } }, "meta" : { - "globalKey" : "29307078" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "52b7dc88" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d061dc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c73bea9b" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2007-09-24", + "meta" : { + "globalKey" : "3eba58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -670,10 +664,10 @@ } }, "meta" : { - "globalKey" : "f6cf4197" + "globalKey" : "ace08a34" } }, "meta" : { - "globalKey" : "f6cf4197" + "globalKey" : "ace08a34" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json index 2b74db6bac..3fc0684bc8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json @@ -1,284 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "c27138c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - 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"meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -693,30 +644,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c27138c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "c2787eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -784,10 +782,10 @@ } }, "meta" : { - "globalKey" : "b512e701" + "globalKey" : "1abbdee6" } }, "meta" : { - "globalKey" : "b512e701" + "globalKey" : "1abbdee6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json index b498e23348..640f243a10 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json @@ -1,683 +1,624 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "657a51cd", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "ee0abbb5" - } - }, { - "issuerReference" : { - "globalReference" : "af987d91", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" + } + }, + "meta" : { + "globalKey" : "bf744072" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "bf744072", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf744072" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-02", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "bf744072", - "externalKey" : "equityEffectiveDate" + "globalKey" : "d3bf0271" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-02", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf8caab3" - } + "meta" : { + "globalKey" : "bf8caab3" + } + }, + "meta" : { + "globalKey" : "bf8caab3" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "bf8caab3" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-03", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, - "meta" : { - "globalKey" : "bce92875" - } - }, - "meta" : { - "globalKey" : "bce92875", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-04", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-03", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "d61e0a94" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "d61e0a94", - "externalKey" : "interestTerminationDate" + "globalKey" : "212500d8" } }, "meta" : { - "globalKey" : "ea5ee09", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "bce92875" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bce92875", - "externalReference" : 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"http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "KR7005430004", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "KOREA AIR SVC ORDINARY" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKRX", - "meta" : { - "scheme" : "http://www.example.com/exchangeId" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "cf1aa20" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-02", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "292479" + "globalKey" : "d3bf0271" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "bf8caab3" + } }, "meta" : { - "globalKey" : "30985753" + "globalKey" : "bf8caab3", + "externalKey" : "finalValuationDate" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "KRW", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "758cf53f" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "123d0" - } - }, - "crossCurrency" : { - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "KRW=", - "meta" : { - "scheme" : "http://www.example.com/rate-source-page-1-0" - } - } - } + "globalKey" : "3fdc63f3" }, - "fixingTime" : { - "hourMinuteTime" : "14:45:00", - "businessCenter" : { - "value" : "KRSE" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } + }, + "dateRelativeTo" : { + "globalReference" : "6e25d360", + "externalReference" : "interimValuationDate" } + }, + "meta" : { + "globalKey" : "3fdc63f3" } } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "SharePayment" - } + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "2af1fd3d" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "bf8caab3", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "2af1fd3d" } - }, - "meta" : { - "globalKey" : "dd95f850", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "fda7887f" + "globalKey" : "aa29b36a" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "c594a82a" - } - }, - "meta" : { - "globalKey" : "c594a82a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "KRW", + "meta" : { + "globalKey" : "123d0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "crossCurrency" : { + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" + }, + "sourcePage" : { + "value" : "KRW=", + "meta" : { + "scheme" : "http://www.example.com/rate-source-page-1-0" + } + } + } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "fixingTime" : { + "hourMinuteTime" : "14:45:00", + "businessCenter" : { + "value" : "KRSE" } } + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "SharePayment" + } + } } ] } + }, + "meta" : { + "globalKey" : "ffdf0fc3", + "externalKey" : "returnLeg" } + } ], + "meta" : { + "globalKey" : "ae489db2" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "a86b8add" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "fc882901" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 5, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } } - } ], - "quantity" : [ { - "value" : { - "value" : 60000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ea14d725" + } + }, { + "price" : [ { + "value" : { + "value" : 5, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 60000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 300000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -720,31 +661,76 @@ } }, "meta" : { - "globalKey" : "df731447" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "af987d91", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4591e301" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "657a51cd", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "af987d91", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "657a51cd", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "af987d91", + "externalReference" : "party2" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "657a51cd", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "af987d91", - "externalReference" : "party2" - } ] + "meta" : { + "globalKey" : "ee0abbb5" + } + }, { + "issuerReference" : { + "globalReference" : "af987d91", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -828,10 +814,10 @@ } }, "meta" : { - "globalKey" : "135ba35a" + "globalKey" : "6c0291e1" } }, "meta" : { - "globalKey" : "135ba35a" + "globalKey" : "6c0291e1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json index b3c7df9c8c..5b369a70e5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json @@ -1,268 +1,117 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2f1783b5", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "13091112" - } - }, { - "issuerReference" : { - "globalReference" : "60beee7a", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" + } + }, + "meta" : { + "globalKey" : "bf745e7a" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "bf745e7a", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "13098571" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf745e7a" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "bf745e7a", - "externalKey" : "equityEffectiveDate" + "globalKey" : "d3bf0271" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, - "meta" : { - "globalKey" : "bf772f3a" - } + "meta" : { + "globalKey" : "bf772f3a" + } + }, + "meta" : { + "globalKey" : "bf772f3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "bf772f3a" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "ca88afa1" - } - }, - "meta" : { - "globalKey" : "ca88afa1", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "db9ea582", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ca88afa1", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "ca88afa1" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "db9ea582", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "ca88afa1", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -271,391 +120,483 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "537ab965" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bf745e7a", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bf772f3a", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "db9ea582", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "ca88afa1", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "6e25f168", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "8c7f3ba1" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "meta" : { - "globalKey" : "d3bf0271" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "bf772f3a" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "bf772f3a", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "72f30198" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" + } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "db9ea582", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "537ab965" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "6e25f168", - "externalReference" : "interimValuationDate" + "globalReference" : "bf745e7a", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "bf772f3a", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "d3bf0271" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "6e25f168", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", - "meta" : { - "scheme" : "http://www.example.com/exchangeId" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "8c7f3ba1" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "meta" : { - "globalKey" : "290e2b" + "globalKey" : "d3bf0271" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "bf772f3a" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "bf772f3a", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "currencyReference" : { - "externalReference" : "equityIssuerPaymentCurrency" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "72f30198" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dateRelativeTo" : { + "globalReference" : "6e25f168", + "externalReference" : "interimValuationDate" + } + }, + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "bf772f3a", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "2329a489", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "1181a8c4" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "6bc135c4" - } - }, - "meta" : { - "globalKey" : "6bc135c4" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "currencyReference" : { + "externalReference" : "equityIssuerPaymentCurrency" + } + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "e7608e98", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "bc1dbb93" + } + } + }, + "meta" : { + "globalKey" : "b4168893" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a8b3bfc6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "globalKey" : "a3c8d65b" + } + }, { + "price" : [ { + "value" : { + "value" : 10, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -698,24 +639,69 @@ } }, "meta" : { - "globalKey" : "ec0a2c08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "60beee7a", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "99662306" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2f1783b5", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "60beee7a", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2f1783b5", + "externalReference" : "partyA" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2f1783b5", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "13091112" + } + }, { + "issuerReference" : { + "globalReference" : "60beee7a", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "13098571" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -793,10 +779,10 @@ } }, "meta" : { - "globalKey" : "ccd98eed" + "globalKey" : "c57f0aaf" } }, "meta" : { - "globalKey" : "ccd98eed" + "globalKey" : "c57f0aaf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex01-fx-spot.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex01-fx-spot.json index e4ee7caab9..2109b42971 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex01-fx-spot.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex01-fx-spot.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-10-25", + "meta" : { + "globalKey" : "3e8a99" + } + }, + "meta" : { + "globalKey" : "3e8a99" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + } ], + "meta" : { + "globalKey" : "c6006226" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "7161b347" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,181 +187,6 @@ "globalKey" : "3e8a97" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-10-25", - "meta" : { - "globalKey" : "3e8a99" - } - }, - "meta" : { - "globalKey" : "3e8a99" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - } ], - "meta" : { - "globalKey" : "81954c1b" - } - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a5642346" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "6c87acb2" + "globalKey" : "5a624d36" } }, "meta" : { - "globalKey" : "6c87acb2" + "globalKey" : "5a624d36" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.json index 8925b637f9..8eb4ad01f5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex02-spot-cross-w-side-rates.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-10-25", + "meta" : { + "globalKey" : "3e8a99" + } + }, + "meta" : { + "globalKey" : "3e8a99" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + } ], + "meta" : { + "globalKey" : "c6006226" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.630068, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 6300680, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b64c93ad" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,181 +187,6 @@ "globalKey" : "3e8a97" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-10-25", - "meta" : { - "globalKey" : "3e8a99" - } - }, - "meta" : { - "globalKey" : "3e8a99" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - } ], - "meta" : { - "globalKey" : "81954c1b" - } - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.630068, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 6300680, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "fdce12e4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "d50806f3" + "globalKey" : "be16e0ff" } }, "meta" : { - "globalKey" : "d50806f3" + "globalKey" : "be16e0ff" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.json index a4aa91345b..bbdf51cbfe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex03-fx-fwd.json @@ -1,5 +1,159 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -39,187 +193,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -256,10 +229,10 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.json index f73c970e94..f0b9a656da 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex04-fx-fwd-w-settlement.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-04-01", + "meta" : { + "globalKey" : "3e9101" + } + }, + "meta" : { + "globalKey" : "3e9101" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c60128be" + } + } ], + "meta" : { + "globalKey" : "c60128be" + } + } + }, + "meta" : { + "globalKey" : "c60128be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.4643, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14643000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f564cfe7" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,181 +187,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-04-01", - "meta" : { - "globalKey" : "3e9101" - } - }, - "meta" : { - "globalKey" : "3e9101" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - } ], - "meta" : { - "globalKey" : "78f6f683" - } - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.4643, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14643000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a1c49aa6" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "2786df3e" + "globalKey" : "b0c0ea82" } }, "meta" : { - "globalKey" : "2786df3e" + "globalKey" : "b0c0ea82" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.json index a4aa91345b..bbdf51cbfe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex05-fx-fwd-w-ssi.json @@ -1,5 +1,159 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -39,187 +193,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -256,10 +229,10 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.json index a698143c13..9c3b08bf60 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex06-fx-fwd-w-splits.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-14", + "meta" : { + "globalKey" : "3e908e" + } + }, + "meta" : { + "globalKey" : "3e908e" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011ad1" + } + } ], + "meta" : { + "globalKey" : "c6011ad1" + } + } + }, + "meta" : { + "globalKey" : "c6011ad1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.1072, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 13000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14393600, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "aa9cc2e6" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a41bc6e9", @@ -39,181 +187,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-14", - "meta" : { - "globalKey" : "3e908e" - } - }, - "meta" : { - "globalKey" : "3e908e" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - } ], - "meta" : { - "globalKey" : "541b0a90" - } - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.1072, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 13000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14393600, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "9383cacb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "d47d209d" + "globalKey" : "68f2ec37" } }, "meta" : { - "globalKey" : "d47d209d" + "globalKey" : "68f2ec37" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.json index 703536b6cc..c477e10447 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex07-non-deliverable-forward.json @@ -1,280 +1,255 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PARTYA345", - "meta" : { - "scheme" : "http://www.partyA.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "d1241fee" - } - }, { - "issuerReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CSFB9842", - "meta" : { - "scheme" : "http://www.csfb.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_NDF" } ], - "meta" : { - "globalKey" : "673ef37d" - } - } ], - "tradeDate" : { - "value" : "2002-01-09", - "meta" : { - "globalKey" : "3e9049" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_NDF" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2002-04-11", - "meta" : { - "globalKey" : "3e910b" - } - }, - "meta" : { - "globalKey" : "a5419be9" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "INR" - }, - "quoteBasis" : "Currency2PerCurrency1" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2002-04-11", + "meta" : { + "globalKey" : "3e910b" + } + }, + "meta" : { + "globalKey" : "85bd5321" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "quotedCurrencyPair" : { + "value" : { + "currency1" : { + "value" : "USD" }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "RBIB" - } - } - } + "currency2" : { + "value" : "INR" + }, + "quoteBasis" : "Currency2PerCurrency1" } }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "3e9109" + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-09", - "meta" : { - "globalKey" : "3e9109" - } - }, - "meta" : { - "globalKey" : "3e9109" - } + "sourcePage" : { + "value" : "RBIB" } } - }, - "valuationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "INMU" - } - }, - "meta" : { - "globalKey" : "264e8d45" } - } ] + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "3e9109" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-09", "meta" : { - "globalKey" : "0" + "globalKey" : "3e9109" } }, "meta" : { - "globalKey" : "b14144c1" + "globalKey" : "3e9109" } } - }, - "meta" : { - "globalKey" : "c086df02" + } + }, + "valuationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "INMU" } }, "meta" : { - "globalKey" : "f678e56b" + "globalKey" : "264e8d45" + } + } ] + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - } ], - "meta" : { - "globalKey" : "f678e56b" } + }, + "meta" : { + "globalKey" : "a30a161e" } - }, + } ], "meta" : { - "globalKey" : "f678e56b" + "globalKey" : "a30a161e" } - }, - "meta" : { - "globalKey" : "f678e56b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 43.40, - "unit" : { - "currency" : { - "value" : "INR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 43.35, - "operand" : 0.05, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" + "meta" : { + "globalKey" : "a30a161e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 43.40, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 43.35, + "operand" : 0.05, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" } - }, { - "value" : { - "value" : 434000000, - "unit" : { - "currency" : { - "value" : "INR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 434000000, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "currency2" : { - "value" : "INR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "7fbe9f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "74901093" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PARTYA345", + "meta" : { + "scheme" : "http://www.partyA.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "d1241fee" + } + }, { + "issuerReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CSFB9842", + "meta" : { + "scheme" : "http://www.csfb.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "673ef37d" + } + } ], + "tradeDate" : { + "value" : "2002-01-09", + "meta" : { + "globalKey" : "3e9049" + } }, "party" : [ { "partyId" : [ { @@ -312,10 +287,10 @@ } } ], "meta" : { - "globalKey" : "6fcc65a8" + "globalKey" : "b72762e1" } }, "meta" : { - "globalKey" : "6fcc65a8" + "globalKey" : "b72762e1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex08-fx-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex08-fx-swap.json index 6879aebf25..ad61042c85 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex08-fx-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex08-fx-swap.json @@ -1,363 +1,316 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "cf15004e" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DEUTDEFF", - "meta" : { - "scheme" : "http://www.db.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" } ], - "meta" : { - "globalKey" : "5246e55" - } - } ], - "tradeDate" : { - "value" : "2002-01-23", - "meta" : { - "globalKey" : "3e9057" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxSwap", + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-01-25", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "3e9059" } + }, + "meta" : { + "globalKey" : "3e9059" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011466" } }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-01-25", - "meta" : { - "globalKey" : "3e9059" - } - }, - "meta" : { - "globalKey" : "3e9059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "f2fab1db" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } - }, - "meta" : { - "globalKey" : "f381ccfe" - } - }, + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-25", "meta" : { - "globalKey" : "c6b74017" + "globalKey" : "3e9099" } - } ], + }, "meta" : { - "globalKey" : "12ad3cdc" + "globalKey" : "3e9099" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } } + }, + "meta" : { + "globalKey" : "f9327ec8" } - }, + } ], "meta" : { - "globalKey" : "1fd36851" + "globalKey" : "9a23cd2e" } - }, - "meta" : { - "globalKey" : "1fd36851" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" + "meta" : { + "globalKey" : "bd19f963" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "GBP" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "a5642346" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.5, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" + }, + "meta" : { + "globalKey" : "7161b347" + } + }, { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "GBP" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "81190e26" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "67f3ec67" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "cf15004e" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DEUTDEFF", + "meta" : { + "scheme" : "http://www.db.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5246e55" + } + } ], + "tradeDate" : { + "value" : "2002-01-23", + "meta" : { + "globalKey" : "3e9057" + } }, "party" : [ { "partyId" : [ { @@ -395,10 +348,10 @@ } } ], "meta" : { - "globalKey" : "62053a10" + "globalKey" : "cd5f445c" } }, "meta" : { - "globalKey" : "62053a10" + "globalKey" : "cd5f445c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex09-euro-opt.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex09-euro-opt.json index df8053d39a..6f6cadb99f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex09-euro-opt.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex09-euro-opt.json @@ -1,5 +1,190 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Delta-Put-FX-Option", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-06-06", + "meta" : { + "globalKey" : "3e9186" + } + }, + "meta" : { + "globalKey" : "3e9186" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-06-04", + "meta" : { + "globalKey" : "3e9184" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "cf370f4e" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.4920, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "f3db3d9c" + } + } ], + "meta" : { + "globalKey" : "f3db3d9c" + } + } + }, + "meta" : { + "globalKey" : "167eed0f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "AUD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 36900000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "AUD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2ba74073" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "partyX" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "partyY" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5bbdd746", @@ -39,221 +224,6 @@ "globalKey" : "3e9044" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Delta-Put-FX-Option", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-06-06", - "meta" : { - "globalKey" : "3e9186" - } - }, - "meta" : { - "globalKey" : "3e9186" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-06-04", - "meta" : { - "globalKey" : "3e9184" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "cf370f4e" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.4920, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "ExchangeRate" - } - }, - "meta" : { - "globalKey" : "d34a2f4d" - } - } ], - "meta" : { - "globalKey" : "d34a2f4d" - } - } - }, - "meta" : { - "globalKey" : "e959313a" - } - }, - "meta" : { - "globalKey" : "e959313a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "AUD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 36900000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "AUD" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "33d03b9a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "partyX" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "partyY" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -296,7 +266,7 @@ } } ], "meta" : { - "globalKey" : "eca34801" + "globalKey" : "2f45d271" } }, "transferHistory" : [ { @@ -347,6 +317,6 @@ } } ], "meta" : { - "globalKey" : "41a1f7d6" + "globalKey" : "1ce83246" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex10-amer-opt.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex10-amer-opt.json index f210946a7c..d9fedf8332 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex10-amer-opt.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex10-amer-opt.json @@ -1,283 +1,253 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456789", - "meta" : { - "scheme" : "http://partyA.com/trades" - } - } - } ], - "meta" : { - "globalKey" : "262c8e4a" - } - }, { - "issuerReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "ABN1789", - "meta" : { - "scheme" : "http://adnamro.com/trade-ids" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxOption", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "78f21be8" - } - } ], - "tradeDate" : { - "value" : "2001-12-04", - "meta" : { - "globalKey" : "3e8b04" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxOption", + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-06-06", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "3e9186" } + }, + "meta" : { + "globalKey" : "3e9186" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-06-06", - "meta" : { - "globalKey" : "3e9186" - } - }, - "meta" : { - "globalKey" : "3e9186" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-12-04", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "b141411f" + "globalKey" : "27e4e9" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "212500d8" } }, "meta" : { - "globalKey" : "c086df02" + "globalKey" : "d018b854" } }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-12-04", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, - "meta" : { - "globalKey" : "d018b854" - } - }, - "meta" : { - "globalKey" : "d018b854" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-06-04", - "meta" : { - "globalKey" : "3e9184" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "d018b854" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-06-04", "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3e9184" } }, "meta" : { - "globalKey" : "ce117ab3" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.4920, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "df8d0472" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, "meta" : { - "globalKey" : "df8d0472" + "globalKey" : "ce117ab3" } + }, + "strike" : { + "strikePrice" : { + "value" : 0.4920, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "5e4e53c1" } - }, + } ], "meta" : { - "globalKey" : "cc3643c9" + "globalKey" : "5e4e53c1" } - }, - "meta" : { - "globalKey" : "cc3643c9" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + "meta" : { + "globalKey" : "b39b268a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "AUD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 36900000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 36900000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "AUD" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "33d03b9a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "2ba74073" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456789", + "meta" : { + "scheme" : "http://partyA.com/trades" + } + } + } ], + "meta" : { + "globalKey" : "262c8e4a" + } + }, { + "issuerReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "ABN1789", + "meta" : { + "scheme" : "http://adnamro.com/trade-ids" + } + } + } ], + "meta" : { + "globalKey" : "78f21be8" + } + } ], + "tradeDate" : { + "value" : "2001-12-04", + "meta" : { + "globalKey" : "3e8b04" + } }, "party" : [ { "partyId" : [ { @@ -321,7 +291,7 @@ } } ], "meta" : { - "globalKey" : "574c1403" + "globalKey" : "19415f09" } }, "transferHistory" : [ { @@ -372,6 +342,6 @@ } } ], "meta" : { - "globalKey" : "14876dca" + "globalKey" : "c72d86d0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex11-non-deliverable-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex11-non-deliverable-option.json index 8ef33f1765..4d43108dbb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex11-non-deliverable-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex11-non-deliverable-option.json @@ -1,311 +1,283 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IBFXO-0123456789", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" - } - } - } ], - "meta" : { - "globalKey" : "bcd03f83" - } - }, { - "issuerReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IBFXO-0123456789", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "ForeignExchange:NDO" } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "bcd0b3e2" - } - } ], - "tradeDate" : { - "value" : "2001-01-15", - "meta" : { - "globalKey" : "3e884f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "ForeignExchange:NDO" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2001-04-11", - "meta" : { - "globalKey" : "3e890b" - } - }, - "meta" : { - "globalKey" : "933f36d2" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "quotedCurrencyPair" : { - "currency1" : { - "value" : "VEB" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2001-04-11", + "meta" : { + "globalKey" : "3e890b" + } + }, + "meta" : { + "globalKey" : "2b89fe0a" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "quotedCurrencyPair" : { + "value" : { + "currency1" : { + "value" : "VEB" }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "VEB01" - } - } - } + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency1PerCurrency2" } }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "3e8909" + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-09", - "meta" : { - "globalKey" : "3e8909" - } - }, - "meta" : { - "globalKey" : "3e8909" - } + "sourcePage" : { + "value" : "VEB01" } } - }, - "valuationTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "VECA" - } - }, - "meta" : { - "globalKey" : "96b4302e" } - } ] - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "3e8909" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-09", "meta" : { - "globalKey" : "0" + "globalKey" : "3e8909" } }, "meta" : { - "globalKey" : "b14144c1" + "globalKey" : "3e8909" } } - }, - "meta" : { - "globalKey" : "c086df02" } }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-04-09", - "meta" : { - "globalKey" : "3e8909" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "valuationTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "VECA" + } + }, + "meta" : { + "globalKey" : "96b4302e" + } + } ] + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-04-09", "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3e8909" } }, "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1.15, - "unit" : { - "currency" : { - "value" : "VEB" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "6606b30f" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, "meta" : { - "globalKey" : "6606b30f" + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1.15, + "unit" : { + "currency" : { + "value" : "VEB" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" } + }, + "meta" : { + "globalKey" : "c94590f3" } - }, + } ], "meta" : { - "globalKey" : "3543b169" + "globalKey" : "c94590f3" } - }, - "meta" : { - "globalKey" : "3543b169" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 17250000, - "unit" : { - "currency" : { - "value" : "VEB" - } + "meta" : { + "globalKey" : "a1eb894d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 17250000, + "unit" : { + "currency" : { + "value" : "VEB" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "VEB" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "39b99feb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "85abc997" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IBFXO-0123456789", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + } + } + } ], + "meta" : { + "globalKey" : "bcd03f83" + } + }, { + "issuerReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IBFXO-0123456789", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + } + } + } ], + "meta" : { + "globalKey" : "bcd0b3e2" + } + } ], + "tradeDate" : { + "value" : "2001-01-15", + "meta" : { + "globalKey" : "3e884f" + } }, "party" : [ { "partyId" : [ { @@ -349,7 +321,7 @@ } } ], "meta" : { - "globalKey" : "21e85ef7" + "globalKey" : "43da6b2b" } }, "transferHistory" : [ { @@ -400,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "248976d7" + "globalKey" : "2de7270b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex12-fx-barrier-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex12-fx-barrier-option.json index 99c5f4b9ae..9efefa130c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex12-fx-barrier-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex12-fx-barrier-option.json @@ -1,5 +1,183 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-08", + "meta" : { + "globalKey" : "3e9088" + } + }, + "meta" : { + "globalKey" : "3e9088" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-02-06", + "meta" : { + "globalKey" : "3e9086" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.9, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.8935 + } + } + }, + "meta" : { + "globalKey" : "b0bd9153" + } + } ], + "meta" : { + "globalKey" : "b0bd9153" + } + } + }, + "meta" : { + "globalKey" : "b0bd9153" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 4500000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "9d55c0ab" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,214 +217,6 @@ "globalKey" : "3e8a10" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-08", - "meta" : { - "globalKey" : "3e9088" - } - }, - "meta" : { - "globalKey" : "3e9088" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-02-06", - "meta" : { - "globalKey" : "3e9086" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.9, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.8935 - } - } - }, - "meta" : { - "globalKey" : "73183755" - } - } ], - "meta" : { - "globalKey" : "73183755" - } - } - }, - "meta" : { - "globalKey" : "73183755" - } - }, - "meta" : { - "globalKey" : "73183755" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 4500000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency1PerCurrency2" - } - } - } - }, - "meta" : { - "globalKey" : "3183a584" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -283,7 +253,7 @@ } } ], "meta" : { - "globalKey" : "87990f7a" + "globalKey" : "77916507" } }, "transferHistory" : [ { @@ -334,6 +304,6 @@ } } ], "meta" : { - "globalKey" : "370fe29a" + "globalKey" : "9733a127" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex20-avg-rate-option-parametric.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex20-avg-rate-option-parametric.json index 154fa68096..7c14116aec 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex20-avg-rate-option-parametric.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex20-avg-rate-option-parametric.json @@ -1,308 +1,270 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PA-12345", - "meta" : { - "scheme" : "http://www.partyA.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "c9e1a36c" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DB-98765", - "meta" : { - "scheme" : "http://www.db.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "20adbe1c" - } - } ], - "tradeDate" : { - "value" : "2001-08-16", - "meta" : { - "globalKey" : "3e8a10" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-04", - "meta" : { - "globalKey" : "3e8b04" - } - }, - "meta" : { - "globalKey" : "3e8b04" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-04", + "meta" : { + "globalKey" : "3e8b04" + } + }, + "meta" : { + "globalKey" : "3e8b04" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-01", - "meta" : { - "globalKey" : "3e8ac1" - } - }, - "meta" : { - "globalKey" : "3e8ac1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-30", - "meta" : { - "globalKey" : "3e8ade" - } - }, - "meta" : { - "globalKey" : "3e8ade" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - } - } + "sourcePage" : { + "value" : "BNBX" } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-01", "meta" : { - "globalKey" : "b141411f" + "globalKey" : "3e8ac1" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "3e8ac1" } }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { + "endDate" : { "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-30", - "meta" : { - "globalKey" : "3e8ade" - } - }, + "unadjustedDate" : "2001-11-30", "meta" : { - "globalKey" : "0" + "globalKey" : "3e8ade" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3e8ade" } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-30", + "meta" : { + "globalKey" : "3e8ade" } }, "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 9.82, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "7788203d" } + }, + "strike" : { + "strikePrice" : { + "value" : 9.82, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "580798af" } - }, + } ], "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "580798af" } - }, - "meta" : { - "globalKey" : "207e8ab5" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "580798af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 585539.71, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 585539.71, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "de207a86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2fcddc42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PA-12345", + "meta" : { + "scheme" : "http://www.partyA.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "c9e1a36c" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DB-98765", + "meta" : { + "scheme" : "http://www.db.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "20adbe1c" + } + } ], + "tradeDate" : { + "value" : "2001-08-16", + "meta" : { + "globalKey" : "3e8a10" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +302,7 @@ } } ], "meta" : { - "globalKey" : "f0eda109" + "globalKey" : "dc00bfab" } }, "transferHistory" : [ { @@ -391,6 +353,6 @@ } } ], "meta" : { - "globalKey" : "eb35e6a7" + "globalKey" : "dcdfbf49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex22-avg-rate-option-specific.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex22-avg-rate-option-specific.json index 397614f293..5454187549 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex22-avg-rate-option-specific.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex22-avg-rate-option-specific.json @@ -1,5 +1,335 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2010-12-04", + "meta" : { + "globalKey" : "3ed304" + } + }, + "meta" : { + "globalKey" : "3ed304" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" + }, + "sourcePage" : { + "value" : "BNBX" + } + } + }, + "observationDates" : { + "observationSchedule" : { + "observationDate" : [ { + "adjustedDate" : "2010-11-01", + "weight" : 1, + "meta" : { + "globalKey" : "79b8590" + } + }, { + "adjustedDate" : "2010-11-02", + "weight" : 1, + "meta" : { + "globalKey" : "79b85af" + } + }, { + "adjustedDate" : "2010-11-03", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ce" + } + }, { + "adjustedDate" : "2010-11-04", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ed" + } + }, { + "adjustedDate" : "2010-11-05", + "weight" : 3, + "meta" : { + "globalKey" : "79b860e" + } + }, { + "adjustedDate" : "2010-11-08", + "weight" : 1, + "meta" : { + "globalKey" : "79b8669" + } + }, { + "adjustedDate" : "2010-11-09", + "weight" : 1, + "meta" : { + "globalKey" : "79b8688" + } + }, { + "adjustedDate" : "2010-11-10", + "weight" : 1, + "meta" : { + "globalKey" : "79b86a7" + } + }, { + "adjustedDate" : "2010-11-11", + "weight" : 1, + "meta" : { + "globalKey" : "79b86c6" + } + }, { + "adjustedDate" : "2010-11-12", + "weight" : 3, + "meta" : { + "globalKey" : "79b86e7" + } + }, { + "adjustedDate" : "2010-11-15", + "weight" : 1, + "meta" : { + "globalKey" : "79b8742" + } + }, { + "adjustedDate" : "2010-11-16", + "weight" : 1, + "meta" : { + "globalKey" : "79b8761" + } + }, { + "adjustedDate" : "2010-11-17", + "weight" : 1, + "meta" : { + "globalKey" : "79b8780" + } + }, { + "adjustedDate" : "2010-11-18", + "weight" : 1, + "meta" : { + "globalKey" : "79b879f" + } + }, { + "adjustedDate" : "2010-11-19", + "weight" : 3, + "meta" : { + "globalKey" : "79b87c0" + } + }, { + "adjustedDate" : "2010-11-22", + "weight" : 1, + "meta" : { + "globalKey" : "79b881b" + } + }, { + "adjustedDate" : "2010-11-23", + "weight" : 1, + "meta" : { + "globalKey" : "79b883a" + } + }, { + "adjustedDate" : "2010-11-24", + "weight" : 1, + "meta" : { + "globalKey" : "79b8859" + } + }, { + "adjustedDate" : "2010-11-25", + "weight" : 1, + "meta" : { + "globalKey" : "79b8878" + } + }, { + "adjustedDate" : "2010-11-26", + "weight" : 3, + "meta" : { + "globalKey" : "79b8899" + } + }, { + "adjustedDate" : "2010-11-29", + "weight" : 1, + "meta" : { + "globalKey" : "79b88f4" + } + }, { + "adjustedDate" : "2010-11-30", + "weight" : 1, + "meta" : { + "globalKey" : "79b8913" + } + } ] + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2010-11-30", + "meta" : { + "globalKey" : "3ed2de" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "meta" : { + "globalKey" : "7788203d" + } + }, + "strike" : { + "strikePrice" : { + "value" : 12.40, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "8c25e9ca" + } + } ], + "meta" : { + "globalKey" : "8c25e9ca" + } + } + }, + "meta" : { + "globalKey" : "8c25e9ca" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 463709.68, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "e1a6c020" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5b0baa7d", @@ -39,374 +369,6 @@ "globalKey" : "3ed210" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2010-12-04", - "meta" : { - "globalKey" : "3ed304" - } - }, - "meta" : { - "globalKey" : "3ed304" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } - }, - "observationDates" : { - "observationSchedule" : { - "observationDate" : [ { - "adjustedDate" : "2010-11-01", - "weight" : 1, - "meta" : { - "globalKey" : "79b8590" - } - }, { - "adjustedDate" : "2010-11-02", - "weight" : 1, - "meta" : { - "globalKey" : "79b85af" - } - }, { - "adjustedDate" : "2010-11-03", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ce" - } - }, { - "adjustedDate" : "2010-11-04", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ed" - } - }, { - "adjustedDate" : "2010-11-05", - "weight" : 3, - "meta" : { - "globalKey" : "79b860e" - } - }, { - "adjustedDate" : "2010-11-08", - "weight" : 1, - "meta" : { - "globalKey" : "79b8669" - } - }, { - "adjustedDate" : "2010-11-09", - "weight" : 1, - "meta" : { - "globalKey" : "79b8688" - } - }, { - "adjustedDate" : "2010-11-10", - "weight" : 1, - "meta" : { - "globalKey" : "79b86a7" - } - }, { - "adjustedDate" : "2010-11-11", - "weight" : 1, - "meta" : { - "globalKey" : "79b86c6" - } - }, { - "adjustedDate" : "2010-11-12", - "weight" : 3, - "meta" : { - "globalKey" : "79b86e7" - } - }, { - "adjustedDate" : "2010-11-15", - "weight" : 1, - "meta" : { - "globalKey" : "79b8742" - } - }, { - "adjustedDate" : "2010-11-16", - "weight" : 1, - "meta" : { - "globalKey" : "79b8761" - } - }, { - "adjustedDate" : "2010-11-17", - "weight" : 1, - "meta" : { - "globalKey" : "79b8780" - } - }, { - "adjustedDate" : "2010-11-18", - "weight" : 1, - "meta" : { - "globalKey" : "79b879f" - } - }, { - "adjustedDate" : "2010-11-19", - "weight" : 3, - "meta" : { - "globalKey" : "79b87c0" - } - }, { - "adjustedDate" : "2010-11-22", - "weight" : 1, - "meta" : { - "globalKey" : "79b881b" - } - }, { - "adjustedDate" : "2010-11-23", - "weight" : 1, - "meta" : { - "globalKey" : "79b883a" - } - }, { - "adjustedDate" : "2010-11-24", - "weight" : 1, - "meta" : { - "globalKey" : "79b8859" - } - }, { - "adjustedDate" : "2010-11-25", - "weight" : 1, - "meta" : { - "globalKey" : "79b8878" - } - }, { - "adjustedDate" : "2010-11-26", - "weight" : 3, - "meta" : { - "globalKey" : "79b8899" - } - }, { - "adjustedDate" : "2010-11-29", - "weight" : 1, - "meta" : { - "globalKey" : "79b88f4" - } - }, { - "adjustedDate" : "2010-11-30", - "weight" : 1, - "meta" : { - "globalKey" : "79b8913" - } - } ] - } - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 12.40, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - } ], - "meta" : { - "globalKey" : "6cf6fa10" - } - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 463709.68, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } - } - } - }, - "meta" : { - "globalKey" : "d42a7fe4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -443,7 +405,7 @@ } } ], "meta" : { - "globalKey" : "b9d29e97" + "globalKey" : "938fa4bf" } }, "transferHistory" : [ { @@ -494,6 +456,6 @@ } } ], "meta" : { - "globalKey" : "4d9ae235" + "globalKey" : "c9b1f05d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.json index c357bc455e..7c13df6e20 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/fx/fx-ex28-non-deliverable-w-disruption.json @@ -1,273 +1,239 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d26b18a8", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678", - "meta" : { - "scheme" : "urn:hsbc:trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_NDF" } ], - "meta" : { - "globalKey" : "26887e99" - } - }, { - "issuerReference" : { - "globalReference" : "733fed68", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AZ5678901", - "meta" : { - "scheme" : "run:bnpp/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "12f63b93" - } - } ], - "tradeDate" : { - "value" : "2013-04-01", - "meta" : { - "globalKey" : "3ee901" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_NDF" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2013-10-01", - "meta" : { - "globalKey" : "3eea81" - } - }, - "meta" : { - "globalKey" : "78df60d7" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "ec526e55" - }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-09-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec526e55" - } - }, - "meta" : { - "globalKey" : "ec526e55" - } - } + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2013-10-01", + "meta" : { + "globalKey" : "3eea81" + } + }, + "meta" : { + "globalKey" : "78df60d7" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "afa87ab1" } - } ] + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "ec526e55" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-09-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ec526e55" } }, "meta" : { - "globalKey" : "b14144c1" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "globalKey" : "ec526e55" } } - }, - "meta" : { - "globalKey" : "8f19aac5" } }, "meta" : { - "globalKey" : "810fa10e" + "globalKey" : "afa87ab1" + } + } ] + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - } ], - "meta" : { - "globalKey" : "810fa10e" } + }, + "meta" : { + "globalKey" : "86a935a8" } - }, + } ], "meta" : { - "globalKey" : "810fa10e" + "globalKey" : "86a935a8" } - }, - "meta" : { - "globalKey" : "810fa10e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.7690, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.7645, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" + "meta" : { + "globalKey" : "86a935a8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.7690, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3000000, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.7645, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" } - }, { - "value" : { - "value" : 2307000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3000000, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2307000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "BRL" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "4ca2219" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "733fed68", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d26b18a8", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3aa70e14" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d26b18a8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "733fed68", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d26b18a8", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678", + "meta" : { + "scheme" : "urn:hsbc:trade-id" + } + } + } ], + "meta" : { + "globalKey" : "26887e99" + } + }, { + "issuerReference" : { + "globalReference" : "733fed68", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AZ5678901", + "meta" : { + "scheme" : "run:bnpp/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "12f63b93" + } + } ], + "tradeDate" : { + "value" : "2013-04-01", + "meta" : { + "globalKey" : "3ee901" + } }, "party" : [ { "partyId" : [ { @@ -303,10 +269,10 @@ } } ], "meta" : { - "globalKey" : "6ff10ac1" + "globalKey" : "6649a5a8" } }, "meta" : { - "globalKey" : "6ff10ac1" + "globalKey" : "6649a5a8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex01-yoy.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex01-yoy.json index 281b3c7850..299c8588e3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex01-yoy.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex01-yoy.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,29 +59,18 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "1b71c89f", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -184,119 +85,130 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "7c04949a" } }, "meta" : { - "globalKey" : "1f75a2d6" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "1b71c89f", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "b48514ba" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "BLS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "1f75a2d6" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "1/1" + "meta" : { + "globalKey" : "b48514ba" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "BLS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -310,29 +222,18 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "1b71cead", - "externalKey" : "N101C1" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -347,133 +248,244 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "81487960" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "c60dddca" + "globalKey" : "1b71cead", + "externalKey" : "N101C1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "c6597c34" - } - }, - "meta" : { - "globalKey" : "c6597c34" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b34971cc" + } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "81487960" } } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "c60dddca" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "c6597c34" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "cc63fc45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "cc63fc45" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "30ade99" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "d3a9b8c6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -540,7 +552,7 @@ } } ], "meta" : { - "globalKey" : "c4570b9e" + "globalKey" : "7142d757" } }, "transferHistory" : [ { @@ -599,6 +611,6 @@ } } ], "meta" : { - "globalKey" : "992ea69d" + "globalKey" : "f94a4f44" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json index 2ce7ea91e7..b19aeff397 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,55 +59,18 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d93d41", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,131 +85,31 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "7c04949a" } }, - "bondReference" : { - "bond" : { - "identifier" : { - "value" : "XS0125141316", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, - "conditionPrecedentBond" : true - }, "meta" : { - "globalKey" : "4f84cd4d" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "b48514ba" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "BLS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -348,55 +123,133 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d9434f", - "externalKey" : "N101C1" + "globalKey" : "d349efa2" + } + }, + "meta" : { + "globalKey" : "d349efa2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "98d93d41", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72d0e7b0" + } + }, + "bondReference" : { + "bond" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0125141316", "meta" : { - "globalKey" : "78" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN-1-0" } }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "conditionPrecedentBond" : true + }, + "meta" : { + "globalKey" : "a8279c66" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "b48514ba" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "BLS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,22 +264,18 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "e0f0b49a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "98d9434f", - "externalReference" : "N101C1" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -435,19 +284,36 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "cd37984b", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -462,141 +328,290 @@ } }, "meta" : { - "globalKey" : "cd37984b", - "externalKey" : "resetDates" + "globalKey" : "d349efa2" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "23f52e0f" + "globalKey" : "d349efa2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "a2cb8ae2" + "globalKey" : "98d9434f", + "externalKey" : "N101C1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "6a60434c" - } - }, - "meta" : { - "globalKey" : "6a60434c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "72d0e7b0" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "98d9434f", + "externalReference" : "N101C1" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "cd37984b", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cd37984b", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "23f52e0f" } } ], "meta" : { - "globalKey" : "fac5b305" + "globalKey" : "a5079d69" } - }, { - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "cde1d013" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fac5b305" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "ea25de8f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8d2092b2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -663,7 +678,7 @@ } } ], "meta" : { - "globalKey" : "1cd13bbe" + "globalKey" : "b4132720" } }, "transferHistory" : [ { @@ -722,6 +737,6 @@ } } ], "meta" : { - "globalKey" : "ff7627d" + "globalKey" : "9df69db" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json index 60f477bcec..3f1f354051 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,55 +59,18 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d93d41", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,120 +85,31 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "7c04949a" } }, "meta" : { - "globalKey" : "7dc68504" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "30a459ea" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "BLS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "initialIndexLevel" : 0.0190, - "fallbackBondApplicable" : true + "globalKey" : "20a71d" } }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -337,55 +123,119 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d9434f", - "externalKey" : "N101C1" + "globalKey" : "d349efa2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d349efa2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "98d93d41", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72d0e7b0" + } + }, + "meta" : { + "globalKey" : "7dc68504" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "30a459ea" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "BLS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "initialIndexLevel" : 0.0190, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -400,22 +250,18 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "e0f0b49a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "98d9434f", - "externalReference" : "N101C1" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -424,19 +270,36 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "cd37984b", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -451,141 +314,290 @@ } }, "meta" : { - "globalKey" : "cd37984b", - "externalKey" : "resetDates" + "globalKey" : "d349efa2" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "2fba5801" + "globalKey" : "d349efa2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "2b136205" + "globalKey" : "98d9434f", + "externalKey" : "N101C1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "eddaf" - } - }, - "meta" : { - "globalKey" : "eddaf" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "72d0e7b0" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "98d9434f", + "externalReference" : "N101C1" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "cd37984b", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cd37984b", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2fba5801" } } ], "meta" : { - "globalKey" : "fac5b305" + "globalKey" : "2b136205" } - }, { - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "eddaf" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fac5b305" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "ea25de8f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8d2092b2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -652,7 +664,7 @@ } } ], "meta" : { - "globalKey" : "f79a76c5" + "globalKey" : "d0df12bc" } }, "transferHistory" : [ { @@ -711,6 +723,6 @@ } } ], "meta" : { - "globalKey" : "81f87b16" + "globalKey" : "e7591cbf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json index 2620f48e89..a0fd25b000 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,55 +59,18 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d93d41", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,119 +85,31 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "7c04949a" } }, "meta" : { - "globalKey" : "7dc68504" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "ac2f6e4b" - }, - "inflationLag" : { - "periodMultiplier" : 2, - "period" : "M", - "meta" : { - "globalKey" : "8b" - } - }, - "indexSource" : { - "value" : "UKRPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "ONS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -336,55 +123,118 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d9434f", - "externalKey" : "N101C1" + "globalKey" : "d349efa2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d349efa2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "98d93d41", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72d0e7b0" + } + }, + "meta" : { + "globalKey" : "7dc68504" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "ac2f6e4b" + }, + "inflationLag" : { + "periodMultiplier" : 2, + "period" : "M", + "meta" : { + "globalKey" : "8b" + } + }, + "indexSource" : { + "value" : "UKRPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "ONS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -399,22 +249,18 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "e0f0b49a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "98d9434f", - "externalReference" : "N101C1" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -423,19 +269,36 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "cd37984b", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -450,131 +313,280 @@ } }, "meta" : { - "globalKey" : "cd37984b", - "externalKey" : "resetDates" + "globalKey" : "d349efa2" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "ef392f1e" + "globalKey" : "d349efa2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "f754d49a" + "globalKey" : "98d9434f", + "externalKey" : "N101C1" } - } - }, - "meta" : { - "globalKey" : "f754d49a" - } - }, - "meta" : { - "globalKey" : "f754d49a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "72d0e7b0" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "98d9434f", + "externalReference" : "N101C1" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "cd37984b", + "externalReference" : "resetDates" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cd37984b", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "ef392f1e" } } ], "meta" : { - "globalKey" : "fac5b305" + "globalKey" : "f754d49a" } - }, { - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "f754d49a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "UK-RPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fac5b305" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "UK-RPI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "UK-RPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5b47acbb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "390b1c8c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -641,10 +653,10 @@ } } ], "meta" : { - "globalKey" : "e1adf2a7" + "globalKey" : "77e11ccc" } }, "meta" : { - "globalKey" : "e1adf2a7" + "globalKey" : "77e11ccc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex05-zc.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex05-zc.json index 9b9f828758..634f17cce2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex05-zc.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/inflation-swaps/inflation-swap-ex05-zc.json @@ -1,135 +1,47 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2005-02-20", - "meta" : { - "globalKey" : "3ea894" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "product" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,54 +55,57 @@ "globalKey" : "365c4b6f" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "5afd9099" + } + }, + "meta" : { + "globalKey" : "5afd9099" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5793df5b" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "5793df5b" + "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17967" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "c99c723f", - "externalKey" : "N10434" + "globalKey" : "e612a099" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e612a099" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -205,147 +120,141 @@ } }, "meta" : { - "globalKey" : "77cc2790" + "globalKey" : "5793df5b" } }, "meta" : { - "globalKey" : "b89840b4" + "globalKey" : "5793df5b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17967" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "c99c723f", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "ac2f6e4b" - }, - "inflationLag" : { - "periodMultiplier" : 2, - "period" : "M", - "meta" : { - "globalKey" : "8b" - } - }, - "indexSource" : { - "value" : "UKRPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "ONS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "77cc2790" + } + }, + "meta" : { + "globalKey" : "b89840b4" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "1/1" + "meta" : { + "globalKey" : "ac2f6e4b" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "5afcf018" - } - }, - "meta" : { - "globalKey" : "5afcf018" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "inflationLag" : { + "periodMultiplier" : 2, + "period" : "M", + "meta" : { + "globalKey" : "8b" + } + }, + "indexSource" : { + "value" : "UKRPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "ONS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e6120018" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "e6120018" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "25229d" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "9b05e205", - "externalKey" : "N10277" + "globalKey" : "5afcf018" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "5afcf018" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -360,123 +269,226 @@ } }, "meta" : { - "globalKey" : "77cb870f" + "globalKey" : "e6120018" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "4e771854" + "globalKey" : "e6120018" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "25229d" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "64b42708" + "globalKey" : "9b05e205", + "externalKey" : "N10277" } - } - }, - "meta" : { - "globalKey" : "64b42708" - } - }, - "meta" : { - "globalKey" : "64b42708" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "77cb870f" + } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "4e771854" } } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "64b42708" + } + } + }, + "meta" : { + "globalKey" : "64b42708" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "f9769252" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } ], + "meta" : { + "globalKey" : "f9769252" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "UK-RPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "UK-RPI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "UK-RPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8987eb5a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "646a4c5f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2005-02-20", + "meta" : { + "globalKey" : "3ea894" + } }, "party" : [ { "partyId" : [ { @@ -543,10 +555,10 @@ } } ], "meta" : { - "globalKey" : "e20912fd" + "globalKey" : "e5a496d6" } }, "meta" : { - "globalKey" : "e20912fd" + "globalKey" : "e5a496d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/CAD-Long-Initial-Stub-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/CAD-Long-Initial-Stub-versioned.json index 282115dc15..4628664a2b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/CAD-Long-Initial-Stub-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/CAD-Long-Initial-Stub-versioned.json @@ -1,139 +1,78 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:Basis", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "aba3dd40" + } } ], - "meta" : { - "globalKey" : "ac313329" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Basis", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Basis", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,31 +86,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-03-15", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "80f2eff3" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "e56e795c", - "externalKey" : "floatingCalcPeriodDates1" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -186,157 +112,170 @@ } }, "meta" : { - "globalKey" : "83fd0ba", - "externalKey" : "paymentDates1" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e56e795c", - "externalReference" : "floatingCalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077415" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "1eccae0a", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "1eccae0a", - "externalKey" : "resetDates1" + "globalKey" : "1f7359" } }, "meta" : { - "globalKey" : "1cf637fb" + "globalKey" : "365a772a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2021-03-15", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "80f2eff3" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "e56e795c", + "externalKey" : "floatingCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "1f7359" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "83fd0ba", + "externalKey" : "paymentDates1" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e56e795c", + "externalReference" : "floatingCalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077415" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dateRelativeTo" : { + "globalReference" : "1eccae0a", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "meta" : { - "globalKey" : "56fd0cdc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-12-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" - } - }, - "meta" : { - "globalKey" : "ad0f37f7" + "meta" : { + "globalKey" : "365a772a" + } + }, + "meta" : { + "globalKey" : "1eccae0a", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "1cf637fb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -350,32 +289,18 @@ "globalKey" : "365a772a" } }, - "firstRegularPeriodStartDate" : "2021-01-18", - "stubPeriodType" : "LongInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "80f2e871" - }, - "rollConvention" : "IMMCAD" - }, "meta" : { - "globalKey" : "1020ac37", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "56fd0cdc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2021-03-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "56fd0cdc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-12-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -390,215 +315,321 @@ } }, "meta" : { - "globalKey" : "374f5535", - "externalKey" : "paymentDates2" + "globalKey" : "ad0f37f7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1020ac37", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b1077416" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "dateRelativeTo" : { - "globalReference" : "16ef084a", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CATO" - } ], - "meta" : { - "globalKey" : "1f7359" - } - }, - "meta" : { - "globalKey" : "365a772a" - } - }, + "meta" : { + "globalKey" : "ad0f37f7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, + "firstRegularPeriodStartDate" : "2021-01-18", + "stubPeriodType" : "LongInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "80f2e871" + }, + "rollConvention" : "IMMCAD" + }, + "meta" : { + "globalKey" : "1020ac37", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-03-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], "meta" : { - "globalKey" : "16ef084a", - "externalKey" : "resetDates2" + "globalKey" : "1f7359" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6db725d4" + "globalKey" : "365a772a" } - } ], + }, "meta" : { - "globalKey" : "e988dd8f" + "globalKey" : "374f5535", + "externalKey" : "paymentDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:Basis", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1020ac37", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b1077416" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "dateRelativeTo" : { + "globalReference" : "16ef084a", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CATO" + } ], + "meta" : { + "globalKey" : "1f7359" + } + }, + "meta" : { + "globalKey" : "365a772a" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "16ef084a", + "externalKey" : "resetDates2" } }, - "source" : "Other", + "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "aba3dd40" + "globalKey" : "6db725d4" } } ], "meta" : { - "globalKey" : "8a873d91" + "globalKey" : "e988dd8f" } - }, - "meta" : { - "globalKey" : "8a873d91" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "meta" : { + "globalKey" : "ce551b91" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "30cdb530" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00121, - "unit" : { - "currency" : { - "value" : "CAD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CAD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "2ee97500" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00121, + "unit" : { + "currency" : { + "value" : "CAD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 634000000, - "unit" : { - "currency" : { - "value" : "CAD" - } + "perUnitOf" : { + "currency" : { + "value" : "CAD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 634000000, + "unit" : { + "currency" : { + "value" : "CAD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CAD-BA-CDOR" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CAD-BA-CDOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CAD-BA-CDOR" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2bf89df0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f7fac640" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "ac313329" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -684,10 +715,10 @@ } }, "meta" : { - "globalKey" : "a7895779" + "globalKey" : "b5d7baa9" } }, "meta" : { - "globalKey" : "a7895779" + "globalKey" : "b5d7baa9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Long-Final-Stub-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Long-Final-Stub-uti.json index 5da2f39392..44d6db5254 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Long-Final-Stub-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Long-Final-Stub-uti.json @@ -1,173 +1,85 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" } } - } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2016-01-15", - "meta" : { - "globalKey" : "3f004f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-01-18", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb96930a" - } - }, - "meta" : { - "globalKey" : "eb96930a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-01-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "c1473e7b" - } - }, - "meta" : { - "globalKey" : "c1473e7b" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-01-18", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "lastRegularPeriodEndDate" : "2036-01-18", - "stubPeriodType" : "LongFinal", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794e" - }, - "rollConvention" : "18" - }, "meta" : { - "globalKey" : "6809dc58", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "eb96930a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eb96930a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-01-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -182,136 +94,136 @@ } }, "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "c1473e7b" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "6809dc58", - "externalReference" : "fixedCalcPeriodDates1" - }, - "finalStub" : { - "stubRate" : 0.04357 + "meta" : { + "globalKey" : "c1473e7b" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "924392d0" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "lastRegularPeriodEndDate" : "2036-01-18", + "stubPeriodType" : "LongFinal", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "18" + }, + "meta" : { + "globalKey" : "6809dc58", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "6809dc58", + "externalReference" : "fixedCalcPeriodDates1" + }, + "finalStub" : { + "stubRate" : 0.04357 + } + }, + "meta" : { + "globalKey" : "924392d0" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-01-18", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb96930a" - } - }, - "meta" : { - "globalKey" : "eb96930a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-01-19", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "c1473e7b" - } - }, - "meta" : { - "globalKey" : "c1473e7b" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-01-18", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "lastRegularPeriodEndDate" : "2036-07-18", - "stubPeriodType" : "LongFinal", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9f" - }, - "rollConvention" : "18" - }, "meta" : { - "globalKey" : "f74edc29", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "eb96930a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eb96930a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-01-19", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -326,207 +238,307 @@ } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "c1473e7b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f74edc29", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "1163732c", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "c1473e7b" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1163732c", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f74edc29", - "externalReference" : "floatingCalcPeriodDates2" - }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Reuters", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, { - "floatingRateIndex" : "EUR-EURIBOR-Reuters", - "indexTenor" : { - "periodMultiplier" : 9, - "period" : "M", - "meta" : { - "globalKey" : "164" - } - } - } ] + "meta" : { + "globalKey" : "365baaee" + } + }, + "lastRegularPeriodEndDate" : "2036-07-18", + "stubPeriodType" : "LongFinal", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9f" + }, + "rollConvention" : "18" + }, + "meta" : { + "globalKey" : "f74edc29", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "88646945" + "globalKey" : "365baaee" } - } ], + }, "meta" : { - "globalKey" : "859d5c75" + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" } - } - }, - "meta" : { - "globalKey" : "c8023359" - } - }, - "meta" : { - "globalKey" : "c8023359" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04357, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f74edc29", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1163732c", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "1163732c", + "externalKey" : "resetDates2" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f74edc29", + "externalReference" : "floatingCalcPeriodDates2" + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Reuters", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + }, { + "floatingRateIndex" : "EUR-EURIBOR-Reuters", + "indexTenor" : { + "periodMultiplier" : 9, + "period" : "M", + "meta" : { + "globalKey" : "164" + } + } + } ] } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "88646945" } } ], "meta" : { - "globalKey" : "8d585dbe" + "globalKey" : "859d5c75" } - }, { - "quantity" : [ { - "value" : { - "value" : 20000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "c8023359" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04357, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "8d585dbe" + } + }, { + "quantity" : [ { + "value" : { + "value" : 20000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c54c8073" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3633934e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2016-01-15", + "meta" : { + "globalKey" : "3f004f" + } }, "party" : [ { "partyId" : [ { @@ -620,10 +632,10 @@ } }, "meta" : { - "globalKey" : "65db00f1" + "globalKey" : "c766ab96" } }, "meta" : { - "globalKey" : "65db00f1" + "globalKey" : "c766ab96" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-OIS-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-OIS-uti.json index fa7f6e57d4..0003a4f8d6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-OIS-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-OIS-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:OIS", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "2f961685" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-26", - "meta" : { - "globalKey" : "3f105a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:OIS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:OIS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece2b504" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-10-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece2b504" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-10-07", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,182 +105,136 @@ "globalKey" : "365baaee" } }, - "firstRegularPeriodStartDate" : "2018-10-07", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a40" - }, - "rollConvention" : "7" - }, "meta" : { - "globalKey" : "81a0539d", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "be29f4c7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "be29f4c7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b7e4e52f", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4ffbcbcb" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2018-10-07", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a40" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "7" + }, + "meta" : { + "globalKey" : "81a0539d", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b7e4e52f", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "4ffbcbcb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "meta" : { - "globalKey" : "ece2b504" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-10-07", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "meta" : { - "globalKey" : "be29f4c7" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "firstRegularPeriodStartDate" : "2018-10-07", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a40" - }, - "rollConvention" : "7" - }, "meta" : { - "globalKey" : "81a0539d", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ece2b504" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece2b504" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-10-07", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -333,184 +249,280 @@ } }, "meta" : { - "globalKey" : "b7e4e52f", - "externalKey" : "paymentDates2" + "globalKey" : "be29f4c7" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "81a0539d", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b58ac6da" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "d55e77ff", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "be29f4c7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "d55e77ff", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4d94eb14" + "globalKey" : "365baaee" } - } ], + }, + "firstRegularPeriodStartDate" : "2018-10-07", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a40" + }, + "rollConvention" : "7" + }, "meta" : { - "globalKey" : "d888015f" + "globalKey" : "81a0539d", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:OIS", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "b7e4e52f", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "2f961685" - } - } ], - "meta" : { - "globalKey" : "ecece87d" - } - }, - "meta" : { - "globalKey" : "ecece87d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0004568, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "81a0539d", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b58ac6da" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "d55e77ff", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 34900000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "d55e77ff", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "4d94eb14" } } ], "meta" : { - "globalKey" : "e8f786d6" + "globalKey" : "d888015f" } - }, { - "quantity" : [ { - "value" : { - "value" : 34900000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "8627547d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0004568, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 34900000, + "unit" : { + "currency" : { + "value" : "EUR" } } }, "meta" : { - "globalKey" : "b9759be5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e8f786d6" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 34900000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "1a18425b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-26", + "meta" : { + "globalKey" : "3f105a" + } }, "party" : [ { "partyId" : [ { @@ -604,10 +616,10 @@ } }, "meta" : { - "globalKey" : "e0bee19d" + "globalKey" : "4922a801" } }, "meta" : { - "globalKey" : "e0bee19d" + "globalKey" : "4922a801" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-account.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-account.json index 0c6fc31649..da56169b47 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-account.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-account.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-29", - "meta" : { - "globalKey" : "3f105d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec88867e" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7325a87", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "b448ede8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "182bf448" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "c7325a87", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "182bf448" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b90" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7326bd8", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ec88867e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,192 +239,278 @@ } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "b448ede8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c7326bd8", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "1163732c", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1163732c", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "dd849d9e" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b90" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "6ef34056" + "globalKey" : "c7326bd8", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "6f851b8c" - } - }, - "meta" : { - "globalKey" : "6f851b8c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006982, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c7326bd8", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1163732c", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "1163732c", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "dd849d9e" } } ], "meta" : { - "globalKey" : "3bfe3f37" + "globalKey" : "6ef34056" } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "933f8b98" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006982, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bfe3f37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b8b38af2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "p1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "p2" + }, + "meta" : { + "globalKey" : "3586e7af" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "p1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "p2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-29", + "meta" : { + "globalKey" : "3f105d" + } }, "party" : [ { "partyId" : [ { @@ -625,10 +637,10 @@ } } ], "meta" : { - "globalKey" : "8e4c6d5d" + "globalKey" : "dd67fc0e" } }, "meta" : { - "globalKey" : "8e4c6d5d" + "globalKey" : "dd67fc0e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-extended-party-roles-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-extended-party-roles-versioned.json index 779893498b..8c3ff7604e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-extended-party-roles-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-extended-party-roles-versioned.json @@ -1,133 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" + } } ], - "meta" : { - "globalKey" : "ac313329" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec88867e" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -141,162 +105,126 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7325a87", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "b448ede8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "182bf448" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "c7325a87", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "182bf448" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b90" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7326bd8", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ec88867e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -311,208 +239,292 @@ } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "b448ede8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c7326bd8", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "1163732c", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1163732c", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "dd849d9e" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b90" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "6ef34056" + "globalKey" : "c7326bd8", + "externalKey" : "floatingCalcPeriodDates2" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "EUTA", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c7326bd8", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1163732c", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "1163732c", + "externalKey" : "resetDates2" } }, - "source" : "Other", "meta" : { - "globalKey" : "44520a9a" + "globalKey" : "dd849d9e" } } ], "meta" : { - "globalKey" : "580d3493" + "globalKey" : "6ef34056" } }, - "meta" : { - "globalKey" : "580d3493" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "EUTA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006982, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f3f5fd1f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006982, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3bfe3f37" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "3bfe3f37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b8b38af2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3586e7af" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "ac313329" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -649,10 +661,10 @@ } }, "meta" : { - "globalKey" : "3699d85b" + "globalKey" : "8bc23ae4" } }, "meta" : { - "globalKey" : "3699d85b" + "globalKey" : "8bc23ae4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-multiple-accounts.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-multiple-accounts.json index 57914da775..b97237fbd4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-multiple-accounts.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-multiple-accounts.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-29", - "meta" : { - "globalKey" : "3f105d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec88867e" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7325a87", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "b448ede8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "182bf448" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "c7325a87", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "182bf448" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b90" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7326bd8", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ec88867e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,192 +239,278 @@ } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "b448ede8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c7326bd8", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "1163732c", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1163732c", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "dd849d9e" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b90" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "6ef34056" + "globalKey" : "c7326bd8", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "6f851b8c" - } - }, - "meta" : { - "globalKey" : "6f851b8c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006982, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c7326bd8", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1163732c", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "1163732c", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "dd849d9e" } } ], "meta" : { - "globalKey" : "3bfe3f37" + "globalKey" : "6ef34056" } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "933f8b98" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006982, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bfe3f37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b8b38af2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "p1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "p2" + }, + "meta" : { + "globalKey" : "3586e7af" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "p1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "p2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-29", + "meta" : { + "globalKey" : "3f105d" + } }, "party" : [ { "partyId" : [ { @@ -641,10 +653,10 @@ } } ], "meta" : { - "globalKey" : "50a65a7d" + "globalKey" : "96bf12ac" } }, "meta" : { - "globalKey" : "50a65a7d" + "globalKey" : "96bf12ac" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-party-roles-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-party-roles-versioned.json index 3fbaad772b..9b2ff6bb10 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-party-roles-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-party-roles-versioned.json @@ -1,133 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "LCH00023323008", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } }, - "version" : 1 + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" + } } ], - "meta" : { - "globalKey" : "ac313329" - } - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec88867e" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -141,162 +105,126 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7325a87", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "b448ede8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "182bf448" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "c7325a87", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "182bf448" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b90" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7326bd8", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ec88867e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -311,208 +239,292 @@ } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "b448ede8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c7326bd8", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "1163732c", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1163732c", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "dd849d9e" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b90" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "6ef34056" + "globalKey" : "c7326bd8", + "externalKey" : "floatingCalcPeriodDates2" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "EUTA", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/business-center" + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c7326bd8", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1163732c", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "1163732c", + "externalKey" : "resetDates2" } }, - "source" : "Other", "meta" : { - "globalKey" : "44520a9a" + "globalKey" : "dd849d9e" } } ], "meta" : { - "globalKey" : "580d3493" + "globalKey" : "6ef34056" } }, - "meta" : { - "globalKey" : "580d3493" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "EUTA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/business-center" + } + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006982, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f3f5fd1f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006982, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3bfe3f37" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "3bfe3f37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b8b38af2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cc892602", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3586e7af" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "27b20a6a", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "27b20a6a", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "cc892602", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00023323008", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "ac313329" + } + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -639,10 +651,10 @@ } }, "meta" : { - "globalKey" : "e5a9346" + "globalKey" : "77fdd08f" } }, "meta" : { - "globalKey" : "e5a9346" + "globalKey" : "77fdd08f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-uti.json index 76a5dcfded..1a7dc17829 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-Vanilla-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-29", - "meta" : { - "globalKey" : "3f105d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec88867e" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7325a87", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "b448ede8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "182bf448" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "c7325a87", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "182bf448" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "meta" : { - "globalKey" : "ec88867e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-03-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "meta" : { - "globalKey" : "b448ede8" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b90" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "c7326bd8", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ec88867e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ec88867e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-03-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,192 +239,278 @@ } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "b448ede8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c7326bd8", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "1163732c", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "b448ede8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1163732c", - "externalKey" : "resetDates2" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "dd849d9e" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b90" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "6ef34056" + "globalKey" : "c7326bd8", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "6f851b8c" - } - }, - "meta" : { - "globalKey" : "6f851b8c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.006982, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c7326bd8", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1163732c", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "1163732c", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "dd849d9e" } } ], "meta" : { - "globalKey" : "3bfe3f37" + "globalKey" : "6ef34056" } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "933f8b98" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.006982, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3bfe3f37" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b8b38af2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3586e7af" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-29", + "meta" : { + "globalKey" : "3f105d" + } }, "party" : [ { "partyId" : [ { @@ -592,10 +604,10 @@ } }, "meta" : { - "globalKey" : "722c82ec" + "globalKey" : "3cb65add" } }, "meta" : { - "globalKey" : "722c82ec" + "globalKey" : "3cb65add" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyA-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyA-uti.json index cd7c90e137..d6d44b67a4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyA-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyA-uti.json @@ -1,308 +1,257 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -317,176 +266,239 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "b4b47bc7" } - }, + } ], "meta" : { "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 20000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "16ed00fa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 20000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9b059b6a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "5f3f9420" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "200aeb6d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "200aeb6d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -530,10 +542,10 @@ } } ], "meta" : { - "globalKey" : "3a5d4b0d" + "globalKey" : "cfe0145" } }, "meta" : { - "globalKey" : "3a5d4b0d" + "globalKey" : "cfe0145" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyB-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyB-uti.json index d3a3716b44..cad2067af9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyB-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-vanilla-reconciliation-partyB-uti.json @@ -1,308 +1,257 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "fooBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "fooBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "f6b0a538" + "globalKey" : "1ff50d", + "externalKey" : "fooBusinessCenters" } }, "meta" : { - "globalKey" : "2ceba909" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "708ae88e", - "externalKey" : "fooFloatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "fooBusinessCenters" - }, - "meta" : { - "globalKey" : "f6b0a538" - } - }, - "meta" : { - "globalKey" : "2ceba909" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "fooBusinessCenters" }, "meta" : { - "globalKey" : "36748936" + "globalKey" : "f6b0a538" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "708ae88e", - "externalReference" : "fooFloatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "542d7cbc" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "e6a6710e", - "externalReference" : "fooResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "fooBusinessCenters" - }, - "meta" : { - "globalKey" : "f6b0a538" - } - }, - "meta" : { - "globalKey" : "2ceba909" - } + "meta" : { + "globalKey" : "2ceba909" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "708ae88e", + "externalKey" : "fooFloatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "fooBusinessCenters" }, "meta" : { - "globalKey" : "e6a6710e", - "externalKey" : "fooResetDates" + "globalKey" : "f6b0a538" } }, "meta" : { - "globalKey" : "335f98f3" + "globalKey" : "2ceba909" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "36748936" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "708ae88e", + "externalReference" : "fooFloatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "542d7cbc" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "e6a6710e", + "externalReference" : "fooResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "fooBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "f6b0a538" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "2ceba909" + } + }, + "meta" : { + "globalKey" : "e6a6710e", + "externalKey" : "fooResetDates" + } + }, + "meta" : { + "globalKey" : "335f98f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "fooBusinessCenters" - }, - "meta" : { - "globalKey" : "f6b0a538" - } - }, - "meta" : { - "globalKey" : "2ceba909" - } - }, - "meta" : { - "globalKey" : "9f65e6bb" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9f65e6bb" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -317,176 +266,239 @@ "globalKey" : "2ceba909" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "62162772", - "externalKey" : "fooFixedCalcPeriodDates" + "globalKey" : "9f65e6bb" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "9f65e6bb" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "fooBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "fooBusinessCenters" - }, - "meta" : { - "globalKey" : "f6b0a538" - } - }, - "meta" : { - "globalKey" : "2ceba909" - } + "meta" : { + "globalKey" : "f6b0a538" + } + }, + "meta" : { + "globalKey" : "2ceba909" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "62162772", + "externalKey" : "fooFixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "fooBusinessCenters" }, "meta" : { - "globalKey" : "a9d96fe7" + "globalKey" : "f6b0a538" } }, "meta" : { - "globalKey" : "a2d19203" + "globalKey" : "2ceba909" } - } ], + }, "meta" : { - "globalKey" : "a64f4b36" + "globalKey" : "a9d96fe7" } + }, + "meta" : { + "globalKey" : "a2d19203" } - }, + } ], "meta" : { "globalKey" : "a64f4b36" } - }, - "meta" : { - "globalKey" : "a64f4b36" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 20000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "fooCurrencyScheme" - } + "meta" : { + "globalKey" : "a64f4b36" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 20000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "fooCurrencyScheme" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9b059b6a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "fooCurrencyScheme" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "fooCurrencyScheme" - } + }, + "meta" : { + "globalKey" : "5f3f9420" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "fooCurrencyScheme" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "fooCurrencyScheme" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "fooCurrencyScheme" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "fooCurrencyScheme" + } + } } - } ], + }, "meta" : { - "globalKey" : "200aeb6d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party3" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party4" + } ], + "meta" : { + "globalKey" : "200aeb6d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party3" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party4" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -530,10 +542,10 @@ } } ], "meta" : { - "globalKey" : "e4430411" + "globalKey" : "c25428c9" } }, "meta" : { - "globalKey" : "e4430411" + "globalKey" : "c25428c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-variable-notional-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-variable-notional-uti.json index 48670dadf5..1d70eb0b4f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-variable-notional-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/EUR-variable-notional-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-30", - "meta" : { - "globalKey" : "3f105e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec3400fa" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "fae1a1ec" - } - }, - "meta" : { - "globalKey" : "fae1a1ec" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec3400fa" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,225 +105,134 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "886b3803", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "fae1a1ec" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "fae1a1ec" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "b34971cc", - "externalKey" : "paymentDates1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "407b26c4" + "globalKey" : "365baaee" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "886b3803", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "407b26c4" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "fae1a1ec" - } - }, - "meta" : { - "globalKey" : "fae1a1ec" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, - "meta" : { - "globalKey" : "886b4954", - "externalKey" : "floatingCalcPeriodDates2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "3fe48b1b", - "externalKey" : "paymentDates2" + "globalKey" : "ec3400fa" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "886b4954", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "f4cabc3d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "dateRelativeTo" : { - "globalReference" : "d6fca9ce", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ec3400fa" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -376,454 +247,595 @@ } }, "meta" : { - "globalKey" : "d6fca9ce", - "externalKey" : "resetDates2" + "globalKey" : "fae1a1ec" } }, "meta" : { - "globalKey" : "25f9145e" - } - } ], - "meta" : { - "globalKey" : "d4357a22" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } - }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "4030c2a0" - } - }, - "meta" : { - "globalKey" : "4030c2a0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.06779467, - "unit" : { - "currency" : { - "value" : "EUR" + "globalKey" : "fae1a1ec" } }, - "datedValue" : [ { - "date" : "2012-09-02", - "value" : 0.025, - "meta" : { - "globalKey" : "a5771b3" - } - }, { - "date" : "2013-09-02", - "value" : 0.025, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, "meta" : { - "globalKey" : "a5869b3" + "globalKey" : "365baaee" } - }, { - "date" : "2014-09-02", - "value" : 0.025, + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "a5961b3" - } - }, { - "date" : "2015-09-02", - "value" : 0.025, + "globalKey" : "2b8c" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "886b4954", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "a5a59b3" + "globalKey" : "107" } - }, { - "date" : "2016-09-02", - "value" : 0.025, + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, "meta" : { - "globalKey" : "a5b51b3" + "globalKey" : "365baaee" } - }, { - "date" : "2017-09-02", - "value" : 0.025, + }, + "meta" : { + "globalKey" : "3fe48b1b", + "externalKey" : "paymentDates2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "886b4954", + 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"meta" : { + "globalKey" : "98928d0a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-30", + "meta" : { + "globalKey" : "3f105e" + } }, "party" : [ { "partyId" : [ { @@ -917,10 +929,10 @@ } }, "meta" : { - "globalKey" : "ad8ffba7" + "globalKey" : "111364f1" } }, "meta" : { - "globalKey" : "ad8ffba7" + "globalKey" : "111364f1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-OIS-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-OIS-uti.json index b951801395..c27be7c896 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-OIS-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-OIS-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:OIS", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "2f961685" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-24", - "meta" : { - "globalKey" : "3f1118" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:OIS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:OIS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3a905" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3a905" - } - }, - "meta" : { - "globalKey" : "ece3a905" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-13", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "44d3d282" - } - }, - "meta" : { - "globalKey" : "44d3d282" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3a905" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-13", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17949" - }, - "rollConvention" : "13" - }, "meta" : { - "globalKey" : "ce9d3691", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "44d3d282" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - 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"quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3a905" - } - }, - "meta" : { - "globalKey" : "ece3a905" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-13", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "44d3d282" - } - }, - "meta" : { - "globalKey" : "44d3d282" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17949" - }, - "rollConvention" : "13" - }, "meta" : { - "globalKey" : "ce9d3691", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ece3a905" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3a905" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-13", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,184 +239,270 @@ } }, "meta" : { - "globalKey" : "b34a124d", - "externalKey" : "paymentDates2" + "globalKey" : "44d3d282" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ce9d3691", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b7e54b1b" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "cc55cbc1", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "44d3d282" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "cc55cbc1", - "externalKey" : "resetDates2" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "a2d2105e" + "globalKey" : "365c4b6f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17949" + }, + "rollConvention" : "13" + }, "meta" : { - "globalKey" : "a9f98261" + "globalKey" : "ce9d3691", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:OIS", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "b34a124d", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "2f961685" - } - } ], - "meta" : { - "globalKey" : "e2aab5ff" - } - }, - "meta" : { - "globalKey" : "e2aab5ff" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.002875, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ce9d3691", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b7e54b1b" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "cc55cbc1", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 750000000.00, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } + }, + "meta" : { + "globalKey" : "cc55cbc1", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "a2d2105e" } } ], "meta" : { - "globalKey" : "1ece22f0" + "globalKey" : "a9f98261" } - }, { - "quantity" : [ { - "value" : { - "value" : 750000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "ba96127f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.002875, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-SONIA-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 750000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } } }, "meta" : { - "globalKey" : "22184cf3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "1ece22f0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 750000000.00, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-SONIA-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-SONIA-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "6966d758" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-24", + "meta" : { + "globalKey" : "3f1118" + } }, "party" : [ { "partyId" : [ { @@ -584,7 +596,7 @@ } }, "meta" : { - "globalKey" : "81012fa7" + "globalKey" : "9e931f16" } }, "transferHistory" : [ { @@ -643,6 +655,6 @@ } } ], "meta" : { - "globalKey" : "5ebdafa0" + "globalKey" : "df1092d1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-VNS-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-VNS-uti.json index d1cfd0c240..f1463c6f80 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-VNS-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-VNS-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-30", - "meta" : { - "globalKey" : "3f105e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec3400fa" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "fae2426d" - } - }, - "meta" : { - "globalKey" : "fae2426d" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec3400fa" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,222 +105,134 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "5deb10a3", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "fae2426d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "fae2426d" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "b34a124d", - "externalKey" : "paymentDates1" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "88fd57e5" + "globalKey" : "365c4b6f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "5deb10a3", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "b34a124d", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "88fd57e5" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "fae2426d" - } - }, - "meta" : { - "globalKey" : "fae2426d" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, - "meta" : { - "globalKey" : "5deb21f4", - "externalKey" : "floatingCalcPeriodDates2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "paymentDates2" + "globalKey" : "ec3400fa" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "5deb21f4", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "d4ee456f" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "67c06d2d", - "externalReference" : "resetDates2" - } - }, 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"indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f79b5d86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "95c4be71" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-30", + "meta" : { + "globalKey" : "3f105e" + } }, "party" : [ { "partyId" : [ { @@ -914,10 +926,10 @@ } }, "meta" : { - "globalKey" : "c240d9ec" + "globalKey" : "5dada2af" } }, "meta" : { - "globalKey" : "c240d9ec" + "globalKey" : "5dada2af" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-person-roles-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-person-roles-uti.json index 8faad3ca8c..43c6896509 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-person-roles-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-person-roles-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2017-12-18", - "meta" : { - "globalKey" : "3f0b12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-12-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eccd2a87" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-12-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2047-12-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eccd2a87" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2047-12-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9c" - }, - "rollConvention" : "15" - }, "meta" : { - "globalKey" : "3a5ef124", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "ef79e1c0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "ef79e1c0" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "paymentDates1" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "a56d8d65" + "globalKey" : "365c4b6f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "3a5ef124", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "3fe52b9c", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "a56d8d65" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-12-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2047-12-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-12-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9c" - }, - "rollConvention" : "15" - }, "meta" : { - "globalKey" : "3a5ef124", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "eccd2a87" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eccd2a87" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2047-12-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,191 +239,277 @@ } }, "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "paymentDates2" + "globalKey" : "ef79e1c0" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3a5ef124", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b7e54b1b" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "57dd06d9", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "ef79e1c0" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "57dd06d9", - "externalKey" : "resetDates2" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "51581c94" + "globalKey" : "365c4b6f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9c" + }, + "rollConvention" : "15" + }, "meta" : { - "globalKey" : "a97c1739" + "globalKey" : "3a5ef124", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "3fe52b9c", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "58300e37" - } - }, - "meta" : { - "globalKey" : "58300e37" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.014048, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3a5ef124", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b7e54b1b" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "57dd06d9", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 4352000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } + }, + "meta" : { + "globalKey" : "57dd06d9", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "51581c94" } } ], "meta" : { - "globalKey" : "3f87ac35" + "globalKey" : "a97c1739" } - }, { - "quantity" : [ { - "value" : { - "value" : 4352000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "ecb85bb7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.014048, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 4352000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3f87ac35" + } + }, { + "quantity" : [ { + "value" : { + "value" : 4352000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f5b01efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cf95f24d", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3dc05f7d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cf95f24d", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2017-12-18", + "meta" : { + "globalKey" : "3f0b12" + } }, "party" : [ { "partyId" : [ { @@ -599,10 +611,10 @@ } }, "meta" : { - "globalKey" : "7f327438" + "globalKey" : "1ff8361" } }, "meta" : { - "globalKey" : "7f327438" + "globalKey" : "1ff8361" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-uti.json index 5632a9c4c4..92979b1062 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/GBP-Vanilla-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-29", - "meta" : { - "globalKey" : "3f105d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-12-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eccd2a87" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-12-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2047-12-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eccd2a87" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2047-12-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9c" - }, - "rollConvention" : "15" - }, "meta" : { - "globalKey" : "3a5ef124", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "ef79e1c0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "ef79e1c0" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "paymentDates1" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "a56d8d65" + "globalKey" : "365c4b6f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "3a5ef124", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "3fe52b9c", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "a56d8d65" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-12-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "meta" : { - "globalKey" : "eccd2a87" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2047-12-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "meta" : { - "globalKey" : "ef79e1c0" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-12-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9c" - }, - "rollConvention" : "15" - }, "meta" : { - "globalKey" : "3a5ef124", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "eccd2a87" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eccd2a87" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2047-12-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,191 +239,277 @@ } }, "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "paymentDates2" + "globalKey" : "ef79e1c0" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3a5ef124", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b7e54b1b" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "57dd06d9", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "ef79e1c0" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "57dd06d9", - "externalKey" : "resetDates2" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "51581c94" + "globalKey" : "365c4b6f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9c" + }, + "rollConvention" : "15" + }, "meta" : { - "globalKey" : "a97c1739" + "globalKey" : "3a5ef124", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "3fe52b9c", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "58300e37" - } - }, - "meta" : { - "globalKey" : "58300e37" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.014048, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3a5ef124", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b7e54b1b" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "57dd06d9", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 4352000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } + }, + "meta" : { + "globalKey" : "57dd06d9", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "51581c94" } } ], "meta" : { - "globalKey" : "3f87ac35" + "globalKey" : "a97c1739" } - }, { - "quantity" : [ { - "value" : { - "value" : 4352000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "ecb85bb7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.014048, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 4352000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3f87ac35" + } + }, { + "quantity" : [ { + "value" : { + "value" : 4352000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f5b01efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3dc05f7d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-29", + "meta" : { + "globalKey" : "3f105d" + } }, "party" : [ { "partyId" : [ { @@ -591,10 +603,10 @@ } }, "meta" : { - "globalKey" : "7d852eb3" + "globalKey" : "7829982a" } }, "meta" : { - "globalKey" : "7d852eb3" + "globalKey" : "7829982a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-CNY-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-CNY-uti.json index 5db60fd796..bb0b07bfcd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-CNY-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-CNY-uti.json @@ -1,187 +1,84 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-27", - "meta" : { - "globalKey" : "3f10db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "d8f881c8" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CNY.SAEC/CNY01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c0f47555" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "857b09dc", - "externalReference" : "paymentDates1" - } ] - } - } - }, - "meta" : { - "globalKey" : "4083e762" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "77913cbb" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CNY.SAEC/CNY01" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-05-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece4a0c7" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ece4a0c7" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-05-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" - } - }, - "meta" : { - "globalKey" : "ae45741d" - } + "globalKey" : "c0f47555" }, - "meta" : { - "globalKey" : "ae45741d" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "CNBE" @@ -192,33 +89,59 @@ "globalKey" : "3fc80bb" } }, - "meta" : { - "globalKey" : "9785d44c" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "857b09dc", + "externalReference" : "paymentDates1" + } ] + } + } + }, + "meta" : { + "globalKey" : "4083e762" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "6f898701", - "externalKey" : "fixedCalcPeriodDates1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-05-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece4a0c7" + } + }, + "meta" : { + "globalKey" : "ece4a0c7" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-05-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -235,141 +158,118 @@ } }, "meta" : { - "globalKey" : "857b09dc", - "externalKey" : "paymentDates1" + "globalKey" : "ae45741d" } }, "meta" : { - "globalKey" : "72716aec" + "globalKey" : "ae45741d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "3fc80bb" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, + "meta" : { + "globalKey" : "9785d44c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" + }, + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "6f898701", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "d8f881c9" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CNY.SAEC/CNY01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c0f47556" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "19de04d7", - "externalReference" : "paymentDates2" - } ] - } - } - }, - "meta" : { - "globalKey" : "4083e763" - } - } ] + "globalKey" : "3fc80bb" + } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "9785d44c" + } + }, + "meta" : { + "globalKey" : "857b09dc", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "e80387d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "77913cbc" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CNY.SAEC/CNY01" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-05-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece4a0c7" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ece4a0c7" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-05-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" - } - }, - "meta" : { - "globalKey" : "ae45741d" - } + "globalKey" : "c0f47556" }, - "meta" : { - "globalKey" : "ae45741d" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "CNBE" @@ -380,89 +280,57 @@ "globalKey" : "3fc80bb" } }, - "meta" : { - "globalKey" : "9785d44c" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "19de04d7", + "externalReference" : "paymentDates2" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 7, - "period" : "D", - "meta" : { - "globalKey" : "18d46" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "6f8994ee", - "externalKey" : "floatingCalcPeriodDates2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-08-15", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" - } - }, - "meta" : { - "globalKey" : "19de04d7", - "externalKey" : "paymentDates2" + "meta" : { + "globalKey" : "4083e763" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "6f8994ee", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "9accb2ad" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-05-15", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - } ], - "meta" : { - "globalKey" : "1fa1ee" - } - }, - "dateRelativeTo" : { - "globalReference" : "2b110b46", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 7, - "period" : "D", "meta" : { - "globalKey" : "11d" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ece4a0c7" + } + }, + "meta" : { + "globalKey" : "ece4a0c7" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-05-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -479,140 +347,286 @@ } }, "meta" : { - "globalKey" : "2b110b46", - "externalKey" : "resetDates2" + "globalKey" : "ae45741d" + } + }, + "meta" : { + "globalKey" : "ae45741d" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "8f6f9348" + "globalKey" : "9785d44c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 7, + "period" : "D", + "meta" : { + "globalKey" : "18d46" + }, + "rollConvention" : "15" + }, "meta" : { - "globalKey" : "ce4cee34" + "globalKey" : "6f8994ee", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-08-15", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" + } + }, + "meta" : { + "globalKey" : "9785d44c" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "19de04d7", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "b14016a" - } - }, - "meta" : { - "globalKey" : "b14016a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0339, - "unit" : { - "currency" : { - "value" : "CNY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "6f8994ee", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "9accb2ad" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + } ], + "meta" : { + "globalKey" : "1fa1ee" + } + }, + "dateRelativeTo" : { + "globalReference" : "2b110b46", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "CNY" + "resetFrequency" : { + "periodMultiplier" : 7, + "period" : "D", + "meta" : { + "globalKey" : "11d" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 28000000.00, - "unit" : { - "currency" : { - "value" : "CNY" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" + } + }, + "meta" : { + "globalKey" : "9785d44c" } + }, + "meta" : { + "globalKey" : "2b110b46", + "externalKey" : "resetDates2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "727ef5d3" } } ], "meta" : { - "globalKey" : "61aa6a46" + "globalKey" : "cebde8f6" } - }, { - "quantity" : [ { - "value" : { - "value" : 28000000.00, - "unit" : { - "currency" : { - "value" : "CNY" - } + } + }, + "meta" : { + "globalKey" : "b68f2438" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0339, + "unit" : { + "currency" : { + "value" : "CNY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "CNY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 28000000.00, + "unit" : { + "currency" : { + "value" : "CNY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CNY-CNREPOFIX=CFXS-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "W", - "meta" : { - "globalKey" : "76" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "61aa6a46" + } + }, { + "quantity" : [ { + "value" : { + "value" : 28000000.00, + "unit" : { + "currency" : { + "value" : "CNY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CNY-CNREPOFIX=CFXS-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CNY-CNREPOFIX=CFXS-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "W", + "meta" : { + "globalKey" : "76" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7337505d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "2fbf6b75" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-27", + "meta" : { + "globalKey" : "3f10db" + } }, "party" : [ { "partyId" : [ { @@ -706,10 +720,10 @@ } }, "meta" : { - "globalKey" : "c0549a10" + "globalKey" : "6a3fd754" } }, "meta" : { - "globalKey" : "c0549a10" + "globalKey" : "6a3fd754" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-INR-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-INR-uti.json index 125fee5770..55ca1ba966 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-INR-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-INR-uti.json @@ -1,187 +1,84 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:OIS", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "2f961685" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-27", - "meta" : { - "globalKey" : "3f10db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:OIS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:OIS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "ece27424" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "43e24974" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85cfc21d", - "externalReference" : "paymentDates1" - } ] - } - } - }, - "meta" : { - "globalKey" : "546dd9be" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "8b7b2f17" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece55c79" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ece55c79" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-06-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "meta" : { - "globalKey" : "97da8c8d" - } - }, - "meta" : { - "globalKey" : "3a65b7ec" - } + "globalKey" : "43e24974" }, - "meta" : { - "globalKey" : "3a65b7ec" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" @@ -192,33 +89,59 @@ "globalKey" : "45138fc" } }, - "meta" : { - "globalKey" : "97da8c8d" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "85cfc21d", + "externalReference" : "paymentDates1" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, - "meta" : { - "globalKey" : "d96f5410", - "externalKey" : "fixedCalcPeriodDates1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "meta" : { + "globalKey" : "546dd9be" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece55c79" + } + }, + "meta" : { + "globalKey" : "ece55c79" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-06-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -235,141 +158,118 @@ } }, "meta" : { - "globalKey" : "85cfc21d", - "externalKey" : "paymentDates1" + "globalKey" : "3a65b7ec" } }, "meta" : { - "globalKey" : "371aaa18" + "globalKey" : "3a65b7ec" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "45138fc" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, + "meta" : { + "globalKey" : "97da8c8d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" + }, + "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "d96f5410", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "ece27425" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "INR.RBIB/INR01" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "43e24975" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "85cfc21d", - "externalReference" : "paymentDates2" - } ] - } - } - }, - "meta" : { - "globalKey" : "546dd9bf" - } - } ] + "globalKey" : "45138fc" + } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "97da8c8d" + } + }, + "meta" : { + "globalKey" : "85cfc21d", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "d32977a9" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "8b7b2f18" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "INR.RBIB/INR01" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece55c79" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ece55c79" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-06-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, - "meta" : { - "globalKey" : "97da8c8d" - } - }, - "meta" : { - "globalKey" : "3a65b7ec" - } + "globalKey" : "43e24975" }, - "meta" : { - "globalKey" : "3a65b7ec" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "INMU" @@ -380,87 +280,57 @@ "globalKey" : "45138fc" } }, - "meta" : { - "globalKey" : "97da8c8d" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "85cfc21d", + "externalReference" : "paymentDates2" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, - "meta" : { - "globalKey" : "d96f5410", - "externalKey" : "floatingCalcPeriodDates2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "45138fc" - } - }, + "meta" : { + "globalKey" : "546dd9bf" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97da8c8d" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "85cfc21d", - "externalKey" : "paymentDates2" + "globalKey" : "ece55c79" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d96f5410", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "d9019b9e" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "INMU" - } ], - "meta" : { - "globalKey" : "225d8d" - } - }, - "dateRelativeTo" : { - "globalReference" : "f66fccb0", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ece55c79" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-06-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -477,132 +347,276 @@ } }, "meta" : { - "globalKey" : "f66fccb0", - "externalKey" : "resetDates2" + "globalKey" : "3a65b7ec" + } + }, + "meta" : { + "globalKey" : "3a65b7ec" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc" } }, "meta" : { - "globalKey" : "b39ef321" + "globalKey" : "97da8c8d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" + }, + "rollConvention" : "1" + }, "meta" : { - "globalKey" : "37116009" + "globalKey" : "d96f5410", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:OIS", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc" + } + }, + "meta" : { + "globalKey" : "97da8c8d" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "85cfc21d", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "2f961685" - } - } ], - "meta" : { - "globalKey" : "54d2ec27" - } - }, - "meta" : { - "globalKey" : "54d2ec27" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0699, - "unit" : { - "currency" : { - "value" : "INR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d96f5410", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "d9019b9e" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + } ], + "meta" : { + "globalKey" : "225d8d" + } + }, + "dateRelativeTo" : { + "globalReference" : "f66fccb0", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "INR" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 135000000.00, - "unit" : { - "currency" : { - "value" : "INR" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "INMU" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "45138fc" + } + }, + "meta" : { + "globalKey" : "97da8c8d" } + }, + "meta" : { + "globalKey" : "f66fccb0", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "1c869476" } } ], "meta" : { - "globalKey" : "992ce237" + "globalKey" : "382e365f" } - }, { - "quantity" : [ { - "value" : { - "value" : 135000000.00, - "unit" : { - "currency" : { - "value" : "INR" - } + } + }, + "meta" : { + "globalKey" : "250045fd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0699, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "INR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 135000000.00, + "unit" : { + "currency" : { + "value" : "INR" } } }, "meta" : { - "globalKey" : "bfa5e631" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "992ce237" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 135000000.00, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "INR-FBIL-MIBOR-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ad38fa45" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-27", + "meta" : { + "globalKey" : "3f10db" + } }, "party" : [ { "partyId" : [ { @@ -696,10 +710,10 @@ } }, "meta" : { - "globalKey" : "377c34c8" + "globalKey" : "ae60324c" } }, "meta" : { - "globalKey" : "377c34c8" + "globalKey" : "ae60324c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-KRW-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-KRW-uti.json index 84a3d864e8..3d6be078c1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-KRW-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/NDS-KRW-uti.json @@ -1,187 +1,84 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-27", - "meta" : { - "globalKey" : "3f10db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "f83701b9" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a66f7c0" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "86769751", - "externalReference" : "paymentDates1" - } ] - } - } - }, - "meta" : { - "globalKey" : "5fc26753" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "96cfbcac" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-11-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccc4d0c" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "eccc4d0c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "meta" : { - "globalKey" : "988161c1" - } - }, - "meta" : { - "globalKey" : "b76d086d" - } + "globalKey" : "1a66f7c0" }, - "meta" : { - "globalKey" : "b76d086d" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" @@ -192,33 +89,59 @@ "globalKey" : "4f80e30" } }, - "meta" : { - "globalKey" : "988161c1" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "86769751", + "externalReference" : "paymentDates1" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "c9e60c9b", - "externalKey" : "fixedCalcPeriodDates1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "meta" : { + "globalKey" : "5fc26753" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-11-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eccc4d0c" + } + }, + "meta" : { + "globalKey" : "eccc4d0c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -235,141 +158,118 @@ } }, "meta" : { - "globalKey" : "86769751", - "externalKey" : "paymentDates1" + "globalKey" : "b76d086d" } }, "meta" : { - "globalKey" : "bd0f016c" + "globalKey" : "b76d086d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "KRSE" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "4f80e30" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, + "meta" : { + "globalKey" : "988161c1" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "c9e60c9b", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "KRSE" + } ], "meta" : { - "globalKey" : "f83701ba" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a66f7c1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "86769751", - "externalReference" : "paymentDates2" - } ] - } - } - }, - "meta" : { - "globalKey" : "5fc26754" - } - } ] + "globalKey" : "4f80e30" + } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "988161c1" + } + }, + "meta" : { + "globalKey" : "86769751", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "591dcefd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "96cfbcad" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-11-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccc4d0c" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "eccc4d0c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "meta" : { - "globalKey" : "988161c1" - } - }, - "meta" : { - "globalKey" : "b76d086d" - } + "globalKey" : "1a66f7c1" }, - "meta" : { - "globalKey" : "b76d086d" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" @@ -380,88 +280,57 @@ "globalKey" : "4f80e30" } }, - "meta" : { - "globalKey" : "988161c1" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "86769751", + "externalReference" : "paymentDates2" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "c9e60c9b", - "externalKey" : "floatingCalcPeriodDates2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "4f80e30" - } - }, - "meta" : { - "globalKey" : "988161c1" - } - }, - "meta" : { - "globalKey" : "86769751", - "externalKey" : "paymentDates2" + "meta" : { + "globalKey" : "5fc26754" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c9e60c9b", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "a8b38ff8" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-11-20", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "2355f9" - } - }, - "dateRelativeTo" : { - "globalReference" : "f59c6c19", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "eccc4d0c" + } + }, + "meta" : { + "globalKey" : "eccc4d0c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -478,139 +347,284 @@ } }, "meta" : { - "globalKey" : "f59c6c19", - "externalKey" : "resetDates2" + "globalKey" : "b76d086d" + } + }, + "meta" : { + "globalKey" : "b76d086d" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "4f80e30" } }, "meta" : { - "globalKey" : "14a45252" + "globalKey" : "988161c1" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "1956aebe" + "globalKey" : "c9e60c9b", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "4f80e30" + } + }, + "meta" : { + "globalKey" : "988161c1" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "86769751", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "4fbe63f4" - } - }, - "meta" : { - "globalKey" : "4fbe63f4" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0226, - "unit" : { - "currency" : { - "value" : "KRW" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c9e60c9b", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "a8b38ff8" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "2355f9" + } + }, + "dateRelativeTo" : { + "globalReference" : "f59c6c19", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000000.00, - "unit" : { - "currency" : { - "value" : "KRW" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "4f80e30" + } + }, + "meta" : { + "globalKey" : "988161c1" } + }, + "meta" : { + "globalKey" : "f59c6c19", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "c8b0db9d" } } ], "meta" : { - "globalKey" : "b20f2773" + "globalKey" : "430bd500" } - }, { - "quantity" : [ { - "value" : { - "value" : 20000000000.00, - "unit" : { - "currency" : { - "value" : "KRW" - } + } + }, + "meta" : { + "globalKey" : "8116f8c2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0226, + "unit" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "KRW" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "KRW-CD-KSDA-Bloomberg" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "b20f2773" + } + }, { + "quantity" : [ { + "value" : { + "value" : 20000000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "KRW-CD-KSDA-Bloomberg" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "KRW-CD-KSDA-Bloomberg" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "732d0124" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4e74a3b5" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-27", + "meta" : { + "globalKey" : "3f10db" + } }, "party" : [ { "partyId" : [ { @@ -704,10 +718,10 @@ } }, "meta" : { - "globalKey" : "48940c26" + "globalKey" : "2d0678d1" } }, "meta" : { - "globalKey" : "48940c26" + "globalKey" : "2d0678d1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Long-Final-Stub-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Long-Final-Stub-uti.json index 12db0f555f..d8f2191cbd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Long-Final-Stub-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Long-Final-Stub-uti.json @@ -1,137 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-26", - "meta" : { - "globalKey" : "3f105a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ecaf1ec6" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecaf1ec6" - } - }, - "meta" : { - "globalKey" : "ecaf1ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "e068378c" - } - }, - "meta" : { - "globalKey" : "e068378c" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ecaf1ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,170 +107,132 @@ "globalKey" : "97b8e49c" } }, - "lastRegularPeriodEndDate" : "2019-06-14", - "stubPeriodType" : "LongFinal", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "5a3d442a", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "e068378c" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "e068378c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "628a6d89", - "externalKey" : "paymentDates1" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "b2fda268" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "lastRegularPeriodEndDate" : "2019-06-14", + "stubPeriodType" : "LongFinal", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "5a3d442a", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "42f910b" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "b2fda268" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ecaf1ec6" - } - }, - "meta" : { - "globalKey" : "ecaf1ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "e068378c" - } - }, - "meta" : { - "globalKey" : "e068378c" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f58" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "1d8287e2", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ecaf1ec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ecaf1ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -327,194 +249,284 @@ } }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "paymentDates2" + "globalKey" : "e068378c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1d8287e2", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "27392f58", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "e068378c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "27392f58", - "externalKey" : "resetDates2" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "258ebf25" + "globalKey" : "97b8e49c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f58" + }, + "rollConvention" : "14" + }, "meta" : { - "globalKey" : "28c057bd" + "globalKey" : "1d8287e2", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "85ae1a2c", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "34e76f73" - } - }, - "meta" : { - "globalKey" : "34e76f73" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.015, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1d8287e2", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5c" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "27392f58", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 900000000, - "unit" : { - "currency" : { - "value" : "USD" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" } + }, + "meta" : { + "globalKey" : "27392f58", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "258ebf25" } } ], "meta" : { - "globalKey" : "bb37f952" + "globalKey" : "28c057bd" } - }, { - "quantity" : [ { - "value" : { - "value" : 900000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "c4e1deff" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.015, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 900000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "bb37f952" + } + }, { + "quantity" : [ { + "value" : { + "value" : 900000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "875fde14" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "a029c572" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-26", + "meta" : { + "globalKey" : "3f105a" + } }, "party" : [ { "partyId" : [ { @@ -608,10 +620,10 @@ } }, "meta" : { - "globalKey" : "8271f618" + "globalKey" : "b81510ea" } }, "meta" : { - "globalKey" : "8271f618" + "globalKey" : "b81510ea" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-OIS-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-OIS-uti.json index a7a8d47290..b0ffbfda03 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-OIS-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-OIS-uti.json @@ -1,181 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:OIS", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "2f961685" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-26", - "meta" : { - "globalKey" : "3f105a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:OIS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:OIS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-10-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccb20bc" - } - }, - "meta" : { - "globalKey" : "eccb20bc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "3c4921dc" - } - }, - "meta" : { - "globalKey" : "3c4921dc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-10-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "firstRegularPeriodStartDate" : "2018-06-30", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "11b6b" - }, - "rollConvention" : "EOM" - }, "meta" : { - "globalKey" : "428dedf0", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "eccb20bc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eccb20bc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -190,144 +106,144 @@ } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "paymentDates1" + "globalKey" : "3c4921dc" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "428dedf0", - "externalReference" : "fixedCalcPeriodDates1" - }, - "initialStub" : { - "stubRate" : 0.0150239 + "meta" : { + "globalKey" : "3c4921dc" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "26051b0b" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "firstRegularPeriodStartDate" : "2018-06-30", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "11b6b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "EOM" + }, + "meta" : { + "globalKey" : "428dedf0", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "1fcd4fda", + "externalKey" : "paymentDates1" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "428dedf0", + "externalReference" : "fixedCalcPeriodDates1" + }, + "initialStub" : { + "stubRate" : 0.0150239 + } + }, + "meta" : { + "globalKey" : "26051b0b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2017-10-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eccb20bc" - } - }, - "meta" : { - "globalKey" : "eccb20bc" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "3c4921dc" - } - }, - "meta" : { - "globalKey" : "3c4921dc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2017-10-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "firstRegularPeriodStartDate" : "2018-06-30", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "11b6b" - }, - "rollConvention" : "EOM" - }, "meta" : { - "globalKey" : "428dedf0", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "eccb20bc" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eccb20bc" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -342,184 +258,280 @@ } }, "meta" : { - "globalKey" : "1fcd4fda", - "externalKey" : "paymentDates2" + "globalKey" : "3c4921dc" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "428dedf0", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "d0b9c1a6" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd832497", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "3c4921dc" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "dd832497", - "externalKey" : "resetDates2" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "d1c682ae" + "globalKey" : "3662e8ba" } - } ], + }, + "firstRegularPeriodStartDate" : "2018-06-30", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "11b6b" + }, + "rollConvention" : "EOM" + }, "meta" : { - "globalKey" : "bdef4839" + "globalKey" : "428dedf0", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:OIS", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "1fcd4fda", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "2f961685" - } - } ], - "meta" : { - "globalKey" : "9b1029c5" - } - }, - "meta" : { - "globalKey" : "9b1029c5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0150239, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "428dedf0", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "d0b9c1a6" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd832497", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 860000, - "unit" : { - "currency" : { - "value" : "USD" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } + }, + "meta" : { + "globalKey" : "dd832497", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "d1c682ae" } } ], "meta" : { - "globalKey" : "698c5daf" + "globalKey" : "bdef4839" } - }, { - "quantity" : [ { - "value" : { - "value" : 860000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "911d37db" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0150239, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 860000, + "unit" : { + "currency" : { + "value" : "USD" } } }, "meta" : { - "globalKey" : "5d5d82f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "698c5daf" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 860000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-Federal Funds-H.15-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "d180a80f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-01-26", + "meta" : { + "globalKey" : "3f105a" + } }, "party" : [ { "partyId" : [ { @@ -591,7 +603,7 @@ } }, "meta" : { - "globalKey" : "7f7cc00c" + "globalKey" : "6ed4cd18" } }, "transferHistory" : [ { @@ -650,6 +662,6 @@ } } ], "meta" : { - "globalKey" : "c811cf25" + "globalKey" : "e8e5fa99" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-VNS-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-VNS-uti.json index 6d657f6b90..6de7b4fc30 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-VNS-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-VNS-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-01-30", - "meta" : { - "globalKey" : "3f105e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec3400fa" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "fae8dfb8" - } - }, - "meta" : { - "globalKey" : "fae8dfb8" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec3400fa" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,223 +105,134 @@ "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3b" - }, - "rollConvention" : "2" - }, "meta" : { - "globalKey" : "d61a3783", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "fae8dfb8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "fae8dfb8" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "b350af98", - "externalKey" : "paymentDates1" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "d180410" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "d61a3783", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "b350af98", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "d180410" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "meta" : { - "globalKey" : "ec3400fa" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-09-02", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "fae8dfb8" - } - }, - "meta" : { - "globalKey" : "fae8dfb8" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" - }, - "meta" : { - "globalKey" : "d61a48d4", - "externalKey" : "floatingCalcPeriodDates2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "3febc8e7", - "externalKey" : "paymentDates2" + "globalKey" : "ec3400fa" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d61a48d4", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "8616439", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ec3400fa" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-09-02", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -374,454 +247,593 @@ } }, "meta" : { - "globalKey" : "8616439", - "externalKey" : "resetDates2" + "globalKey" : "fae8dfb8" } }, "meta" : { - "globalKey" : "d539cf15" - } - } ], - "meta" : { - "globalKey" : "fc295325" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } - }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "18fccb23" - } - }, - "meta" : { - "globalKey" : "18fccb23" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01333417, - "unit" : { - "currency" : { - "value" : "USD" + "globalKey" : "fae8dfb8" } }, - "datedValue" : [ { - "date" : "2012-09-02", - "value" : 0.025, - "meta" : { - "globalKey" : "a5771b3" - } - }, { - "date" : "2013-09-02", - "value" : 0.025, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, "meta" : { - "globalKey" : 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"2018-01-30", + "meta" : { + "globalKey" : "3f105e" + } }, "party" : [ { "partyId" : [ { @@ -915,10 +927,10 @@ } }, "meta" : { - "globalKey" : "e5e44b5c" + "globalKey" : "e9c37562" } }, "meta" : { - "globalKey" : "e5e44b5c" + "globalKey" : "e9c37562" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-swap.json index 2f5cf77296..52c7707610 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-swap.json @@ -1,322 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + 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"http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec0f7dc0" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "6d96fd32" - } - }, - "meta" : { - "globalKey" : "6d96fd32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "8238af6a", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "6d96fd32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "6d96fd32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8238af6a", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "924ca9c3", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "8238af6a", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "924ca9c3", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b768f9eb" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8238af6a", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "924ca9c3", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "924ca9c3", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "b768f9eb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-02-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "meta" : { - "globalKey" : "ec0f7dc0" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2016-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "58821cc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-02-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58821cc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "meta" : { + "globalKey" : "ec0f7dc0" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2016-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -331,177 +280,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "da8c707a", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "58821cc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "58821cc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "dee3a99e" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "ec160dc9" + "globalKey" : "da8c707a", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "13acca10" - } - }, - "meta" : { - "globalKey" : "13acca10" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "dee3a99e" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "ec160dc9" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "13acca10" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a032462e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f901da98" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "d923cb70" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "20d01c41", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "67e3087d", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "d923cb70" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "20d01c41", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "67e3087d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "712345678901234567890123456789012", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "88f03f2f" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2011-02-12", + "meta" : { + "globalKey" : "3ed88c" + } }, "party" : [ { "partyId" : [ { @@ -620,10 +632,10 @@ } } ], "meta" : { - "globalKey" : "b8ebd5ec" + "globalKey" : "1d4b0216" } }, "meta" : { - "globalKey" : "b8ebd5ec" + "globalKey" : "1d4b0216" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-uti.json index b01b0a208f..7ed7d9a01c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/USD-Vanilla-uti.json @@ -1,135 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "UITD7895394", + "value" : "InterestRate:IRSwap:FixedFloat", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "44520a9a" } } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-02-22", - "meta" : { - "globalKey" : "3f1096" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/asset-class-simple" + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece29abd" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece29abd" - } - }, - "meta" : { - "globalKey" : "ece29abd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2027-03-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "254315" - } - }, - "meta" : { - "globalKey" : "254315" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece29abd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2027-03-05", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,162 +105,126 @@ "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "b62122b7", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "254315" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "254315" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "3febc8e7", - "externalKey" : "paymentDates1" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "d8c49793" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "b62122b7", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "3febc8e7", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "d8c49793" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece29abd" - } - }, - "meta" : { - "globalKey" : "ece29abd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2027-03-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "254315" - } - }, - "meta" : { - "globalKey" : "254315" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "3662e8ba" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "b62122b7", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "ece29abd" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece29abd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2027-03-05", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -313,192 +239,278 @@ } }, "meta" : { - "globalKey" : "3febc8e7", - "externalKey" : "paymentDates2" + "globalKey" : "254315" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "b62122b7", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "8616439", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "254315" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "8616439", - "externalKey" : "resetDates2" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "abd7a656" + "globalKey" : "3662e8ba" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" + }, + "rollConvention" : "5" + }, "meta" : { - "globalKey" : "95916863" + "globalKey" : "b62122b7", + "externalKey" : "floatingCalcPeriodDates2" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:IRSwap:FixedFloat", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "globalKey" : "3febc8e7", + "externalKey" : "paymentDates2" } }, - "source" : "Other", - "meta" : { - "globalKey" : "44520a9a" - } - } ], - "meta" : { - "globalKey" : "4b867519" - } - }, - "meta" : { - "globalKey" : "4b867519" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0296, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "b62122b7", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5c" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "8616439", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 525000000, - "unit" : { - "currency" : { - "value" : "USD" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } + }, + "meta" : { + "globalKey" : "8616439", + "externalKey" : "resetDates2" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "abd7a656" } } ], "meta" : { - "globalKey" : "11ca58ea" + "globalKey" : "95916863" } - }, { - "quantity" : [ { - "value" : { - "value" : 525000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "b9ddb3a5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0296, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 525000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "11ca58ea" + } + }, { + "quantity" : [ { + "value" : { + "value" : 525000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "ca419b8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "1c70cf4e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-02-22", + "meta" : { + "globalKey" : "3f1096" + } }, "party" : [ { "partyId" : [ { @@ -592,10 +604,10 @@ } }, "meta" : { - "globalKey" : "94d8e702" + "globalKey" : "9ed429d4" } }, "meta" : { - "globalKey" : "94d8e702" + "globalKey" : "9ed429d4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.json index 38f76d25e6..33feb24521 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex01.json @@ -1,261 +1,189 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1070247694", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FI-BANKXX-585125839", + "value" : "JP1700161P53", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-id/ISIN" } + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1b2f70e1" } } ], - "meta" : { - "globalKey" : "4396cc77" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuerReference" : { - "globalReference" : "47c725f9", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FI-BANKXX-585125839", - "meta" : { - "scheme" : "http://www.dtcc.com/internal-reference-id" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - } ], - "meta" : { - "globalKey" : "31fabfda" - } - } ], - "tradeDate" : { - "value" : "2023-11-15", - "meta" : { - "globalKey" : "3f3acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "JRMXFP", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "JRMXFP", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + } + } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "FW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "FW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "X", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-mandatory-clearable-product" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "X", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-mandatory-clearable-product" - } - } + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:Forward:Debt", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:Forward:Debt", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_Forward_Debt" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed806a47" } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_Forward_Debt" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed806a47" - } - }, + }, + "meta" : { + "globalKey" : "ed806a47" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2029-11-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed806a47" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2029-11-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ee349a47" + "meta" : { + "globalKey" : "ee349a47" + } + }, + "meta" : { + "globalKey" : "ee349a47" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ee349a47" + "globalKey" : "0" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "5369692" - } - }, { - "identifier" : { - "value" : "5369692", - "meta" : { - "scheme" : "http://www.bankx.com/instrument-id" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "JP1700161P53" - } - }, { - "identifier" : { - "value" : "JP1700161P53", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "b143abd4" - } - }, - "meta" : { - "globalKey" : "5516d85e" - } - } ], + "settlementTerms" : { + "settlementType" : "Physical", "meta" : { - "globalKey" : "5516d85e" + "globalKey" : "f3b1d0d7" } }, - "nonStandardisedTerms" : false - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "JP1700161P53", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-id/ISIN" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "source" : "ISIN", "meta" : { - "globalKey" : "1b2f70e1" + "globalKey" : "db41808a" } } ], "meta" : { - "globalKey" : "2ab45b73" + "globalKey" : "db41808a" } }, - "meta" : { - "globalKey" : "2ab45b73" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 72.6600701, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "meta" : { + "globalKey" : "7371da47" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 72.6600701, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 8600000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 8600000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -280,30 +208,72 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "b9a88777" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c2aaa304", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "47c725f9", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "a8cff3b8" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c2aaa304", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "47c725f9", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1070247694", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FI-BANKXX-585125839", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "4396cc77" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuerReference" : { + "globalReference" : "47c725f9", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FI-BANKXX-585125839", + "meta" : { + "scheme" : "http://www.dtcc.com/internal-reference-id" + } + } + } ], + "meta" : { + "globalKey" : "31fabfda" + } + } ], + "tradeDate" : { + "value" : "2023-11-15", + "meta" : { + "globalKey" : "3f3acf" + } }, "party" : [ { "partyId" : [ { @@ -388,10 +358,10 @@ } } ], "meta" : { - "globalKey" : "c7adc4b6" + "globalKey" : "fa540ce1" } }, "meta" : { - "globalKey" : "c7adc4b6" + "globalKey" : "fa540ce1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.json index 2065085778..cba87ac994 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-fwd-generic-ex02.json @@ -1,261 +1,189 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1070247694", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FI-BANKXX-585125839", + "value" : "JP1700161P53", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-id/ISIN" } + }, + "source" : "ISIN", + "meta" : { + "globalKey" : "1b2f70e1" } } ], - "meta" : { - "globalKey" : "4396cc77" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuerReference" : { - "globalReference" : "47c727bc", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FI-BANKXX-585125839", - "meta" : { - "scheme" : "http://www.dtcc.com/internal-reference-id" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - } ], - "meta" : { - "globalKey" : "31fabfda" - } - } ], - "tradeDate" : { - "value" : "2023-11-15", - "meta" : { - "globalKey" : "3f3acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "JRMXFP", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "JRMXFP", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + } + } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "FW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "FW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" - } - } + } + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "X", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-mandatory-clearable-product" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "X", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-mandatory-clearable-product" - } - } + } + } + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:Forward:Debt", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:Forward:Debt", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_Forward_Debt" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed806a47" } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_Forward_Debt" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed806a47" - } - }, + }, + "meta" : { + "globalKey" : "ed806a47" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2029-11-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed806a47" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2029-11-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ee349a47" + "meta" : { + "globalKey" : "ee349a47" + } + }, + "meta" : { + "globalKey" : "ee349a47" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ee349a47" + "globalKey" : "0" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "5369692" - } - }, { - "identifier" : { - "value" : "5369692", - "meta" : { - "scheme" : "http://www.bankx.com/instrument-id" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "JP1700161P53" - } - }, { - "identifier" : { - "value" : "JP1700161P53", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "b143abd4" - } - }, - "meta" : { - "globalKey" : "5516d85e" - } - } ], + "settlementTerms" : { + "settlementType" : "Physical", "meta" : { - "globalKey" : "5516d85e" + "globalKey" : "f3b1d0d7" } }, - "nonStandardisedTerms" : false - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "JP1700161P53", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-id/ISIN" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "source" : "ISIN", "meta" : { - "globalKey" : "1b2f70e1" + "globalKey" : "db41808a" } } ], "meta" : { - "globalKey" : "2ab45b73" + "globalKey" : "db41808a" } }, - "meta" : { - "globalKey" : "2ab45b73" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 52.6600701, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "meta" : { + "globalKey" : "7371da47" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 52.6600701, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -280,30 +208,72 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "e55991da" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "47c727bc", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c2aaa304", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "d480fe1b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "47c727bc", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c2aaa304", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1070247694", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FI-BANKXX-585125839", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "4396cc77" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuerReference" : { + "globalReference" : "47c727bc", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FI-BANKXX-585125839", + "meta" : { + "scheme" : "http://www.dtcc.com/internal-reference-id" + } + } + } ], + "meta" : { + "globalKey" : "31fabfda" + } + } ], + "tradeDate" : { + "value" : "2023-11-15", + "meta" : { + "globalKey" : "3f3acf" + } }, "party" : [ { "partyId" : [ { @@ -388,10 +358,10 @@ } } ], "meta" : { - "globalKey" : "6db29d18" + "globalKey" : "32e1d759" } }, "meta" : { - "globalKey" : "6db29d18" + "globalKey" : "32e1d759" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-option-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-option-uti.json index 20fce17bdf..d672c4d094 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-option-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/bond-option-uti.json @@ -1,212 +1,193 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-05-10", - "meta" : { - "globalKey" : "3eb14a", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2006-06-22", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2006-06-22", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "a15ed25a" + "globalKey" : "211ff630" } - }, - "meta" : { - "globalKey" : "35f85f44" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP1", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "39e279be" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-06-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } - }, + "meta" : { + "globalKey" : "a15ed25a" + } + }, + "meta" : { + "globalKey" : "35f85f44" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-06-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "9c40487d" + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "9c40487d" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "JPTO" + "globalKey" : "211ff630" } }, - "expirationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Buyer", - "businessCenter" : { - "value" : "JPTO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : false - }, "meta" : { - "globalKey" : "4f51319d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 99.7, - "unit" : { - "currency" : { - "value" : "JPY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "priceType" : "AssetPrice" + "globalKey" : "9c40487d" } }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "9c40487d" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", + "businessCenter" : { + "value" : "JPTO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : false + }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "4f51319d" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 99.7, + "unit" : { + "currency" : { + "value" : "JPY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "27706b4" } - }, + } ], "meta" : { - "globalKey" : "85540b5c" + "globalKey" : "27706b4" } }, - "meta" : { - "globalKey" : "85540b5c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { + "meta" : { + "globalKey" : "8d1c129e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000000, + "unit" : { + "currency" : { + "value" : "JPY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { "value" : 10000000000, "unit" : { "currency" : { @@ -216,40 +197,18 @@ } } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000000, - "unit" : { - "currency" : { - "value" : "JPY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -266,37 +225,64 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "6ba88276" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2f386d63" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-05-10", + "meta" : { + "globalKey" : "3eb14a", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +326,7 @@ } } ], "meta" : { - "globalKey" : "8d55e8ff" + "globalKey" : "ff1c0432" } }, "transferHistory" : [ { @@ -405,6 +391,6 @@ } } ], "meta" : { - "globalKey" : "fd35713a" + "globalKey" : "a51aee27" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cb-option-usi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cb-option-usi.json index 2627b9e45f..57a4e870ea 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cb-option-usi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cb-option-usi.json @@ -1,278 +1,237 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "af42d69a" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "uyrt76w4" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", + "meta" : { + "globalKey" : "1003a5c1" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" + } + }, + "dateRelativeTo" : { + "globalReference" : "7683e50c", + "externalReference" : "f746f" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "1003a5c1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "dateRelativeTo" : { - "globalReference" : "7683e50c", - "externalReference" : "f746f" - } + "meta" : { + "globalKey" : "1003a5c1" + } + }, + "meta" : { + "globalKey" : "64397759" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "1003a5c1" + "globalKey" : "da4d16b1" } }, "meta" : { - "globalKey" : "64397759" + "globalKey" : "3529f2fe" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN1", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276afdc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, + "meta" : { + "globalKey" : "3529f2fe" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2010-08-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "3529f2fe" + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "3529f2fe" + "globalKey" : "da4d16b1" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2010-08-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, - "meta" : { - "globalKey" : "7683e50c" - } - }, - "meta" : { - "globalKey" : "7683e50c", - "externalKey" : "f746f" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", + "meta" : { + "globalKey" : "7683e50c" + } + }, + "meta" : { + "globalKey" : "7683e50c", + "externalKey" : "f746f" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", "businessCenter" : { "value" : "GBLO" } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, + "meta" : { + "globalKey" : "f86a126c" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "EUR-LIBOR-BBA", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, - "meta" : { - "globalKey" : "f86a126c" - } + "spread" : 85, + "side" : "Bid" }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "EUR-LIBOR-BBA", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 85, - "side" : "Bid" - }, - "makeWholeAmount" : { - "floatingRateIndex" : "EUR-LIBOR-BBA", - "spread" : 85, - "side" : "Bid", - "interpolationMethod" : "LinearZeroYield", - "earlyCallDate" : { - "value" : "2006-07-19", - "meta" : { - "globalKey" : "3eb1d3" - } - } + "makeWholeAmount" : { + "floatingRateIndex" : "EUR-LIBOR-BBA", + "spread" : 85, + "side" : "Bid", + "interpolationMethod" : "LinearZeroYield", + "earlyCallDate" : { + "value" : "2006-07-19", + "meta" : { + "globalKey" : "3eb1d3" } } - }, - "meta" : { - "globalKey" : "eb414e4c" } - } ], - "meta" : { - "globalKey" : "eb414e4c" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "87c12a30" } - }, + } ], "meta" : { - "globalKey" : "6c72d436" + "globalKey" : "87c12a30" } }, - "meta" : { - "globalKey" : "6c72d436" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1, + "meta" : { + "globalKey" : "e86b471a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1100000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1100000, - "unit" : { - "currency" : { - "value" : "CHF" - } + "currency" : { + "value" : "CHF" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -289,37 +248,64 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "92382e01" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4abe1874", - "externalReference" : "fdkhjbgr" + }, + "meta" : { + "globalKey" : "8b5b7ff2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4abe1855", - "externalReference" : "jhf45s" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4abe1874", + "externalReference" : "fdkhjbgr" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4abe1855", + "externalReference" : "jhf45s" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "4abe1855", + "externalReference" : "jhf45s" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "4abe1855", - "externalReference" : "jhf45s" - } ] - } ] + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "uyrt76w4" + } }, "party" : [ { "partyId" : [ { @@ -357,10 +343,10 @@ } } ], "meta" : { - "globalKey" : "383fe89b" + "globalKey" : "c14f85f6" } }, "meta" : { - "globalKey" : "383fe89b" + "globalKey" : "c14f85f6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-after-usi-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-after-usi-uti.json index 2c1db0ef8f..a564ac00c5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-after-usi-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-after-usi-uti.json @@ -1,317 +1,179 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "DRTY123456", + "value" : "InterestRate:CrossCurrency:Basis", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "82d2440b" } } ], - "meta" : { - "globalKey" : "717b78f7" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "SRAXCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" + } } } - } ], - "meta" : { - "globalKey" : "af42d69a" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-19", - "meta" : { - "globalKey" : "3f10d3", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "SRAXCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "SW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "SW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "fixed_notional_schedule" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "97a0d7df" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Telerate" - }, - "sourcePage" : { - "value" : "WM Company LDN 11am Mid" - }, - "sourcePageHeading" : "USD/EUR" - } - }, - "fixingTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "97a0d7df" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - } - } - }, - "meta" : { - "globalKey" : "f791ff95" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12be2f" - } - }, - "settlementTerms" : { - "settlementCurrency" : { + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "fixed_notional_schedule" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { "value" : "USD" }, - "meta" : { - "globalKey" : "14966" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, + "globalKey" : "97a0d7df" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "733f98e" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "733f98e" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Telerate" }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } + "sourcePage" : { + "value" : "WM Company LDN 11am Mid" }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "meta" : { - "globalKey" : "80e0d18e" + "sourcePageHeading" : "USD/EUR" + } + }, + "fixingTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" } }, - "calculationPeriodDatesAdjustments" : { + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "97a0d7df" + }, + "dayType" : "Business", "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" } ], "meta" : { - "globalKey" : "81e33772" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "5865eac3" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, - "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e5304" + } + } + }, + "meta" : { + "globalKey" : "f791ff95" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12be2f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -330,256 +192,297 @@ } }, "meta" : { - "globalKey" : "b076f494" + "globalKey" : "733f98e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e5304" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "56e7d2f6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "81e33772" } }, - "dateRelativeTo" : { - "globalReference" : "cf94c7d3", - "externalReference" : "d0e5651" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "5865eac3" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "cf94c7d3", - "externalKey" : "d0e5651" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "cd24bd60" + "globalKey" : "5865eac3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "a071381b", + "externalKey" : "d0e5304" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "fixed_notional_schedule" + "globalKey" : "81e33772" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2018-03-21", - "meta" : { - "globalKey" : "3f10d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 1400.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "39f638fe" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 1400.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7b889f5f" - } - }, - "meta" : { - "globalKey" : "6d279ba0" - } - } - }, + "meta" : { + "globalKey" : "5865eac3" + } + }, + "meta" : { + "globalKey" : "b076f494" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e5304" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "56e7d2f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5aab838f" + "globalKey" : "21479e" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "EUR" - }, + "dateRelativeTo" : { + "globalReference" : "cf94c7d3", + "externalReference" : "d0e5651" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "10da2" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "cf94c7d3", + "externalKey" : "d0e5651" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "cd24bd60" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "fixed_notional_schedule" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2018-03-21", + "meta" : { + "globalKey" : "3f10d5" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 1400.00, + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "7b889f5f" } + }, + "meta" : { + "globalKey" : "39f638fe" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "733f98e" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "733f98e" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "80e0d18e" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 1400.00, + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "80e0d18e" + "globalKey" : "7b889f5f" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "6d279ba0" + } + } + }, + "meta" : { + "globalKey" : "5aab838f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "10da2" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -597,30 +500,18 @@ "globalKey" : "5865eac3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e6023" + "globalKey" : "733f98e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -638,248 +529,388 @@ "globalKey" : "5865eac3" } }, - "meta" : { - "globalKey" : "b076f494" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e6023" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "548db7f8" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a03e685b", - "externalReference" : "d0e6369" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "a03e685b", - "externalKey" : "d0e6369" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "fd3ae45" + "globalKey" : "5865eac3" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" + }, + "rollConvention" : "21" + }, "meta" : { - "globalKey" : "97dcb4e5" + "globalKey" : "a071381b", + "externalKey" : "d0e6023" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:CrossCurrency:Basis", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } + }, + "meta" : { + "globalKey" : "5865eac3" + } + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "b076f494" } }, - "source" : "Other", - "meta" : { - "globalKey" : "82d2440b" - } - } ], - "meta" : { - "globalKey" : "7b4124e8" - } - }, - "meta" : { - "globalKey" : "7b4124e8" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0, - "unit" : { - "currency" : { - "value" : "USD" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e6023" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "548db7f8" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "a03e685b", + "externalReference" : "d0e6369" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "a03e685b", + "externalKey" : "d0e6369" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "fd3ae45" } } ], - "quantity" : [ { - "value" : { - "value" : 1726.62, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "97dcb4e5" + } + } + }, + "meta" : { + "globalKey" : "ecbd60f2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1726.62, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "27f9e331" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.0045, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "285730f5" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0045, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1400, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1400, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b87d9d85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] + }, + "meta" : { + "globalKey" : "845a5b12" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DRTY123456", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "meta" : { + "globalKey" : "717b78f7" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } - } ] + } ], + "meta" : { + "globalKey" : "af42d69a" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-19", + "meta" : { + "globalKey" : "3f10d3", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -923,7 +954,7 @@ } } ], "meta" : { - "globalKey" : "846283ed" + "globalKey" : "b0a4baac" } }, "transferHistory" : [ { @@ -974,6 +1005,6 @@ } } ], "meta" : { - "globalKey" : "f9f37f50" + "globalKey" : "fe1545f1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-before-usi-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-before-usi-uti.json index 17b21fbe94..b94daf756f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-before-usi-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/cdm-xccy-swap-before-usi-uti.json @@ -1,309 +1,171 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "DRTY123456", + "value" : "InterestRate:CrossCurrency:Basis", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "82d2440b" } } ], - "meta" : { - "globalKey" : "e2121f31" - }, - "identifierType" : "UniqueSwapIdentifier" - }, { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "SRAXCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" + } } } - } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-03-19", - "meta" : { - "globalKey" : "3f10d3", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "SRAXCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } - } + }, { + "source" : "EMIR", + "value" : { + "name" : { + "value" : "SW", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" } - }, { - "source" : "EMIR", - "value" : { - "name" : { - "value" : "SW", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/product-classification/emir-contract-type" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_Basis" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "fixed_notional_schedule" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "97a0d7df" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Telerate" - }, - "sourcePage" : { - "value" : "WM Company LDN 11am Mid" - }, - "sourcePageHeading" : "USD/EUR" - } - }, - "fixingTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "97a0d7df" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3f10d3", - "externalReference" : "tradeDate" - } - } - } - }, - "meta" : { - "globalKey" : "f791ff95" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12be2f" - } - }, - "settlementTerms" : { - "settlementCurrency" : { + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "fixed_notional_schedule" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { "value" : "USD" }, - "meta" : { - "globalKey" : "14966" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, + "globalKey" : "97a0d7df" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "733f98e" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "733f98e" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Telerate" }, - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } + "sourcePage" : { + "value" : "WM Company LDN 11am Mid" }, - "meta" : { - "globalKey" : "80e0d18e" - } - }, - "meta" : { - "globalKey" : "80e0d18e" + "sourcePageHeading" : "USD/EUR" } }, - "calculationPeriodDatesAdjustments" : { + "fixingTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "97a0d7df" + }, + "dayType" : "Business", "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" } ], "meta" : { - "globalKey" : "81e33772" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "5865eac3" + "dateRelativeTo" : { + "globalReference" : "3f10d3", + "externalReference" : "tradeDate" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, - "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e5285" + } + } + }, + "meta" : { + "globalKey" : "f791ff95" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12be2f" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -322,256 +184,297 @@ } }, "meta" : { - "globalKey" : "b076f494" + "globalKey" : "733f98e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e5285" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "56e7d2b9" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "81e33772" } }, - "dateRelativeTo" : { - "globalReference" : "412a1c5e", - "externalReference" : "d0e5632" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "5865eac3" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "412a1c5e", - "externalKey" : "d0e5632" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "950d18d7" + "globalKey" : "5865eac3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "a071381b", + "externalKey" : "d0e5285" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "fixed_notional_schedule" + "globalKey" : "81e33772" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2018-03-21", - "meta" : { - "globalKey" : "3f10d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 1650, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7f38c622" - } - }, - "meta" : { - "globalKey" : "3da65fc1" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "2023-03-21", - "meta" : { - "globalKey" : "3f38d5" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 1650, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "7f38c622" - } - }, - "meta" : { - "globalKey" : "70d7c263" - } - } - }, + "meta" : { + "globalKey" : "5865eac3" + } + }, + "meta" : { + "globalKey" : "b076f494" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e5285" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "56e7d2b9" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "e2c87955" + "globalKey" : "21479e" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "EUR" - }, + "dateRelativeTo" : { + "globalReference" : "412a1c5e", + "externalReference" : "d0e5632" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "10da2" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "412a1c5e", + "externalKey" : "d0e5632" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "950d18d7" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "fixed_notional_schedule" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2018-03-21", + "meta" : { + "globalKey" : "3f10d5" } }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 1650, + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "7f38c622" } + }, + "meta" : { + "globalKey" : "3da65fc1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "81e33772" - } - }, - "meta" : { - "globalKey" : "5865eac3" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "733f98e" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "733f98e" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : 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"address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -589,30 +492,18 @@ "globalKey" : "5865eac3" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f74" - }, - "rollConvention" : "21" - }, "meta" : { - "globalKey" : "a071381b", - "externalKey" : "d0e6004" + "globalKey" : "733f98e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-21", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "733f98e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -630,225 +521,365 @@ "globalKey" : "5865eac3" } }, - "meta" : { - "globalKey" : "b076f494" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a071381b", - "externalReference" : "d0e6004" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", + "adjustedDate" : { + "value" : "2023-03-21", "meta" : { - "globalKey" : "548db7d0" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "43fcfb90", - "externalReference" : "d0e6350" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" + "globalKey" : "3f38d5" } }, "meta" : { - "globalKey" : "43fcfb90", - "externalKey" : "d0e6350" + "globalKey" : "80e0d18e" } }, - "compoundingMethod" : "None", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "80e0d18e" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } }, "meta" : { - "globalKey" : "5956e036" + "globalKey" : "5865eac3" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f74" + }, + "rollConvention" : "21" + }, "meta" : { - "globalKey" : "a2f9a5ff" + "globalKey" : "a071381b", + "externalKey" : "d0e6004" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "InterestRate:CrossCurrency:Basis", + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-21", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "81e33772" + } + }, + "meta" : { + "globalKey" : "5865eac3" + } + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "b076f494" } }, - "source" : "Other", + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a071381b", + "externalReference" : "d0e6004" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "548db7d0" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "43fcfb90", + "externalReference" : "d0e6350" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "43fcfb90", + "externalKey" : "d0e6350" + } + }, + "compoundingMethod" : "None", + "cashflowRepresentation" : { + 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+ "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "65740442" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.0045, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "2492b304" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0045, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1650, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1650, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "3cea6c88" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "78c2bf6f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DRTY123456", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "meta" : { + "globalKey" : "e2121f31" + }, + "identifierType" : "UniqueSwapIdentifier" + }, { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } - } ] + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-03-19", + "meta" : { + "globalKey" : "3f10d3", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -892,10 +923,10 @@ } } ], "meta" : { - "globalKey" : "646c0899" + "globalKey" : "a4be957a" } }, "meta" : { - "globalKey" : "646c0899" + "globalKey" : "a4be957a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex01-vanilla-swap-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex01-vanilla-swap-versioned.json index 6bfe7ec616..ef5c76a244 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex01-vanilla-swap-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex01-vanilla-swap-versioned.json @@ -1,306 +1,257 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d7d5532b" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - 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"externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : 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"externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "bd1df6cc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "29b63a53" + } + }, { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d7d5532b" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -920,10 +932,10 @@ } } ], "meta" : { - "globalKey" : "2a996fb8" + "globalKey" : "e9656cd2" } }, "meta" : { - "globalKey" : "2a996fb8" + "globalKey" : "e9656cd2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex03-compound-swap-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex03-compound-swap-versioned.json index daab6f2402..2ee67dc814 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex03-compound-swap-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex03-compound-swap-versioned.json @@ -1,478 +1,428 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "165d4199", - "externalReference" : "party2" - }, - 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"partyReference" : { + "globalReference" : "165d4199", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f69a01", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "165d4199", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "77651afa", + "externalKey" : "tr2345" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -750,10 +762,10 @@ } } ], "meta" : { - "globalKey" : "b40b621" + "globalKey" : "23fc8a4f" } }, "meta" : { - "globalKey" : "b40b621" + "globalKey" : "23fc8a4f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex04-arrears-stepup-fee-swap-usi-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex04-arrears-stepup-fee-swap-usi-uti.json index 851d632f19..9f9104e196 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex04-arrears-stepup-fee-swap-usi-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex04-arrears-stepup-fee-swap-usi-uti.json @@ -1,357 +1,259 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } - } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - 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+ "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c6f495d" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "e4e74682" + "globalKey" : "2ad6e87a" } + }, + "meta" : { + "globalKey" : "c6f495d" } - }, + } ], "meta" : { "globalKey" : "e4e74682" } - }, - "meta" : { - "globalKey" : "e4e74682" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "e4e74682" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "datedValue" : [ { - "date" : "2001-04-27", - "value" : 0.065, - "meta" : { - "globalKey" : "a4ca676" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "datedValue" : [ { + "date" : "2001-04-27", + "value" : 0.065, + "meta" : { + "globalKey" : "a4ca676" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "fb8b5e0e" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", "meta" : { - "globalKey" : "fb8b5e0e" + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } - } ] + } ], + "meta" : { + "globalKey" : "df285a49" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -537,7 +549,7 @@ } } ], "meta" : { - "globalKey" : "caba5df4" + "globalKey" : "fe94be" } }, "transferHistory" : [ { @@ -597,6 +609,6 @@ } } ], "meta" : { - "globalKey" : "d9b45984" + "globalKey" : "f56e347a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex05-long-stub-swap-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex05-long-stub-swap-uti.json index 48fb9bcafe..d940045d42 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex05-long-stub-swap-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex05-long-stub-swap-uti.json @@ -1,357 +1,306 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2000-04-03", - "meta" : { - "globalKey" : "3e8103" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac6fafd" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "211dc30c" } }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "453c77c5", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "bb867de7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } + "meta" : { + "globalKey" : "bb867de7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "34d904af" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "24cac063", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, "meta" : { - "globalKey" : "c10206b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "24cac063", - "externalKey" : "resetDates" + "globalKey" : "eac60abd" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "initialStub" : { - "stubRate" : 0.05125 + "meta" : { + "globalKey" : "eac60abd" + } + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "453c77c5", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "4cc8d850" + "globalKey" : "c10206b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "34d904af" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "24cac063", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "c10206b" + } + }, + "meta" : { + "globalKey" : "24cac063", + "externalKey" : "resetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Telerate", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" + "globalKey" : "aa" } } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" + } ] + } + }, + "meta" : { + "globalKey" : "4cc8d850" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "meta" : { - "globalKey" : "a678db46" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "a678db46" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -366,207 +315,270 @@ "globalKey" : "c10206b" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3e" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "b0de25d3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "a678db46" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "a678db46" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", 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"2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } }, "party" : [ { "partyId" : [ { @@ -610,10 +622,10 @@ } } ], "meta" : { - "globalKey" : "d72c766f" + "globalKey" : "70bb4ade" } }, "meta" : { - "globalKey" : "d72c766f" + "globalKey" : "70bb4ade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex06-xccy-swap-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex06-xccy-swap-uti.json index fad4aa8e09..e53703930b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex06-xccy-swap-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex06-xccy-swap-uti.json @@ -1,717 +1,629 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - 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"tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -964,10 +976,10 @@ } } ], "meta" : { - "globalKey" : "102f57e7" + "globalKey" : "878f7943" } }, "meta" : { - "globalKey" : "102f57e7" + "globalKey" : "878f7943" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex07-ois-swap-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex07-ois-swap-uti.json index b941528478..b816b07ff8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex07-ois-swap-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex07-ois-swap-uti.json @@ -1,315 +1,264 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "37c36a6c", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a6474bf1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "ba5fc4c9" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "37c36a6c", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a7a9427d", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a7a9427d", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c1f8b927" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "ba5fc4c9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "a7a9427d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "a7a9427d", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c1f8b927" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "9139a950" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9139a950" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -324,167 +273,230 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "d26aa7ed", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9139a950" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "9139a950" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "95bca6e6" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "bc67e9b4" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "be61421b" + "globalKey" : "95bca6e6" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "bc67e9b4" } - }, + } ], "meta" : { - "globalKey" : "f7651045" + "globalKey" : "be61421b" } }, - "meta" : { - "globalKey" : "f7651045" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f7651045" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -528,10 +540,10 @@ } } ], "meta" : { - "globalKey" : "4362f15e" + "globalKey" : "22b3c84" } }, "meta" : { - "globalKey" : "4362f15e" + "globalKey" : "22b3c84" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra-no-discounting.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra-no-discounting.json index b4ab3aa93e..25030956cc 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra-no-discounting.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra-no-discounting.json @@ -1,393 +1,405 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f2891f38" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "814acd2" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "107" + "globalKey" : "3e4051" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, "meta" : { - "globalKey" : "3b2ea558" + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "meta" : { + "globalKey" : "3b2ea558" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e4051" } }, "meta" : { "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "resetDates" : { - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ce01227d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "0", - "externalReference" : "resetDate" - } - }, + "meta" : { + "globalKey" : "211caa4f" + } + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "resetDates" : { + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ce01227d" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ce01227d" + "globalKey" : "21479e" } }, - "meta" : { - "globalKey" : "54401e5e" + "dateRelativeTo" : { + "globalReference" : "0", + "externalReference" : "resetDate" } - } ], + }, "meta" : { - "globalKey" : "1d12ce06" + "globalKey" : "ce01227d" } + }, + "meta" : { + "globalKey" : "54401e5e" } - }, + } ], "meta" : { "globalKey" : "1d12ce06" } - }, - "meta" : { - "globalKey" : "1d12ce06" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CHF" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1d12ce06" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "CHF" - } + "perUnitOf" : { + "currency" : { + "value" : "CHF" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" + } } - } ], + }, "meta" : { - "globalKey" : "d8cd86d5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "CHF" - } + } ], + "meta" : { + "globalKey" : "d8cd86d5" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9965fc03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e068a768" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f2891f38" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "814acd2" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } }, "party" : [ { "partyId" : [ { @@ -425,10 +437,10 @@ } } ], "meta" : { - "globalKey" : "e57970d3" + "globalKey" : "3a551aba" } }, "meta" : { - "globalKey" : "e57970d3" + "globalKey" : "3a551aba" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra.json index dff8039c1b..d827251f6d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex08-fra.json @@ -1,399 +1,411 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f2891f38" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "814acd2" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "107" + "globalKey" : "3e4051" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "2a1bc04d" + "globalKey" : "211caa4f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "0" + "globalKey" : 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"tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CHF" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3f9d4d26" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "CHF" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "CHF" - } + "perUnitOf" : { + "currency" : { + "value" : "CHF" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" + } } - } ], + }, "meta" : { - "globalKey" : "d8cd86d5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "CHF" - } + } ], + "meta" : { + "globalKey" : "d8cd86d5" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "CHF" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CHF-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CHF-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CHF-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9965fc03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e068a768" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f2891f38" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "814acd2" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } }, "party" : [ { "partyId" : [ { @@ -431,10 +443,10 @@ } } ], "meta" : { - "globalKey" : "43f850b3" + "globalKey" : "1870e9da" } }, "meta" : { - "globalKey" : "43f850b3" + "globalKey" : "1870e9da" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-physical-exercise.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-physical-exercise.json index e2987b9e0f..7b8f7f4a39 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-physical-exercise.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-physical-exercise.json @@ -1,590 +1,601 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : 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"globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "19ec4c9a" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -622,7 +633,7 @@ } } ], "meta" : { - "globalKey" : "80dbefbd" + "globalKey" : "2eb0a5f8" } }, "transferHistory" : [ { @@ -681,6 +692,6 @@ } } ], "meta" : { - "globalKey" : "bcb0ac6d" + "globalKey" : "25c6e952" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-versioned.json index 381c28a907..cab8cdedd4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex09-euro-swaption-explicit-versioned.json @@ 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"productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + 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"CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "beb3c19e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 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{ + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e3b454", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "46e3b454", - "externalReference" : "party2" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "19ec4c9a" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -611,7 +622,7 @@ } } ], "meta" : { - "globalKey" : "eda95ed8" + "globalKey" : "aed062c9" } }, "transferHistory" : [ { @@ -670,6 +681,6 @@ } } ], "meta" : { - "globalKey" : "c001a472" + "globalKey" : "a658b1e1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex10-euro-swaption-relative-usi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex10-euro-swaption-relative-usi.json index 0390a32ddb..faa813cd93 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex10-euro-swaption-relative-usi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex10-euro-swaption-relative-usi.json @@ -1,608 +1,619 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - 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"meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -638,7 +649,7 @@ } } ], "meta" : { - "globalKey" : "f8482f7e" + "globalKey" : "935c55b3" } }, "transferHistory" : [ { @@ -697,6 +708,6 @@ } } ], "meta" : { - "globalKey" : "2b9c0c" + "globalKey" : "faf63cb7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json index a5d9e78289..c774164002 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json @@ -1,599 +1,610 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - 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@@ } } ], "meta" : { - "globalKey" : "90ae1c34" + "globalKey" : "79394ffb" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.json index 6f59a1a851..74237e66c9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash-other-party.json @@ -1,661 +1,672 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - 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+ "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "ExerciseNoticeReceiverPartyManual", + "partyReference" : [ { + "globalReference" : "46e3b473", + "externalReference" : "party3" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "46e3b454", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e3b435", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG78TR45E", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "a68fd2c2" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -710,7 +721,7 @@ } } ], "meta" : { - "globalKey" : "76bfcc7b" + "globalKey" : "7ff18398" } }, "transferHistory" : [ { @@ -769,6 +780,6 @@ } } ], "meta" : { - "globalKey" : "8e66c8ef" + "globalKey" : "28887b2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash.json index 839cb041b2..5b63e48085 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex12-euro-swaption-straddle-cash.json @@ -1,654 +1,665 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e3b435", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : 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"scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -1027,7 +1038,7 @@ } } ], "meta" : { - "globalKey" : "3551b6f8" + "globalKey" : "48a844e9" } }, "transferHistory" : [ { @@ -1086,6 +1097,6 @@ } } ], "meta" : { - "globalKey" : "e4033852" + "globalKey" : "40c47bc1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex14-berm-swaption.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex14-berm-swaption.json index ac2902aac8..aba6dacf4a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex14-berm-swaption.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex14-berm-swaption.json @@ -1,621 +1,632 @@ { "trade" : { - 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"partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -651,7 +662,7 @@ } } ], "meta" : { - "globalKey" : "5aca963d" + "globalKey" : "655a158e" } }, "transferHistory" : [ { @@ -710,6 +721,6 @@ } } ], "meta" : { - "globalKey" : "114df5ed" + "globalKey" : "ca2a6bfc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex15-amer-swaption.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex15-amer-swaption.json index 93974fb706..af5df28661 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex15-amer-swaption.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex15-amer-swaption.json @@ -1,656 +1,667 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - 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{ + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "6ce8443f" }, - "latestExerciseTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { "value" : "EUTA" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4158421" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true - }, - "meta" : { - "globalKey" : "912dc5a1" + "dateRelativeTo" : { + "globalReference" : "5037d072", + "externalReference" : "americanExercise0" } }, "meta" : { - "globalKey" : "ecb780d7" + "globalKey" : "6ce8443f" } - } ], + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "latestExerciseTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "ecb780d7" + "globalKey" : "912dc5a1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "80cd151b" } - }, + } ], "meta" : { - "globalKey" : "e9269001" + "globalKey" : "80cd151b" } }, - "meta" : { - "globalKey" : "e9269001" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ce282345" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -686,7 +697,7 @@ } } ], "meta" : { - "globalKey" : "41862e0a" + "globalKey" : "8118f361" } }, "transferHistory" : [ { @@ -745,6 +756,6 @@ } } ], "meta" : { - "globalKey" : "f06ee600" + "globalKey" : "37528249" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex16-mand-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex16-mand-term-swap.json index ad71bfc03b..55d1152c8a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex16-mand-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex16-mand-term-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,126 +78,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -306,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -314,79 +213,182 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "9ead9b90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d6b3d162", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } - }, - "meta" : { - "globalKey" : "19472b0a" - } + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "e30c2739" } }, "meta" : { - "globalKey" : "c5cfdca9" + "globalKey" : "19472b0a" } - } ], + }, "meta" : { - "globalKey" : "6b0bb378" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "mandatoryEarlyTermination" : { - "mandatoryEarlyTerminationDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "c5cfdca9" + } + } ], + "meta" : { + "globalKey" : "6b0bb378" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "mandatoryEarlyTermination" : { + "mandatoryEarlyTerminationDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "da4e2f6e" + } + }, + "meta" : { + "globalKey" : "46e3a790" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentMandatoryEarlyTermination" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "b8738ba0" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "CashPriceMethod", + "valuationMethod" : { + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1bfa1e89" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -397,191 +399,201 @@ "globalKey" : "428533f" } }, - "meta" : { - "globalKey" : "da4e2f6e" + "dateRelativeTo" : { + "externalReference" : "mandatoryEarlyTerminationDate0" } - }, - "meta" : { - "globalKey" : "46e3a790" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentMandatoryEarlyTermination" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "b8738ba0" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "CashPriceMethod", - "valuationMethod" : { - "quotationMethod" : "Mid" - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1bfa1e89" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "dateRelativeTo" : { - "externalReference" : "mandatoryEarlyTerminationDate0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "meta" : { - "globalKey" : "de3bbc95", - "externalKey" : "cashSettlement0" - } - } ] + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } }, "meta" : { - "globalKey" : "47ffddde" + "globalKey" : "de3bbc95", + "externalKey" : "cashSettlement0" } - }, - "meta" : { - "globalKey" : "47ffddde" - } + } ] + }, + "meta" : { + "globalKey" : "47ffddde" } + }, + "meta" : { + "globalKey" : "47ffddde" } - }, - "meta" : { - "globalKey" : "9c09b366" } - }, - "meta" : { - "globalKey" : "9c09b366" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "9c09b366" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentMandatoryEarlyTermination", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentMandatoryEarlyTermination", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -617,10 +629,10 @@ } } ], "meta" : { - "globalKey" : "1f50bd4c" + "globalKey" : "7965c9c9" } }, "meta" : { - "globalKey" : "1f50bd4c" + "globalKey" : "7965c9c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex17-opt-euro-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex17-opt-euro-term-swap.json index 2a6249c0f2..30d0062eb3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex17-opt-euro-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex17-opt-euro-term-swap.json @@ -1,169 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae921d6" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "622268e1" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "622268e1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -179,457 +213,435 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e2" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : 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+ "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" }, - "meta" : { - "globalKey" : "ff947ba6" - } + "identifierType" : "Other" } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } - }, - "meta" : { - "globalKey" : "52492d18" } } }, "meta" : { - "globalKey" : "43cda0e9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } } }, "meta" : { - "globalKey" : "be75a71" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "be75a71" + "globalKey" : "4cfe9a85" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "d62a0181" + "scheme" : "http://www.partyA.com/trade-id" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "4820adb2" + "scheme" : "http://www.partyB.com/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - } ] + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -665,10 +677,10 @@ } } ], "meta" : { - "globalKey" : "9373b8a4" + "globalKey" : "767f7f97" } }, "meta" : { - "globalKey" : "9373b8a4" + "globalKey" : "767f7f97" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex18-opt-berm-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex18-opt-berm-term-swap.json index 884b3ac907..8e896bc53c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex18-opt-berm-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex18-opt-berm-term-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,200 +78,200 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2002-08-20", - "calculationPeriod" : [ { - "adjustedStartDate" : "2001-08-30", - "adjustedEndDate" : "2002-08-30", - "meta" : { - "globalKey" : "a1ae6f32" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "5ddc099e" - } - }, { - "adjustedPaymentDate" : "2003-08-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2002-08-28", - "adjustedEndDate" : "2003-08-29", - "meta" : { - "globalKey" : "a56e82b3" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "17bcb2b6" - } - }, { - "adjustedPaymentDate" : "2004-08-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2003-08-29", - "adjustedEndDate" : "2005-08-30", - "meta" : { - "globalKey" : "a94e02d3" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "c4160375" - } - }, { - "adjustedPaymentDate" : "2005-08-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2004-08-30", - "adjustedEndDate" : "2005-08-30", - "meta" : { - "globalKey" : "acf16f32" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - 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"dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "ff947ba6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "dateRelativeTo" : { - "globalReference" : "d0222bae", - "externalReference" : "cashSettlementPayment0" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "ff947ba6" + "globalKey" : "da4e2f6e" } }, - "relevantUnderlyingDate" : { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", + "meta" : { + "globalKey" : "d0222bae" + } + }, + "meta" : { + "globalKey" : "d0222bae", + "externalKey" : "cashSettlementPayment0" + } + }, + "meta" : { + "globalKey" : "5f211704" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "CashPriceMethod", + 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"globalKey" : "7ea83466" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "7ea83466" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -999,10 +1011,10 @@ } } ], "meta" : { - "globalKey" : "62c4658f" + "globalKey" : "912c034c" } }, "meta" : { - "globalKey" : "62c4658f" + "globalKey" : "912c034c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex19-opt-amer-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex19-opt-amer-term-swap.json index 073b80d660..4e454367c3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex19-opt-amer-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex19-opt-amer-term-swap.json @@ -1,169 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae921d6" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "622268e1" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" + "meta" : { + "globalKey" : "e0867390" + } + }, + "meta" : { + "globalKey" : "e0867390" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "1f3fd090", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "622268e1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f3fd090", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "2a683311" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" 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}, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "dbca04a9" + } + } ], + "meta" : { + "globalKey" : "bc98b378" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "exerciseNotice" : [ { + "businessCenter" : { + "value" : "GBLO" + } + } ], + "followUpConfirmation" : true, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentOptionalEarlyTermination" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "businessDateRange" : { + "startDate" : "2001-08-30", + "endDate" : "2006-08-30", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "428533f" } - }, - "meta" : { - "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "e8cfcb2e", + "externalKey" : "cashSettlementPayment0" + } + }, + "meta" : { + "globalKey" : "c18cd318" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "CashPriceMethod", + "valuationMethod" : { + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a701065" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "e0867390" + "dateRelativeTo" : { + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } - }, - "meta" : { - "globalKey" : "e0867390" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, - "meta" : { - "globalKey" : "985d6cb3" + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1f4df962", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "f6c064fb" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + } ] + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "relativeDate" : { + "periodMultiplier" : -5, + "period" : "D", "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "globalKey" : "5da2c362" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "365baaee" + "dateRelativeTo" : { + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "5da2c362" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1f4df962", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : -5, "period" : "D", "meta" : { - "globalKey" : "a5cb919" + "globalKey" : "5da2c362" }, "dayType" : "Business", "businessDayConvention" : "NONE", @@ -336,345 +461,232 @@ "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" + "globalKey" : "20a71d" } }, "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "5da2c362" + } + } ], + "relevantUnderlyingDate" : { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } + "globalKey" : "5119563a" }, - "meta" : { - "globalKey" : "19472b0a" + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "5119563a" + } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "latestExerciseTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" } }, "meta" : { - "globalKey" : "dbca04a9" + "globalKey" : "c9102f0" } - } ], - "meta" : { - "globalKey" : "bc98b378" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } - } ], - "followUpConfirmation" : true, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentOptionalEarlyTermination" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "businessDateRange" : { - "startDate" : "2001-08-30", - "endDate" : "2006-08-30", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - } - }, - "meta" : { - "globalKey" : "e8cfcb2e", - "externalKey" : "cashSettlementPayment0" - } - }, - "meta" : { - "globalKey" : "c18cd318" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "CashPriceMethod", - "valuationMethod" : { - "quotationMethod" : "Mid" - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a701065" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "meta" : { - "globalKey" : "f6c064fb" - } - } ] - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "relativeDate" : { - "periodMultiplier" : -5, - "period" : "D", - "meta" : { - "globalKey" : "5da2c362" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } - }, - 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"currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" }, - "meta" : { - "globalKey" : "5da2c362" - } + "identifierType" : "Other" } ], - "relevantUnderlyingDate" : { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "5119563a" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } - }, - "meta" : { - "globalKey" : "5119563a" - } + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "latestExerciseTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } - }, - "meta" : { - "globalKey" : "c9102f0" } } }, "meta" : { - "globalKey" : "1cd5f3c2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } } }, "meta" : { - "globalKey" : "d46a5b4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "d46a5b4a" + "globalKey" : "4cfe9a85" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentOptionalEarlyTermination", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "d62a0181" + "scheme" : "http://www.partyA.com/trade-id" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "4820adb2" + "scheme" : "http://www.partyB.com/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentOptionalEarlyTermination", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -710,10 +722,10 @@ } } ], "meta" : { - "globalKey" : "e4d692b0" + "globalKey" : "136861b5" } }, "meta" : { - "globalKey" : "e4d692b0" + "globalKey" : "136861b5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex20-euro-cancel-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex20-euro-cancel-swap.json index 5d05c88be6..138414c84e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex20-euro-cancel-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex20-euro-cancel-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1f3fd090", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,126 +78,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "e0867390" } }, "meta" : { - "globalKey" : "2a683311" + "globalKey" : "e0867390" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f3fd090", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "2a683311" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1f4df962", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -306,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -314,263 +213,376 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "e0867390" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1f4df962", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "e0867390" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f4df962", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1f4df962", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "dbca04a9" + } + } ], + "meta" : { + "globalKey" : "bc98b378" + } + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "5fb4de7f" } }, "meta" : { - "globalKey" : "dbca04a9" + "globalKey" : "5fb4de7f" } } ], - "meta" : { - "globalKey" : "bc98b378" - } - }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "Party2", - "seller" : "Party1", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - } - }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "5fb4de7f" - } - }, - "meta" : { - "globalKey" : "5fb4de7f" - } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2006-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2006-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "896fb3ae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "896fb3ae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "6afb341d" + "globalKey" : "896fb3ae" } + }, + "meta" : { + "globalKey" : "896fb3ae" + } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } + }, + "meta" : { + "globalKey" : "6afb341d" } } - }, - "meta" : { - "globalKey" : "43edbc25" } - }, - "meta" : { - "globalKey" : "43edbc25" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "43edbc25" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -606,10 +618,10 @@ } } ], "meta" : { - "globalKey" : "e4810fd2" + "globalKey" : "3aeb04b" } }, "meta" : { - "globalKey" : "e4810fd2" + "globalKey" : "3aeb04b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex21-euro-extend-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex21-euro-extend-swap.json index aa5d9191cd..61b333c2bd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex21-euro-extend-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex21-euro-extend-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,126 +78,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -306,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -314,263 +213,376 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "9ead9b90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d6b3d162", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "c5cfdca9" + } + } ], + "meta" : { + "globalKey" : "6b0bb378" + } + }, + "terminationProvision" : { + "extendibleProvision" : { + "buyer" : "Party1", + "seller" : "Party2", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "5fb4de7f" } }, "meta" : { - "globalKey" : "c5cfdca9" + "globalKey" : "5fb4de7f" } } ], - "meta" : { - "globalKey" : "6b0bb378" - } - }, - "terminationProvision" : { - "extendibleProvision" : { - "buyer" : "Party1", - "seller" : "Party2", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - } - }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "5fb4de7f" - } - }, - "meta" : { - "globalKey" : "5fb4de7f" - } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2011-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2011-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "cb488bae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "cb488bae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "127c0c1d" + "globalKey" : "cb488bae" } + }, + "meta" : { + "globalKey" : "cb488bae" + } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } + }, + "meta" : { + "globalKey" : "127c0c1d" } } - }, - "meta" : { - "globalKey" : "dd198c07" } - }, - "meta" : { - "globalKey" : "dd198c07" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "dd198c07" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -606,10 +618,10 @@ } } ], "meta" : { - "globalKey" : "77de6930" + "globalKey" : "ff6d7dad" } }, "meta" : { - "globalKey" : "77de6930" + "globalKey" : "ff6d7dad" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap-with-spread.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap-with-spread.json index 2c1facde8b..2a582b4636 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap-with-spread.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap-with-spread.json @@ -1,172 +1,84 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "a68fd2c2" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" + "capRateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "buyer" : "Receiver", + "seller" : "Payer" + }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -176,7 +88,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -184,184 +96,284 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "4045d24d" + "globalKey" : "985d6cb2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "4045d24d" + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" } - } - }, - "meta" : { - "globalKey" : "4045d24d" - } - }, - "meta" : { - "globalKey" : "4045d24d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.12, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, + "meta" : { + "globalKey" : "97b1a6d0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "62832fbd" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - }, { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Min" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, + "meta" : { + "globalKey" : "6bdb6452" + } + }, + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "4045d24d" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "4045d24d" + } + } + }, + "meta" : { + "globalKey" : "4045d24d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.12, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + }, { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Min" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "287b60bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "16dbb2bb" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG78TR45E", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "a68fd2c2" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -397,10 +409,10 @@ } } ], "meta" : { - "globalKey" : "9cf1d14a" + "globalKey" : "31295b33" } }, "meta" : { - "globalKey" : "9cf1d14a" + "globalKey" : "31295b33" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap.json index b195c8da22..eed876935f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex22-cap.json @@ -1,164 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "a68fd2c2" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "capRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -168,7 +80,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -176,187 +88,287 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "985d6cb2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" } - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.06, - 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"identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bd346278" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "71a2e47f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG78TR45E", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "a68fd2c2" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -392,10 +404,10 @@ } } ], "meta" : { - "globalKey" : "19f42a8" + "globalKey" : "1af24e4d" } }, "meta" : { - "globalKey" : "19f42a8" + "globalKey" : "1af24e4d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor-with-spread.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor-with-spread.json index 7cb4c47c80..fc70898776 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor-with-spread.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor-with-spread.json @@ -1,172 +1,84 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "a68fd2c2" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" + "floorRateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "buyer" : "Receiver", + "seller" : "Payer" + }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -176,7 +88,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -184,184 +96,284 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" 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+ "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Max" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "652881ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "ffcc9fcb" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG78TR45E", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "a68fd2c2" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -397,10 +409,10 @@ } } ], "meta" : { - "globalKey" : "ba9f123a" + "globalKey" : "6b96bc23" } }, "meta" : { - "globalKey" : "ba9f123a" + "globalKey" : "6b96bc23" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor.json index f90803fbf7..0d7db61a67 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex23-floor.json @@ -1,164 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "a68fd2c2" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "floorRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -168,7 +80,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -176,187 +88,287 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "985d6cb2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" } - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0425, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, "meta" : { - "globalKey" : "5c1b1467" + "globalKey" : "97b1a6d0" } - }, { - "date" : "2003-06-30", - "value" : 0.045, + }, + "meta" : { + "globalKey" : "62832fbd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "a4ea615" + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } - }, { - "date" : "2004-06-30", - "value" : 0.0475, + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0502" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.05, + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, "meta" : { - "globalKey" : "7ad0ea5" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "6bdb6452" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Max" + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "389c212b" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "389c212b" + } + } + }, + "meta" : { + "globalKey" : "389c212b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0425, + "meta" : { + "globalKey" : "5c1b1467" + } + }, { + "date" : "2003-06-30", + "value" : 0.045, + "meta" : { + "globalKey" : "a4ea615" + } + }, { + "date" : "2004-06-30", + "value" : 0.0475, + "meta" : { + "globalKey" : "5c1d0502" + } + }, { + "date" : "2005-06-30", + "value" : 0.05, + "meta" : { + "globalKey" : "7ad0ea5" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Max" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2875fd24" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6ee68b53" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG78TR45E", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "a68fd2c2" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -392,10 +404,10 @@ } } ], "meta" : { - "globalKey" : "2c8e0554" + "globalKey" : "963e38f9" } }, "meta" : { - "globalKey" : "2c8e0554" + "globalKey" : "963e38f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex24-collar.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex24-collar.json index bfc6f2af57..480e857ede 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex24-collar.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex24-collar.json @@ -1,174 +1,86 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG78TR45E", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "a68fd2c2" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "capRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-2" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - }, - "buyer" : "Payer", - "seller" : "Receiver" - }, - "meta" : { - "globalKey" : "685c4c74" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" + "floorRateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "buyer" : "Payer", + "seller" : "Receiver" + }, + "meta" : { + "globalKey" : "685c4c74" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -178,7 +90,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -186,234 +98,334 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "75bcab7f" - } - } ], - "meta" : { - "globalKey" : "75bcab7f" - } - } - }, - "meta" : { - "globalKey" : "75bcab7f" - } - }, - "meta" : { - "globalKey" : "75bcab7f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" + "globalKey" : "985d6cb2" } }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0625, - "meta" : { - "globalKey" : "5c1b1be9" - } - }, { - "date" : "2003-06-30", - "value" : 0.065, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "a4ea653" - } - }, { - "date" : "2004-06-30", - "value" : 0.0675, + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0c84" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.07, + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, "meta" : { - "globalKey" : "7ad0ea7" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "97b1a6d0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Min" + "meta" : { + "globalKey" : "62832fbd" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - }, { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "EUR" - } + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0425, - "meta" : { - "globalKey" : "5c1b1467" - } - }, { - "date" : "2003-06-30", - "value" : 0.045, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "a4ea615" + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } - }, { - "date" : "2004-06-30", - "value" : 0.0475, + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0502" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.05, + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, "meta" : { - "globalKey" : "7ad0ea5" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "6bdb6452" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Max" + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "75bcab7f" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "75bcab7f" + } + } + }, + "meta" : { + "globalKey" : "75bcab7f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0625, + "meta" : { + "globalKey" : "5c1b1be9" + } + }, { + "date" : "2003-06-30", + "value" : 0.065, + "meta" : { + "globalKey" : "a4ea653" + } + }, { + "date" : "2004-06-30", + "value" : 0.0675, + "meta" : { + "globalKey" : "5c1d0c84" + } + }, { + "date" : "2005-06-30", + "value" : 0.07, + "meta" : { + "globalKey" : "7ad0ea7" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Min" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + }, { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0425, + "meta" : { + "globalKey" : "5c1b1467" + } + }, { + "date" : "2003-06-30", + "value" : 0.045, + "meta" : { + "globalKey" : "a4ea615" + } + }, { + "date" : "2004-06-30", + "value" : 0.0475, + "meta" : { + "globalKey" : "5c1d0502" + } + }, { + "date" : "2005-06-30", + "value" : 0.05, + "meta" : { + "globalKey" : "7ad0ea5" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Max" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "afac499e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "dd05a819" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG78TR45E", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "a68fd2c2" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -449,10 +461,10 @@ } } ], "meta" : { - "globalKey" : "d38614bc" + "globalKey" : "172825a9" } }, "meta" : { - "globalKey" : "d38614bc" + "globalKey" : "172825a9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex25-fxnotional-swap-usi-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex25-fxnotional-swap-usi-uti.json index 08f07f3fcf..ea28abbe8c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex25-fxnotional-swap-usi-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex25-fxnotional-swap-usi-uti.json @@ -1,190 +1,77 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "1ecdb5a5" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/usi" - } - } - } ], - "meta" : { - "globalKey" : "df285a49" - }, - "identifierType" : "UniqueSwapIdentifier" - } ], - "tradeDate" : { - "value" : "2001-01-09", - "meta" : { - "globalKey" : "3e8849" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleJPY" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleJPY" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58681de7" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a98" - }, - "rollConvention" : "11" - }, "meta" : { - "globalKey" : "a55eed20", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eb7870c3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -203,250 +90,193 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "46e069fc" } }, "meta" : { - "globalKey" : "fc18f888" + "globalKey" : "46e069fc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "notionalScheduleJPY" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ef9abbd6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "4f79278" - } - }, - "dateRelativeTo" : { - "globalReference" : "32b96003", - "externalReference" : "floatingResetDates" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "BankOfJapan" - } - } - }, - "fixingTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "63745db9" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "9de62f77", - "externalReference" : "floatingPaymentDates" - } - } - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "905d4f7c" + "globalKey" : "81e56a96" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a98" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "a55eed20", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "meta" : { + "globalKey" : "fc18f888" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "notionalScheduleJPY" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { + "value" : "USD" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "globalKey" : "ef9abbd6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" - }, { "value" : "USNY" }, { "value" : "JPTO" } ], "meta" : { - "globalKey" : "81e56a96" + "globalKey" : "4f79278" } }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f55" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "a55ee1dd", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "dateRelativeTo" : { + "globalReference" : "32b96003", + "externalReference" : "floatingResetDates" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "BankOfJapan" } - }, - "meta" : { - "globalKey" : "58681de7" } }, - "meta" : { - "globalKey" : "9de62f77", - "externalKey" : "floatingPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a55ee1dd", - "externalReference" : "floatingCalcPeriodDates" + "fixingTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "JPTO" + } }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fd8ae7fc" + "globalKey" : "63745db9" }, - "dayType" : "Business", "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, "dateRelativeTo" : { - "globalReference" : "32b96003", - "externalReference" : "floatingResetDates" + "globalReference" : "9de62f77", + "externalReference" : "floatingPaymentDates" } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } + } + }, + "meta" : { + "globalKey" : "905d4f7c" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -465,126 +295,308 @@ } }, "meta" : { - "globalKey" : "32b96003", - "externalKey" : "floatingResetDates" + "globalKey" : "46e069fc" + } + }, + "meta" : { + "globalKey" : "46e069fc" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "79f3608b" + "globalKey" : "58681de7" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f55" + }, + "rollConvention" : "11" + }, "meta" : { - "globalKey" : "63e9ab03" + "globalKey" : "a55ee1dd", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "63e9ab03" - } - }, - "meta" : { - "globalKey" : "63e9ab03" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "9de62f77", + "externalKey" : "floatingPaymentDates" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a55ee1dd", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fd8ae7fc" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "32b96003", + "externalReference" : "floatingResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "32b96003", + "externalKey" : "floatingResetDates" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "79f3608b" } } ], "meta" : { - "globalKey" : "66617482" + "globalKey" : "63e9ab03" } - }, { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "63e9ab03" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "66617482" + } + }, { + "quantity" : [ { + "value" : { + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bf5968ad" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] + }, + "meta" : { + "globalKey" : "e73016f9" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + "meta" : { + "globalKey" : "1ecdb5a5" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/usi" + } } - } ] + } ], + "meta" : { + "globalKey" : "df285a49" + }, + "identifierType" : "UniqueSwapIdentifier" + } ], + "tradeDate" : { + "value" : "2001-01-09", + "meta" : { + "globalKey" : "3e8849" + } }, "party" : [ { "partyId" : [ { @@ -628,10 +640,10 @@ } } ], "meta" : { - "globalKey" : "5ff6e0a" + "globalKey" : "7299e74" } }, "meta" : { - "globalKey" : "5ff6e0a" + "globalKey" : "7299e74" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex26-fxnotional-swap-with-cfs.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex26-fxnotional-swap-with-cfs.json index f25961638e..ad848ac665 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex26-fxnotional-swap-with-cfs.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex26-fxnotional-swap-with-cfs.json @@ -1,184 +1,426 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http:/www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http:/www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-01-09", - "meta" : { - "globalKey" : "3e8849" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleJPY" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleJPY" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, "meta" : { - "globalKey" : "12a6ef" + "globalKey" : "eb7870c3" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "58681de7" } + }, + "meta" : { + "globalKey" : "46e069fc" + } + }, + "meta" : { + "globalKey" : "46e069fc" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "58681de7" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a98" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : 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"33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http:/www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http:/www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-01-09", + "meta" : { + "globalKey" : "3e8849" + } }, "party" : [ { "partyId" : [ { @@ -1242,10 +1254,10 @@ } } ], "meta" : { - "globalKey" : "42308c93" + "globalKey" : "eea32153" } }, "meta" : { - "globalKey" : "42308c93" + "globalKey" : "eea32153" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex27-inverse-floater.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex27-inverse-floater.json index 2243f8984d..831b45e60b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex27-inverse-floater.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex27-inverse-floater.json @@ -1,183 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-3" - } - } - }, - "meta" : { - "globalKey" : "0" - }, - "floatingRateMultiplierSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" + "floatingRateMultiplierSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-3" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "18f93652", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -185,7 +84,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -193,183 +92,183 @@ } }, "meta" : { - "globalKey" : "848424a" + "globalKey" : "9eb4d95c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "18f93652", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "fdec5914", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "21479e", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "9eb4d95c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "fdec5914", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "e0cd491" + "globalKey" : "985d6cb2" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "18f93652", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "848424a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "18f93652", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5a" }, - "dayCountFraction" : { - "value" : "30/360" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e", + "externalKey" : "resetBusinessCenters0" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } + "dateRelativeTo" : { + "globalReference" : "fdec5914", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "21479e", + "externalReference" : "resetBusinessCenters0" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" + "meta" : { + "globalKey" : "35a06081" + } + }, + "meta" : { + "globalKey" : "6bdb6452" + } + }, + "meta" : { + "globalKey" : "fdec5914", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "e0cd491" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : 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"assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "391d5f4d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "d1bd5062" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.045, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "391d5f4d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -585,10 +597,10 @@ } } ], "meta" : { - "globalKey" : "70b10dd0" + "globalKey" : "430df256" } }, "meta" : { - "globalKey" : "70b10dd0" + "globalKey" : "430df256" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.json index 79887c93f4..9b248ea815 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex28-bullet-payments.json @@ -1,5 +1,35 @@ { "trade" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 15000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "ContractualProduct" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b5d73775" + } + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -39,85 +69,6 @@ "globalKey" : "3e891d" } }, - "tradableProduct" : { - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 15000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "ContractualProduct" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2001-07-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "businessCenters0" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - } - }, - "meta" : { - "globalKey" : "d45f9e61" - } - }, - "meta" : { - "globalKey" : "d45f9e61" - } - }, - "meta" : { - "globalKey" : "2827cb75" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -152,10 +103,10 @@ } } ], "meta" : { - "globalKey" : "6a9d5499" + "globalKey" : "ec1d7755" } }, "meta" : { - "globalKey" : "6a9d5499" + "globalKey" : "ec1d7755" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex29-non-deliverable-settlement-swap-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex29-non-deliverable-settlement-swap-uti.json index 6a517298ab..e5acf437d4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex29-non-deliverable-settlement-swap-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex29-non-deliverable-settlement-swap-uti.json @@ -1,217 +1,139 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-0-LTAA0200000096.1" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2007-12-16", - "meta" : { - "globalKey" : "3ebb10" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "96e17152" - } - }, - "meta" : { - "globalKey" : "78e9b601" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-0-LTAA0200000096.1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2007-12-16", + "meta" : { + "globalKey" : "3ebb10" } }, - "meta" : { - "globalKey" : "42bd12fc", - "externalKey" : "PrincipalExchanges" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "165184af" + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "38817ab6" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "6350dc53", - "externalReference" : "PaymentDatesID" - } ] - } + "principalAmount" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "7ddcea49" + "globalKey" : "96e17152" } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "meta" : { + "globalKey" : "78e9b601" + } + } + }, + "meta" : { + "globalKey" : "42bd12fc", + "externalKey" : "PrincipalExchanges" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "b4ea3fa2" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "54261e56" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, + "globalKey" : "38817ab6" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "705b0656" + "globalKey" : "4f5ffd5" } }, - "meta" : { - "globalKey" : "705b0656" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "6350dc53", + "externalReference" : "PaymentDatesID" + } ] } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "7ddcea49" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -227,29 +149,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10184" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -266,120 +177,131 @@ } }, "meta" : { - "globalKey" : "6350dc53", - "externalKey" : "PaymentDatesID" + "globalKey" : "705b0656" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } }, "meta" : { - "globalKey" : "fbae26ab" + "globalKey" : "987f5366" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10184" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-1-LTAA0200000096.1" + "globalKey" : "4f5ffd5" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "9172e48e" - }, - "rateTreatment" : "MoneyMarketYield", - "initialRate" : { - "value" : 0.01650000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } + "meta" : { + "globalKey" : "987f5366" + } + }, + "meta" : { + "globalKey" : "6350dc53", + "externalKey" : "PaymentDatesID" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "375e4f82" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-1-LTAA0200000096.1" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "9172e48e" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, - "meta" : { - "globalKey" : "54261e56" + "rateTreatment" : "MoneyMarketYield", + "initialRate" : { + "value" : 0.01650000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "705b0656" - } - }, - "meta" : { - "globalKey" : "705b0656" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -395,29 +317,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10AC8" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -434,179 +345,281 @@ } }, "meta" : { - "globalKey" : "6350dc53" + "globalKey" : "705b0656" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "acf4d657", - "externalReference" : "E2000098N10AC8" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "fdf45784" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "dddb3327", - "externalReference" : "E2000098N10DDE" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "dddb3327", - "externalKey" : "E2000098N10DDE" + "globalKey" : "4f5ffd5" } }, "meta" : { - "globalKey" : "2bd58900" + "globalKey" : "987f5366" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "7b1d42b" + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10AC8" } - } - }, - "meta" : { - "globalKey" : "7b1d42b" - } - }, - "meta" : { - "globalKey" : "7b1d42b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0273000, - "unit" : { - "currency" : { - "value" : "KRW" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : 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"businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "dddb3327", + "externalReference" : "E2000098N10DDE" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "dddb3327", + "externalKey" : "E2000098N10DDE" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2bd58900" } } ], "meta" : { - "globalKey" : "9612dabd" + "globalKey" : "740df382" } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } 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: { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "32f46b8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c83dfcbc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -650,10 +663,10 @@ } } ], "meta" : { - "globalKey" : "df4a49ec" + "globalKey" : "e91191eb" } }, "meta" : { - "globalKey" : "df4a49ec" + "globalKey" : "e91191eb" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex30-swap-comp-avg-relative-date-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex30-swap-comp-avg-relative-date-uti.json index bc6ea39c24..2d84c51574 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex30-swap-comp-avg-relative-date-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex30-swap-comp-avg-relative-date-uti.json @@ -1,200 +1,329 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1031234567", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "96ca312b" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2005-07-31", - "meta" : { - "globalKey" : "3ea9df", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalSchedule_0_0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12be35" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalSchedule_0_0" } }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "12be35" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "6e59002b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ea9df", - "externalReference" : "tradeDate" - }, - "relativeDateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USCH" - }, { - "value" : "USLA" - } ], - "meta" : { - "globalKey" : "4fc7170" - } - }, - "meta" : { - "globalKey" : "9885c501" - } - } - }, - "meta" : { - "globalKey" : "6e59002b", - "externalKey" : "effectiveDate_0_0" - } + "globalKey" : "6e59002b" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "Y", - "meta" : { - "globalKey" : "f2f14007" - }, - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "dateRelativeTo" : { - "globalReference" : "6e59002b", - "externalReference" : "effectiveDate_0_0" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "f2f14007", - "externalKey" : "terminationDate_0_0" + "globalKey" : "21479e" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "globalReference" : "3ea9df", + "externalReference" : "tradeDate" + }, + "relativeDateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { - "value" : "USNY" + "value" : "USCH" + }, { + "value" : "USLA" } ], "meta" : { - "globalKey" : "27e4e9" + "globalKey" : "4fc7170" } }, "meta" : { - "globalKey" : "212500d8" + "globalKey" : "9885c501" } + } + }, + "meta" : { + "globalKey" : "6e59002b", + "externalKey" : "effectiveDate_0_0" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "Y", + "meta" : { + "globalKey" : "f2f14007" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + 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"globalKey" : "fa7b47a4", + "externalKey" : "calculationPeriod_0_0_4" + }, + "calculationPeriodNumberOfDays" : 181, + "notionalAmount" : 100000000, + "fixedRate" : 0.0003 + } ], + "meta" : { + "globalKey" : "d8abe52a", + "externalKey" : "paymentCalculationPeriod_0_0_4" + } + } ] + }, + "meta" : { + "globalKey" : "a35dc925" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalSchedule_0_1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12be35" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "6d8c1fc6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "21479e" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "dateRelativeTo" : { + "globalReference" : "3ea9df", + "externalReference" : "tradeDate" + }, + "relativeDateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -209,700 +338,583 @@ "meta" : { "globalKey" : "97b8e49c" } - }, - "meta" : { - "globalKey" : "628a6d89" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false, - "paymentCalculationPeriod" : [ { - 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100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f8e4e087" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1031234567", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/nsa/cftc" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "96ca312b" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2005-07-31", + "meta" : { + "globalKey" : "3ea9df", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -946,10 +958,10 @@ } } ], "meta" : { - "globalKey" : "f9eda69b" + "globalKey" : "d597e187" } }, "meta" : { - "globalKey" : "f9eda69b" + "globalKey" : "d597e187" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex31-non-deliverable-settlement-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex31-non-deliverable-settlement-swap.json index 257509f116..c5987cf61b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex31-non-deliverable-settlement-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex31-non-deliverable-settlement-swap.json @@ -1,233 +1,142 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-0-LTAA0200000096.1" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2007-12-16", - "meta" : { - "globalKey" : "3ebb10" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "96e17152" - } - }, - "meta" : { - "globalKey" : "78e9b601" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-0-LTAA0200000096.1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2007-12-16", + "meta" : { + "globalKey" : "3ebb10" } }, - "meta" : { - "globalKey" : "42bd12fc", - "externalKey" : "PrincipalExchanges" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "meta" : { - "globalKey" : "226239bd" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "786cca04" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "6350dc53", - "externalReference" : "PaymentDatesID" - }, { - "globalReference" : "42bd12fc", - "externalReference" : "PrincipalExchanges" - } ] - } + "principalAmount" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "d4aaa0d7" + "globalKey" : "96e17152" } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "meta" : { + "globalKey" : "78e9b601" + } + } + }, + "meta" : { + "globalKey" : "42bd12fc", + "externalKey" : "PrincipalExchanges" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7db803f0" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "54261e56" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, + "globalKey" : "786cca04" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "705b0656" + "globalKey" : "4f5ffd5" } }, - "meta" : { - "globalKey" : "705b0656" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "6350dc53", + "externalReference" : "PaymentDatesID" + }, { + "globalReference" : "42bd12fc", + "externalReference" : "PrincipalExchanges" + } ] } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "d4aaa0d7" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -243,29 +152,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10184" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -282,120 +180,131 @@ } }, "meta" : { - "globalKey" : "6350dc53", - "externalKey" : "PaymentDatesID" + "globalKey" : "705b0656" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } }, "meta" : { - "globalKey" : "4d2f181d" + "globalKey" : "987f5366" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10184" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-1-LTAA0200000096.1" + "globalKey" : "4f5ffd5" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "9172e48e" - }, - "rateTreatment" : "MoneyMarketYield", - "initialRate" : { - "value" : 0.01650000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } + "meta" : { + "globalKey" : "987f5366" + } + }, + "meta" : { + "globalKey" : "6350dc53", + "externalKey" : "PaymentDatesID" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "5d786734" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-1-LTAA0200000096.1" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "9172e48e" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, - "meta" : { - "globalKey" : "54261e56" + "rateTreatment" : "MoneyMarketYield", + "initialRate" : { + "value" : 0.01650000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "705b0656" - } - }, - "meta" : { - "globalKey" : "705b0656" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,29 +320,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10AC8" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -450,179 +348,294 @@ } }, "meta" : { - "globalKey" : "6350dc53" + "globalKey" : "705b0656" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "acf4d657", - "externalReference" : "E2000098N10AC8" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "fdf45784" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "dddb3327", - "externalReference" : "E2000098N10DDE" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "dddb3327", - "externalKey" : "E2000098N10DDE" + "globalKey" : "4f5ffd5" } }, "meta" : { - "globalKey" : "2bd58900" + "globalKey" : "987f5366" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "1391089d" + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10AC8" } - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0273000, - "unit" : { - "currency" : { - "value" : "KRW" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } + }, + "meta" : { + "globalKey" : "987f5366" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6350dc53" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "KRW" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "acf4d657", + "externalReference" : "E2000098N10AC8" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fdf45784" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "dddb3327", + "externalReference" : "E2000098N10DDE" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "dddb3327", + "externalKey" : "E2000098N10DDE" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2bd58900" } } ], "meta" : { - "globalKey" : "9612dabd" + "globalKey" : "d962ae34" } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "d962ae34" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0273000, + "unit" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "KRW" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "9612dabd" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "32f46b8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c83dfcbc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -661,10 +674,10 @@ } } ], "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } }, "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex32-zero-coupon-swap-account-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex32-zero-coupon-swap-account-versioned.json index 73cf0657d8..c456470ec1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex32-zero-coupon-swap-account-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex32-zero-coupon-swap-account-versioned.json @@ -1,141 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "ac4054da", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "82ced040" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FRG56R1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "67d36ed5" - } - } ], - "tradeDate" : { - "value" : "2005-02-20", - "meta" : { - "globalKey" : "3ea894" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -149,54 +59,18 @@ "globalKey" : "365c4b6f" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "5793df5b" - } - }, - "meta" : { - "globalKey" : "5793df5b" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "c9bfadfd", - "externalKey" : "N10434" + "globalKey" : "5afd9099" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "5afd9099" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -211,141 +85,31 @@ } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "e612a099" } }, "meta" : { - "globalKey" : "d714e3bd" + "globalKey" : "e612a099" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb5b7acc" - } - }, - "meta" : { - "globalKey" : "eb5b7acc" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f75" - }, - "rollConvention" : "22" - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "1ee97097", - "externalKey" : "N10277" + "globalKey" : "21479e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -360,22 +124,94 @@ } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "5793df5b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1ee97097", - "externalReference" : "N10277" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "5793df5b" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "c9bfadfd", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "aacaea08" + } + }, + "meta" : { + "globalKey" : "d714e3bd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -384,19 +220,22 @@ "globalKey" : "21479e" } }, - "dateRelativeTo" : { - "globalReference" : "c7301fa0", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365c4b6f" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "5afd9099" + } + }, + "meta" : { + "globalKey" : "5afd9099" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,128 +250,301 @@ } }, "meta" : { - "globalKey" : "c7301fa0", - "externalKey" : "resetDates" + "globalKey" : "e612a099" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "17faea19" + "globalKey" : "e612a099" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } - } ], + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb5b7acc" + } + }, + "meta" : { + "globalKey" : "eb5b7acc" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f75" + }, + "rollConvention" : "22" + }, "meta" : { - "globalKey" : "20853f56" + "globalKey" : "1ee97097", + "externalKey" : "N10277" } - } - }, - "meta" : { - "globalKey" : "20853f56" - } - }, - "meta" : { - "globalKey" : "20853f56" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.03, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "aacaea08" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1ee97097", + "externalReference" : "N10277" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "c7301fa0", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "c7301fa0", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "17faea19" } } ], "meta" : { - "globalKey" : "311d883e" + "globalKey" : "20853f56" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "20853f56" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.03, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-ISDA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "311d883e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-ISDA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-ISDA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "28baa5d7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ac4054da", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "ed2f0740" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ac4054da", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "ac4054da", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "82ced040" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FRG56R1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "67d36ed5" + } + } ], + "tradeDate" : { + "value" : "2005-02-20", + "meta" : { + "globalKey" : "3ea894" + } }, "party" : [ { "partyId" : [ { @@ -602,10 +614,10 @@ } } ], "meta" : { - "globalKey" : "2ce9667b" + "globalKey" : "e824001e" } }, "meta" : { - "globalKey" : "2ce9667b" + "globalKey" : "e824001e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex33-BRL-CDI-swap-versioned.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex33-BRL-CDI-swap-versioned.json index ee2f613674..43f50c1528 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex33-BRL-CDI-swap-versioned.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex33-BRL-CDI-swap-versioned.json @@ -1,383 +1,132 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "c3ef6b82", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "987654321-0", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "bfc36804" - } - } ], - "tradeDate" : { - "value" : "2012-06-29", - "meta" : { - "globalKey" : "3ee19d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "futureValueNotional" : { - "quantity" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "currency" : { - "value" : "BRL" - }, - "calculationPeriodNumberOfDays" : 122, - "valueDate" : "2013-03-26" - }, - "meta" : { - "globalKey" : "4076a9c" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7fe8b009" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1483817f", - "externalKey" : "fixedLegFxFixingDates" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "efeee7e7", - "externalReference" : "fixedLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "e77415a3" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "futureValueNotional" : { + "quantity" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "dayCountFraction" : { - "value" : "CAL/252" + "currency" : { + "value" : "BRL" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-26", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "adjustedDate" : { - "value" : "2013-03-26", - "meta" : { - "globalKey" : "3ee8da" - } - }, - "meta" : { - "globalKey" : "efeee7e7" + "calculationPeriodNumberOfDays" : 122, + "valueDate" : "2013-03-26" + }, + "meta" : { + "globalKey" : "4076a9c" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "1e816afc" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "efeee7e7", - "externalKey" : "fixedLegTerminationDate" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "94beb296", - "externalKey" : "fixedLegCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "ValuationDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "ea4abbbd" + "globalKey" : "1483817f", + "externalKey" : "fixedLegFxFixingDates" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { + "value" : "BRBD" + }, { "value" : "USNY" } ], "meta" : { - "globalKey" : "27e4e9" + "globalKey" : "3f03a97" } }, - "meta" : { - "globalKey" : "212500d8" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "efeee7e7", + "externalReference" : "fixedLegTerminationDate" + } ] } - }, - "meta" : { - "globalKey" : "97d62622" } }, "meta" : { - "globalKey" : "9f71f0ea" + "globalKey" : "e77415a3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : 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"globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "866f31bf" - }, - "initialRate" : { - "value" : 0.10432, - "unit" : { - "currency" : { - "value" : "BRL" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "InterestRate" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec345b12" } }, - "dayCountFraction" : { - "value" : "CAL/252" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-26", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "meta" : { - "globalKey" : "efeee7e7" - } - }, - "meta" : { - "globalKey" : "efeee7e7", - "externalKey" : "floatingLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec345b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-26", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -391,88 +140,197 @@ "globalKey" : "211c5881" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "adjustedDate" : { + "value" : "2013-03-26", "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" + "globalKey" : "3ee8da" + } }, "meta" : { - "globalKey" : "1187dc4d", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "efeee7e7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "ValuationDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" + "meta" : { + "globalKey" : "efeee7e7", + "externalKey" : "fixedLegTerminationDate" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "94beb296", + "externalKey" : "fixedLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "ValuationDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } + }, + "meta" : { + "globalKey" : "97d62622" + } + }, + "meta" : { + "globalKey" : "f1a73dfd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "9a64b0e" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "212500d8" } - }, - "meta" : { - "globalKey" : "97d62622" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1187dc4d", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "a7117093" + "globalKey" : "ffa86191", + "externalKey" : "floatingLegFxFixingDates" }, "dayType" : "Business", "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "1f3c92" + "globalKey" : "3f03a97" } }, - "dateRelativeTo" : { - "globalReference" : "ef2f9828", - "externalReference" : "floatingLegResetDates" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "efeee7e7", + "externalReference" : "floatingLegTerminationDate" + } ] + } + } + }, + "meta" : { + "globalKey" : "d298f5b5" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "866f31bf" + }, + "initialRate" : { + "value" : 0.10432, + "unit" : { + "currency" : { + "value" : "BRL" } }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "perUnitOf" : { + "currency" : { + "value" : "BRL" + } + }, + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ec345b12" + } + }, + "meta" : { + "globalKey" : "ec345b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-26", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -487,148 +345,304 @@ } }, "meta" : { - "globalKey" : "ef2f9828", - "externalKey" : "floatingLegResetDates" + "globalKey" : "efeee7e7" + } + }, + "meta" : { + "globalKey" : "efeee7e7", + "externalKey" : "floatingLegTerminationDate" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" } }, "meta" : { - "globalKey" : "a2ccc25c" + "globalKey" : "211c5881" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "c879a8c6" + "globalKey" : "1187dc4d", + "externalKey" : "floatingLegCalcPeriodDates" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "ValuationDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } + }, + "meta" : { + "globalKey" : "97d62622" } - } - }, - "meta" : { - "globalKey" : "97691119" - } - }, - "meta" : { - "globalKey" : "97691119" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0876, - "unit" : { - "currency" : { - "value" : "BRL" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1187dc4d", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "a7117093" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "dateRelativeTo" : { + "globalReference" : "ef2f9828", + "externalReference" : "floatingLegResetDates" } }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "meta" : { + "globalKey" : "211c5881" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ef2f9828", + "externalKey" : "floatingLegResetDates" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "ff8dae27" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "BRL" - } + "meta" : { + "globalKey" : "d9776f0a" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } + } + }, + "meta" : { + "globalKey" : "cbd2155d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0876, + "unit" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 104149148.42, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "BRL" + } } - } ], + }, "meta" : { - "globalKey" : "bbfc6361" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "BRL" - } + "value" : { + "value" : 104149148.42, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "bbfc6361" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "BRL" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7c30e9d0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c3ef6b82", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "17861be2", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "defe9a0c" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "c3ef6b82", - "externalReference" : "partyA" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c3ef6b82", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "17861be2", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "c3ef6b82", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "c3ef6b82", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "987654321-0", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "bfc36804" + } + } ], + "tradeDate" : { + "value" : "2012-06-29", + "meta" : { + "globalKey" : "3ee19d" + } }, "party" : [ { "partyId" : [ { @@ -672,10 +686,10 @@ } } ], "meta" : { - "globalKey" : "5a30fb1d" + "globalKey" : "6bb7557" } }, "meta" : { - "globalKey" : "5a30fb1d" + "globalKey" : "6bb7557" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex34-MXN-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex34-MXN-swap.json index 5cfbdfde2f..3047115b5f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex34-MXN-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex34-MXN-swap.json @@ -1,165 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "70f2800e", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", - "meta" : { - "scheme" : "buyside-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "731259a8", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", - "meta" : { - "scheme" : "sellside-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2010-12-12", - "meta" : { - "globalKey" : "3ed30c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "meta" : { - "globalKey" : "365f5852" - } - }, - "meta" : { - "globalKey" : "15291604" - } - }, - "meta" : { - "globalKey" : "15291604" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365f5852" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "251890" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "85c51c58", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ebfaeec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebfaeec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -174,179 +75,179 @@ } }, "meta" : { - "globalKey" : "5129fe60" + "globalKey" : "15291604" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85c51c58", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "8faea27a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "dateRelativeTo" : { - "globalReference" : "ea9690ae", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "meta" : { - "globalKey" : "365f5852" - } - }, + "meta" : { + "globalKey" : "15291604" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], "meta" : { - "globalKey" : "ea9690ae", - "externalKey" : "resetDates" + "globalKey" : "245481" } }, "meta" : { - "globalKey" : "f75b1e07" + "globalKey" : "365f5852" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "251890" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "85c51c58", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "245481" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365f5852" + } + }, + "meta" : { + "globalKey" : "5129fe60" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "85c51c58", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "8faea27a" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" } }, - "dayCountFraction" : { - "value" : "30E/360" + "dateRelativeTo" : { + "globalReference" : "ea9690ae", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "meta" : { - "globalKey" : "365f5852" - } - }, - "meta" : { - "globalKey" : "15291604" - } - }, - "meta" : { - "globalKey" : "15291604" + "meta" : { + "globalKey" : "365f5852" + } + }, + "meta" : { + "globalKey" : "ea9690ae", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "f75b1e07" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365f5852" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "251890" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "85c51c58", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ebfaeec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebfaeec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -361,126 +262,237 @@ } }, "meta" : { - "globalKey" : "5129fe60" + "globalKey" : "15291604" + } + }, + "meta" : { + "globalKey" : "15291604" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" } }, "meta" : { - "globalKey" : "ec28ade2" + "globalKey" : "365f5852" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "251890" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "71885329" + "globalKey" : "85c51c58", + "externalKey" : "fixedCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" + } + }, + "meta" : { + "globalKey" : "365f5852" + } + }, + "meta" : { + "globalKey" : "5129fe60" + } + }, + "meta" : { + "globalKey" : "ec28ade2" } - }, + } ], "meta" : { "globalKey" : "71885329" } - }, - "meta" : { - "globalKey" : "71885329" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "71885329" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "MXN-TIIE-Banxico" - }, - "indexTenor" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "MXN-TIIE-Banxico" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "MXN-TIIE-Banxico" + }, + "indexTenor" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d3c627a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "MXN" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "475244e7" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "MXN" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "MXN" - } + "perUnitOf" : { + "currency" : { + "value" : "MXN" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "MXN" + } } - } ], + }, "meta" : { - "globalKey" : "1ca19ce9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "731259a8", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "70f2800e", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "1ca19ce9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "731259a8", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "70f2800e", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "70f2800e", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "buyside-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "731259a8", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "sellside-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2010-12-12", + "meta" : { + "globalKey" : "3ed30c" + } }, "party" : [ { "partyId" : [ { @@ -524,10 +536,10 @@ } } ], "meta" : { - "globalKey" : "ab9966a8" + "globalKey" : "218d657" } }, "meta" : { - "globalKey" : "ab9966a8" + "globalKey" : "218d657" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex35-inverse-floater-inverse-vs-floating.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex35-inverse-floater-inverse-vs-floating.json index 8dbab7bd57..c59a472e48 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex35-inverse-floater-inverse-vs-floating.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex35-inverse-floater-inverse-vs-floating.json @@ -1,183 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ebf08478" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "654321", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "f4a3eab1" - } - } ], - "tradeDate" : { - "value" : "2009-04-29", - "meta" : { - "globalKey" : "3ec91d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - }, - "floatingRateMultiplierSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "e08db15c" - } - }, - "meta" : { - "globalKey" : "e08db15c" + "floatingRateMultiplierSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d72b1e52", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ebd961d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebd961d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -185,7 +84,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -193,181 +92,181 @@ } }, "meta" : { - "globalKey" : "848424a" + "globalKey" : "e08db15c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d72b1e52", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "fdec5914", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "21479e", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "e08db15c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "fdec5914", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "4a9ebc91" + "globalKey" : "985d6cb2" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d72b1e52", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "848424a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d72b1e52", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5a" }, - "dayCountFraction" : { - "value" : "30/360" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e", + "externalKey" : "resetBusinessCenters0" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "e08db15c" - } - }, - "meta" : { - "globalKey" : "e08db15c" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, - "meta" : { - "globalKey" : "985d6cb3" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" + "dateRelativeTo" : { + "globalReference" : "fdec5914", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "21479e", + "externalReference" : "resetBusinessCenters0" }, "meta" : { - "globalKey" : "d7394116", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "35a06081" + } + }, + "meta" : { + "globalKey" : "6bdb6452" + } + }, + "meta" : { + "globalKey" : "fdec5914", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "4a9ebc91" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebd961d6" + } + }, + "meta" : { + "globalKey" : "ebd961d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -375,7 +274,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -383,226 +282,358 @@ } }, "meta" : { - "globalKey" : "3febc8e7" + "globalKey" : "e08db15c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - 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+ } ] + } + }, + "meta" : { + "globalKey" : "f8e4e087" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf08478" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "654321", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f4a3eab1" + } + } ], + "tradeDate" : { + "value" : "2009-04-29", + "meta" : { + "globalKey" : "3ec91d" + } }, "party" : [ { "partyId" : [ { @@ -638,10 +669,10 @@ } } ], "meta" : { - "globalKey" : "bc990650" + "globalKey" : "e6998832" } }, "meta" : { - "globalKey" : "bc990650" + "globalKey" : "e6998832" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex36-amer-swaption-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex36-amer-swaption-pred-clearing.json index 5aedf04752..cf13d54e7e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex36-amer-swaption-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-ex36-amer-swaption-pred-clearing.json @@ -1,674 +1,685 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { 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: { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "19472b0a" } }, "meta" : { - "globalKey" : "c5cfdca9" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "6b0bb378" + "globalKey" : "c5cfdca9" } + } ], + "meta" : { + "globalKey" : "6b0bb378" } - }, - "meta" : { - "globalKey" : "6b0bb378" } }, "meta" : { "globalKey" : "6b0bb378" } - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-08-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-08-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "3d69e072" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "3d69e072" + "globalKey" : "da3b6050" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-08-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, - "meta" : { - "globalKey" : "5037d072" - } - }, - "meta" : { - "globalKey" : "5037d072", - "externalKey" : "americanExercise0" - } - } ], - "relevantUnderlyingDate" : { - "relativeDates" : { - "periodMultiplier" : 2, - "period" : "D", + "meta" : { + "globalKey" : "3d69e072" + } + }, + "meta" : { + "globalKey" : "3d69e072" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-08-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "6ce8443f" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "dateRelativeTo" : { - "globalReference" : "5037d072", - "externalReference" : "americanExercise0" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "6ce8443f" + "globalKey" : "da3b6050" } }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "latestExerciseTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" - } + "meta" : { + "globalKey" : "5037d072" + } + }, + "meta" : { + "globalKey" : "5037d072", + "externalKey" : 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"latestExerciseTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "19d862a1" + "globalKey" : "912dc5a1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "f7c86c91" } - }, + } ], "meta" : { - "globalKey" : "5196274b" + "globalKey" : "f7c86c91" } }, - "meta" : { - "globalKey" : "5196274b" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "73ab753b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -724,7 +735,7 @@ } } ], "meta" : { - "globalKey" : "f9e3784d" + "globalKey" : "c99caa96" } }, "transferHistory" : [ { @@ -783,6 +794,6 @@ } } ], "meta" : { - "globalKey" : "58c849dd" + "globalKey" : "fc7af1f4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-initial-fee.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-initial-fee.json index c077181a00..3301f26c5a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-initial-fee.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-initial-fee.json @@ -1,124 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59557", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS858TH30", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "f1ff252a" - } - } ], - "tradeDate" : { - "value" : "2018-02-20", - "meta" : { - "globalKey" : "3f1094" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "d2fe2899" - } - }, - "meta" : { - "globalKey" : "d2fe2899" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -132,54 +59,18 @@ "globalKey" : "365c4b6f" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "cf94775b" - } - }, - "meta" : { - "globalKey" : "cf94775b" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "f13835fd", - "externalKey" : "N10434" + "globalKey" : "d2fe2899" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -194,141 +85,31 @@ } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "20881899" } }, "meta" : { - "globalKey" : "87836bbd" + "globalKey" : "20881899" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "d2fe2899" - } - }, - "meta" : { - "globalKey" : "d2fe2899" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "meta" : { - "globalKey" : "20881899" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-02-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece1e2cc" - } - }, - "meta" : { - "globalKey" : "ece1e2cc" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f75" - }, - "rollConvention" : "22" - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "a633c897", - "externalKey" : "N10277" + "globalKey" : "21479e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -343,22 +124,94 @@ } }, "meta" : { - "globalKey" : "aacaea08" + "globalKey" : "cf94775b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a633c897", - "externalReference" : "N10277" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "cf94775b" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "f13835fd", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "aacaea08" + } + }, + "meta" : { + "globalKey" : "87836bbd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -367,19 +220,22 @@ "globalKey" : "21479e" } }, - "dateRelativeTo" : { - "globalReference" : "c7301fa0", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365c4b6f" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "meta" : { + "globalKey" : "d2fe2899" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -394,128 +250,284 @@ } }, "meta" : { - "globalKey" : "c7301fa0", - "externalKey" : "resetDates" + "globalKey" : "20881899" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "1fe54219" + "globalKey" : "20881899" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } - } ], + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-02-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ece1e2cc" + } + }, + "meta" : { + "globalKey" : "ece1e2cc" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f75" + }, + "rollConvention" : "22" + }, "meta" : { - "globalKey" : "d61a1f56" + "globalKey" : "a633c897", + "externalKey" : "N10277" } - } - }, - "meta" : { - "globalKey" : "d61a1f56" - } - }, - "meta" : { - "globalKey" : "d61a1f56" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.03, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "aacaea08" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a633c897", + "externalReference" : "N10277" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "c7301fa0", + "externalReference" : "resetDates" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "c7301fa0", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "1fe54219" } } ], "meta" : { - "globalKey" : "311d883e" + "globalKey" : "d61a1f56" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "d61a1f56" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.03, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-ISDA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "311d883e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-ISDA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-ISDA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "28ba9a94" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59557", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59558", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "ed2daa23" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59558", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59557", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS858TH30", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "f1ff252a" + } + } ], + "tradeDate" : { + "value" : "2018-02-20", + "meta" : { + "globalKey" : "3f1094" + } }, "party" : [ { "partyId" : [ { @@ -551,7 +563,7 @@ } } ], "meta" : { - "globalKey" : "2d2959d5" + "globalKey" : "b5f70fce" } }, "transferHistory" : [ { @@ -610,6 +622,6 @@ } } ], "meta" : { - "globalKey" : "b2c2aca4" + "globalKey" : "175c030b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-CNH-USD-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-CNH-USD-uti.json index 9d8f6a65cf..f9b4c900ca 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-CNH-USD-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-CNH-USD-uti.json @@ -1,717 +1,629 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "1994-12-14", - "meta" : { - "globalKey" : "3e530e" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "1994-12-14", "meta" : { - "globalKey" : "c606e068" + "globalKey" : "3e530e" } }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "1999-12-14", - "meta" : { - "globalKey" : "3e7b0e" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "meta" : { - "globalKey" : "92d57dc6" - } + "meta" : { + "globalKey" : "0" } }, - "meta" : { - "globalKey" : "36d9b059" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "d467e427" } + }, + "meta" : { + "globalKey" : "c606e068" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : "1999-12-14", "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "3e7b0e" } }, "meta" : { - "globalKey" : "ea1a6ec6" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "814e2ae6", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "57d0de37" - } - }, - "meta" : { - "globalKey" : "62b0f2e9" - } - }, - "meta" : { - "globalKey" : "62b0f2e9" - } + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" + "principalAmount" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "d467e427" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "72249099", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "92d57dc6" + } + } + }, + "meta" : { + "globalKey" : "36d9b059" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "814e2ae6", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "214e084d" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "ea1a6ec6" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : 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"quantity" : [ { + "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a0325171" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "CNH" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CNH" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f90337b5" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "CNH" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000.00, - "unit" : { - "currency" : { - "value" : "CNH" - } + "perUnitOf" : { + "currency" : { + "value" : "CNH" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000.00, + "unit" : { + "currency" : { + "value" : "CNH" + } } - } ], + }, "meta" : { - "globalKey" : "264339f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "264339f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -964,10 +976,10 @@ } } ], "meta" : { - "globalKey" : "d43e32d1" + "globalKey" : "ac89e041" } }, "meta" : { - "globalKey" : "d43e32d1" + "globalKey" : "ac89e041" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-fixed-swap-uti.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-fixed-swap-uti.json index 131ab816ff..e32b0bc7c6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-fixed-swap-uti.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/ird-xccy-fixed-swap-uti.json @@ -1,171 +1,77 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "54930084UKLVMY22DS16", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UITD7895394", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/uti" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFixed" } ], - "meta" : { - "globalKey" : "3eac3060" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2006-01-09", - "meta" : { - "globalKey" : "3eb049" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFixed" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleJPY" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleJPY" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58681de7" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a98" - }, - "rollConvention" : "11" - }, "meta" : { - "globalKey" : "a55eed20", - "externalKey" : "fixedCalcPeriodDatesJPY" + "globalKey" : "eb7870c3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -184,143 +90,143 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "46e069fc" } }, "meta" : { - "globalKey" : "fc18f888" + "globalKey" : "46e069fc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleUSD" + "globalKey" : "81e56a96" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, + "meta" : { + "globalKey" : "58681de7" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a98" + }, + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "a55eed20", + "externalKey" : "fixedCalcPeriodDatesJPY" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : 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"DOCUMENT", + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - 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"globalKey" : "4d7e6d32" - } - }, - "meta" : { - "globalKey" : "4d7e6d32" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.001, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "meta" : { + "globalKey" : "b4fb1f94" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2076aeaa" } } ], "meta" : { - "globalKey" : "c288a70e" + "globalKey" : "4d7e6d32" } - }, { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + } + }, + "meta" : { + "globalKey" : "4d7e6d32" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.001, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "f5991b20" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a14913ec", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "c288a70e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b6bdbfc2", - "externalReference" : "party1" + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "f5991b20" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a14913ec", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b6bdbfc2", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "54930084UKLVMY22DS16", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso17442" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UITD7895394", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/uti" + } + } + } ], + "meta" : { + "globalKey" : "3eac3060" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2006-01-09", + "meta" : { + "globalKey" : "3eb049" + } }, "party" : [ { "partyId" : [ { @@ -502,10 +495,10 @@ } } ], "meta" : { - "globalKey" : "2e53940a" + "globalKey" : "a8649592" } }, "meta" : { - "globalKey" : "2e53940a" + "globalKey" : "a8649592" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/swap-with-other-party-payment.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/swap-with-other-party-payment.json index da4dee370f..5dcef218b6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/swap-with-other-party-payment.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/rates/swap-with-other-party-payment.json @@ -1,306 +1,257 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "d7d5532b" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - 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: { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9b11f66a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1ecfa57", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9b11f66a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1ecfa57", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "d7d5532b" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -549,7 +561,7 @@ "role" : "ArrangingBroker" } ], "meta" : { - "globalKey" : "701782d2" + "globalKey" : "3a5cf83e" } }, "transferHistory" : [ { @@ -599,6 +611,6 @@ } } ], "meta" : { - "globalKey" : "d0c23596" + "globalKey" : "72529baa" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.json index 6cb4f645b9..55c0b5ffe5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex01-variance-swap-index.json @@ -1,235 +1,157 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "d989" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25690940" } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SP500", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "290478" - } - } ], - "name" : "SP 500 Index", - "assetClass" : "Equity" - } }, "meta" : { - "globalKey" : "6a2c4dd2" + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "varianceStrikePrice" : { - "value" : 950, - "priceType" : "Variance" - }, - "exchangeTradedContractNearest" : { - "asset" : { - "Instrument" : { - "ListedDerivative" : { - "identifier" : [ { - "identifier" : { - "value" : ".SP500", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "25690940" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "varianceStrikePrice" : { + "value" : 950, + "priceType" : "Variance" + }, + "exchangeTradedContractNearest" : { + "value" : { + "Asset" : { + "Instrument" : { + "ListedDerivative" : { + "identifier" : [ { + "identifier" : { + "value" : ".SP500", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS", "meta" : { - "globalKey" : "293090" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "293090" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XCBO", "meta" : { - "globalKey" : "290478" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } - } ] - } + }, + "meta" : { + "globalKey" : "290478" + } + } ] } } } } - }, - "meta" : { - "globalKey" : "7173cde3" } - } ], - "meta" : { - "globalKey" : "7173cde3" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "67d9fa2d" } - }, + } ], "meta" : { - "globalKey" : "3003ca0d" + "globalKey" : "67d9fa2d" } }, - "meta" : { - "globalKey" : "3003ca0d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "25900bd7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 350000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -263,42 +185,84 @@ "globalKey" : "290478" } } ], - "name" : "SP 500 Index", + "name" : { + "value" : "SP 500 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "fa3d9141" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "6f6e4974" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "d989" + } }, "party" : [ { "partyId" : [ { @@ -384,10 +348,10 @@ } }, "meta" : { - "globalKey" : "91b0eed2" + "globalKey" : "1516ea49" } }, "meta" : { - "globalKey" : "91b0eed2" + "globalKey" : "1516ea49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json index 43f0068744..be013ff564 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json @@ -1,230 +1,161 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "d989" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25690940" } - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "IBM ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "securityType" : "Equity" }, "meta" : { - "globalKey" : "71a2381b" + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "optionsPriceValuation" : true - }, - "dividendApplicability" : { - "optionsExchangeDividends" : true, - "additionalDividends" : false - }, - "varianceStrikePrice" : { - "value" : 85.00, - "priceType" : "Variance" - }, - "exchangeTradedContractNearest" : { - "asset" : { - "Instrument" : { - "ListedDerivative" : { - "identifier" : [ { - "identifier" : { - "value" : ".IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "25690940" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "optionsPriceValuation" : true + }, + "dividendApplicability" : { + "optionsExchangeDividends" : true, + "additionalDividends" : false + }, + "varianceStrikePrice" : { + "value" : 85.00, + "priceType" : "Variance" + }, + "exchangeTradedContractNearest" : { + "value" : { + "Asset" : { + "Instrument" : { + "ListedDerivative" : { + "identifier" : [ { + "identifier" : { + "value" : ".IBM", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS", "meta" : { - "globalKey" : "293090" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "293090" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XCBO", "meta" : { - "globalKey" : "290478" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } - } ] - } + }, + "meta" : { + "globalKey" : "290478" + } + } ] } } } } - }, - "meta" : { - "globalKey" : "b9853c03" } - } ], - "meta" : { - "globalKey" : "b9853c03" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "144421bc" } - }, + } ], "meta" : { - "globalKey" : "b972302d" + "globalKey" : "144421bc" } }, - "meta" : { - "globalKey" : "b972302d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "600e8ba6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 350000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -258,37 +189,77 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "6205ab52" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "92966609" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "d989" + } }, "party" : [ { "partyId" : [ { @@ -374,10 +345,10 @@ } }, "meta" : { - "globalKey" : "263dd975" + "globalKey" : "ab38652d" } }, "meta" : { - "globalKey" : "263dd975" + "globalKey" : "ab38652d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.json index 6e14d33b01..f7faaa4505 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex03-conditional-variance-swap.json @@ -1,243 +1,174 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2007-01-05", - "meta" : { - "globalKey" : "3eb845", - "externalKey" : "d989" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25690940" } - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "IBM ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "securityType" : "Equity" }, "meta" : { - "globalKey" : "71a2381b" + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "optionsPriceValuation" : true - }, - "dividendApplicability" : { - "optionsExchangeDividends" : true, - "additionalDividends" : false - }, - "varianceStrikePrice" : { - "value" : 18.135, - "priceType" : "Variance" - }, - "varianceCapFloor" : { - "boundedVariance" : { - "realisedVarianceMethod" : "Previous", - "daysInRangeAdjustment" : true, - "upperBarrier" : 101.00, - "lowerBarrier" : 94.00 - } - }, - "vegaNotionalAmount" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "exchangeTradedContractNearest" : { - "asset" : { - "Instrument" : { - "ListedDerivative" : { - "identifier" : [ { - "identifier" : { - "value" : ".IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "25690940" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "optionsPriceValuation" : true + }, + "dividendApplicability" : { + "optionsExchangeDividends" : true, + "additionalDividends" : false + }, + "varianceStrikePrice" : { + "value" : 18.135, + "priceType" : "Variance" + }, + "varianceCapFloor" : { + "boundedVariance" : { + "realisedVarianceMethod" : "Previous", + "daysInRangeAdjustment" : true, + "upperBarrier" : 101.00, + "lowerBarrier" : 94.00 + } + }, + "vegaNotionalAmount" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "exchangeTradedContractNearest" : { + "value" : { + "Asset" : { + "Instrument" : { + "ListedDerivative" : { + "identifier" : [ { + "identifier" : { + "value" : ".IBM", "meta" : { - "globalKey" : "293090" + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" } }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "identifierType" : "Other" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS", "meta" : { - "globalKey" : "290478" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } - } ] - } + }, + "meta" : { + "globalKey" : "293090" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XCBO", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, + "meta" : { + "globalKey" : "290478" + } + } ] } } } } - }, - "meta" : { - "globalKey" : "6368a998" } - } ], - "meta" : { - "globalKey" : "6368a998" } + }, + "meta" : { + "globalKey" : "1071b75d" } - }, + } ], "meta" : { - "globalKey" : "6368a998" + "globalKey" : "1071b75d" } - }, - "meta" : { - "globalKey" : "6368a998" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1388.889, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "1071b75d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1388.889, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -271,30 +202,70 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "bfb5a267" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f0465d1e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2007-01-05", + "meta" : { + "globalKey" : "3eb845", + "externalKey" : "d989" + } }, "party" : [ { "partyId" : [ { @@ -330,10 +301,10 @@ } } ], "meta" : { - "globalKey" : "a1a461c6" + "globalKey" : "39449a42" } }, "meta" : { - "globalKey" : "a1a461c6" + "globalKey" : "39449a42" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json index 6d6675e5d6..7e590e72e3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json @@ -1,403 +1,317 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "280234089", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDispersion" + } ], + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1da097f3" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "1b447322", + "externalReference" : "osd" + } + }, "meta" : { - "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + "globalKey" : "1da097f3" } - } - } ], - "meta" : { - "globalKey" : "877e757d" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c", - "externalKey" : "td" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDispersion" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1da097f3" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "1b447322", - "externalReference" : "osd" - } - }, + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1da06ae7" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "1da097f3" + "globalKey" : "21479e" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1da06ae7" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7a08418", - "externalReference" : "csd" + "dateRelativeTo" : { + "globalReference" : "7a08418", + "externalReference" : "csd" + } + }, + "meta" : { + "globalKey" : "1da06ae7" + } + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "1da06ae7" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "7a08418", - "externalKey" : "csd" - }, - "dayType" : "Calendar", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a4838f25", - "externalReference" : "vd" - } - } - }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "7a08418" - } - }, - "meta" : { - "globalKey" : "f9b08cad" - } - }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1b447322", - "externalKey" : "osd" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3e819c", - "externalReference" : "td" - } - }, - "meta" : { - "globalKey" : "1b447322" - } - } - } - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-10-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "a4838f25", - "externalKey" : "vd" - } - }, - "meta" : { - "globalKey" : "a4838f25" - } + "globalKey" : "7a08418", + "externalKey" : "csd" }, - "valuationTimeType" : "Close", - "meta" : { - "globalKey" : "efc23b53" - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "STOXX50E", - "meta" : { - "scheme" : "http://www.dowjones.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" + "dayType" : "Calendar", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "b6fd6391" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true + "meta" : { + "globalKey" : "20a71d" + } }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.30, - "priceType" : "Variance" + "dateRelativeTo" : { + "globalReference" : "a4838f25", + "externalReference" : "vd" } } }, "meta" : { - "globalKey" : "f472d77f" + "globalKey" : "7a08418" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "AH.AS", + }, + "meta" : { + "globalKey" : "f9b08cad" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1b447322", + "externalKey" : "osd" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "scheme" : "uri:ticker" + "globalKey" : "20a71d" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, - "meta" : { - "globalKey" : "28fefb" + "dateRelativeTo" : { + "globalReference" : "3e819c", + "externalReference" : "td" } }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "aa54d505" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true - }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.35, - "priceType" : "Variance" + "meta" : { + "globalKey" : "1b447322" } } - }, - "meta" : { - "globalKey" : "ca4e42ac" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "RDSA.AS", + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-10-10", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "scheme" : "uri:ticker" + "globalKey" : "21479e" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch Shell A" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, "meta" : { - "globalKey" : "28fefb" + "globalKey" : "365c4b6f" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "a4838f25", + "externalKey" : "vd" + } }, "meta" : { - "globalKey" : "745eccfe" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true - }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.40, - "priceType" : "Variance" - } + "globalKey" : "a4838f25" } }, + "valuationTimeType" : "Close", "meta" : { - "globalKey" : "b65d9f4f" + "globalKey" : "efc23b53" } - } ], + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.30, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "196c9e14" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, "meta" : { - "globalKey" : "db08f362" + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-3" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.35, + "priceType" : "Variance" + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e1aee867" } - }, + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.40, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "df0b5611" + } + } ], "meta" : { - "globalKey" : "734594e6" + "globalKey" : "f429fa1e" } }, - "meta" : { - "globalKey" : "734594e6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f4ce08ae" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -412,34 +326,36 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "fdc4bf53" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "3921975e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -471,27 +387,35 @@ } }, "meta" : { - "globalKey" : "348c9556" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-3" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "7b8ebbac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -523,30 +447,60 @@ } }, "meta" : { - "globalKey" : "fe968d4f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "f2c3c2d3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "76d32c17", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "76d32c17", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "74597c1f", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "280234089", + "meta" : { + "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "74597c1f", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "877e757d" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c", + "externalKey" : "td" + } }, "party" : [ { "partyId" : [ { @@ -612,10 +566,10 @@ } }, "meta" : { - "globalKey" : "a8858abb" + "globalKey" : "cb4f64" } }, "meta" : { - "globalKey" : "a8858abb" + "globalKey" : "cb4f64" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json index 14b8508157..9d385c6ee4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json @@ -1,342 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "280234089", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDispersion" + } ], + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1da097f3" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "1b447322", + "externalReference" : "osd" + } + }, "meta" : { - "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + "globalKey" : "1da097f3" } - } - } ], - "meta" : { - "globalKey" : "877e757d" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c", - "externalKey" : "td" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDispersion" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1da097f3" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "1b447322", - "externalReference" : "osd" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "1da097f3" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - } - }, - "meta" : { - "globalKey" : "48eae291" - } - }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1b447322", - "externalKey" : "osd" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3e819c", - "externalReference" : "td" - } - }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1b447322", + "externalKey" : "osd" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1b447322" + "globalKey" : "20a71d" } + }, + "dateRelativeTo" : { + "globalReference" : "3e819c", + "externalReference" : "td" } + }, + "meta" : { + "globalKey" : "1b447322" } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-10-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-10-10", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "a4838f25", - "externalKey" : "vd" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "a4838f25" + "globalKey" : "365c4b6f" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "efc23b53" - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "STOXX50E", - "meta" : { - "scheme" : "http://www.dowjones.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "assetClass" : "Equity" + "globalKey" : "a4838f25", + "externalKey" : "vd" } }, "meta" : { - "globalKey" : "b6fd6391" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.30, - "priceType" : "Variance" - } + "globalKey" : "a4838f25" } }, + "valuationTimeType" : "Close", "meta" : { - "globalKey" : "36254423" + "globalKey" : "efc23b53" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.30, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "2e4fc321" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-3" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.35, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "e1aee867" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.40, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "df0b5611" + } + } ], + "meta" : { + "globalKey" : "83d6b8eb" + } + } + }, + "meta" : { + "globalKey" : "5e795018" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "STOXX50E", + "meta" : { + "scheme" : "http://www.dowjones.com/coding-scheme/instrument-id" } }, - "meta" : { - "globalKey" : "48eae291" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "AH.AS", - "meta" : { - "scheme" : "uri:ticker" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, + "identifierType" : "Other" + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "3921975e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "AH.AS", "meta" : { - "globalKey" : "28fefb" + "scheme" : "uri:ticker" } }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "aa54d505" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Ahold" }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.35, - "priceType" : "Variance" - } - } - }, - "meta" : { - "globalKey" : "46ec483b" - } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE" + }, + "meta" : { + "globalKey" : "28fefb" } }, - "meta" : { - "globalKey" : "48eae291" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "RDSA.AS", - "meta" : { - "scheme" : "uri:ticker" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch Shell A" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-3" + } ] + } + }, + "meta" : { + "globalKey" : "7b8ebbac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "RDSA.AS", "meta" : { - "globalKey" : "28fefb" + "scheme" : "uri:ticker" } }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "745eccfe" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Royal Dutch Shell A" }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.40, - "priceType" : "Variance" + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE" + }, + "meta" : { + "globalKey" : "28fefb" } - } - }, - "meta" : { - "globalKey" : "32fba4de" + }, + "securityType" : "Equity" } - } ], - "meta" : { - "globalKey" : "8842bf66" } } }, "meta" : { - "globalKey" : "dd65ca59" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "dd65ca59" + "globalKey" : "f2c3c2d3" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "76d32c17", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "76d32c17", - "externalReference" : "party2" + "assignedIdentifier" : [ { + "identifier" : { + "value" : "280234089", + "meta" : { + "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "877e757d" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c", + "externalKey" : "td" + } }, "party" : [ { "partyId" : [ { @@ -401,10 +492,10 @@ } }, "meta" : { - "globalKey" : "7d0db160" + "globalKey" : "bacf664c" } }, "meta" : { - "globalKey" : "7d0db160" + "globalKey" : "bacf664c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json index 48581ec9b5..bf8f525efc 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json @@ -1,159 +1,115 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnVariance_Index" } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2009-01-27", - "meta" : { - "globalKey" : "3ec85b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "meta" : { - "globalKey" : "76108548" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "76108548" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" + } ], + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "738dbfce" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "externalReference" : "valuationDate" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" } - }, - "meta" : { - "globalKey" : "738dbfce" } }, "meta" : { - "globalKey" : "abeaab86" + "globalKey" : "738dbfce" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-27", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "abeaab86" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-27", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f9a646" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25f9a646" } + }, + "meta" : { + "globalKey" : "25f9a646" } } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-18", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-18", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "263774fd" + "globalKey" : "3a4b88ab" } }, "meta" : { @@ -163,158 +119,122 @@ "meta" : { "globalKey" : "263774fd" } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FTSE", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XLON", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/exchangeId" - } - }, - "meta" : { - "globalKey" : "2927d3" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/exchangeId" - } - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "name" : "FTSE 100 INDEX", - "assetClass" : "Equity" - } }, "meta" : { - "globalKey" : "30aae271" + "globalKey" : "263774fd" } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "expectedN" : 542, - "varianceStrikePrice" : { - "value" : 225, - "priceType" : "Variance" - }, - "varianceCapFloor" : { - "varianceCap" : false - }, - "vegaNotionalAmount" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "expectedN" : 542, + "varianceStrikePrice" : { + "value" : 225, + "priceType" : "Variance" + }, + "varianceCapFloor" : { + "varianceCap" : false + }, + "vegaNotionalAmount" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" } } } - }, - "meta" : { - "globalKey" : "24e35101" } - } ], + }, "meta" : { - "globalKey" : "24e35101" + "globalKey" : "a179e32" } + } ], + "meta" : { + "globalKey" : "a179e32" } - }, - "meta" : { - "globalKey" : "24e35101" } }, "meta" : { - "globalKey" : "24e35101" + "globalKey" : "a179e32" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "75395610" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "75395610" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "c2d0cf41" } - }, + } ], "meta" : { - "globalKey" : "75395610" + "globalKey" : "c2d0cf41" } - }, - "meta" : { - "globalKey" : "75395610" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 33333.33, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "c2d0cf41" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 33333.33, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -348,35 +268,76 @@ "globalKey" : "292711" } } ], - "name" : "FTSE 100 INDEX", + "name" : { + "value" : "FTSE 100 INDEX" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "7ffa70ea" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "b29b3867" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2009-01-27", + "meta" : { + "globalKey" : "3ec85b" + } }, "party" : [ { "partyId" : [ { @@ -447,7 +408,7 @@ } }, "meta" : { - "globalKey" : "f63f496e" + "globalKey" : "64fdd11a" } }, "transferHistory" : [ { @@ -498,6 +459,6 @@ } } ], "meta" : { - "globalKey" : "bbdec515" + "globalKey" : "99ac08c1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json index fa60a04d30..fa5ace5b4b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json @@ -1,166 +1,122 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnVariance_Index" } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2009-01-27", - "meta" : { - "globalKey" : "3ec85b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "meta" : { - "globalKey" : "a9ad5102" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", - "meta" : { - "globalKey" : "5d273b4a" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "a9ad5102" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", + "meta" : { + "globalKey" : "5d273b4a" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" + } ], + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "738dbfce" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "externalReference" : "valuationDate" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" } - }, - "meta" : { - "globalKey" : "738dbfce" } }, "meta" : { - "globalKey" : "abeaab86" + "globalKey" : "738dbfce" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-27", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "abeaab86" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-27", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f9a646" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25f9a646" } + }, + "meta" : { + "globalKey" : "25f9a646" } } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-18", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { 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: "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -355,42 +275,83 @@ "globalKey" : "292711" } } ], - "name" : "FTSE 100 INDEX", + "name" : { + "value" : "FTSE 100 INDEX" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "7ffa70ea" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "b29b3867" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] - } ] + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2009-01-27", + "meta" : { + "globalKey" : "3ec85b" + } }, "party" : [ { "partyId" : [ { @@ -481,7 +442,7 @@ } }, "meta" : { - "globalKey" : "165c3e63" + "globalKey" : "a6bb764d" } }, "transferHistory" : [ { @@ -532,6 +493,6 @@ } } ], "meta" : { - "globalKey" : "d3996b0a" + "globalKey" : "2baa04f4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json index a368701ff8..338306c74d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json @@ -1,217 +1,139 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6403855", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "19836e0c" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6403855", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : 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"businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26afc209" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "112d5" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26afc209" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "26afc209" } + }, + "meta" : { + "globalKey" : "26afc209" } } - }, - "valuationDates" : { - "finalValuationDate" : { 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"identifier" : { @@ -250,23 +172,68 @@ } }, "meta" : { - "globalKey" : "abdae6aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8e0eaa82" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6403855", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "19836e0c" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6403855", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "1983e26b" + } + } ], + "tradeDate" : { + "value" : "2015-03-30", + "meta" : { + "globalKey" : "3ef8de" + } }, "party" : [ { "partyId" : [ { @@ -367,10 +334,10 @@ } }, "meta" : { - "globalKey" : "eee94e66" + "globalKey" : "3843b404" } }, "meta" : { - "globalKey" : "eee94e66" + "globalKey" : "3843b404" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.json index a4bb1cac8b..c558c425d5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-10/products/volatility-swaps/eqvls-ex02-volatility-swap-index-mca.json @@ -1,220 +1,142 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6403855", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "19836e0c" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6403855", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVolatility_Index" } ], - "meta" : { - "globalKey" : "1983e26b" - } - } ], - "tradeDate" : { - "value" : "2015-03-30", - "meta" : { - "globalKey" : "3ef8de" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVolatility_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "GBP" - }, - "meta" : { - "globalKey" : "112d5" - } - }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-03-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26afc209" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "112d5" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26afc209" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "26afc209" } + }, + "meta" : { + "globalKey" : "26afc209" } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-04-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26b05bf2" - } - }, + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-04-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26b05bf2" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "26b05bf2" } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FTSE", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XLIF", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/exchange-id-MIC-1-0" - } - }, - "meta" : { - "globalKey" : "292711" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/exchange-id-MIC-1-0" - } - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "assetClass" : "Equity" - } }, "meta" : { - "globalKey" : "87509094" - } - }, - "returnTerms" : { - "volatilityReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "expectedN" : 5, - "volatilityStrikePrice" : { - "value" : 299.00, - "priceType" : "Volatility" - }, - "volatilityCapFloor" : { - "applicable" : true, - "totalVolatilityCap" : 897, - "volatilityCapFactor" : 3.0 - } + "globalKey" : "26b05bf2" } }, "meta" : { - "globalKey" : "cd27f7ea" + "globalKey" : "26b05bf2" } - } ], - "meta" : { - "globalKey" : "cd27f7ea" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "volatilityReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "expectedN" : 5, + "volatilityStrikePrice" : { + "value" : 299.00, + "priceType" : "Volatility" + }, + "volatilityCapFloor" : { + "applicable" : true, + "totalVolatilityCap" : 897, + "volatilityCapFactor" : 3.0 + } + } + }, + "meta" : { + "globalKey" : "de38b816" } - }, + } ], "meta" : { - "globalKey" : "cd27f7ea" + "globalKey" : "de38b816" } - }, - "meta" : { - "globalKey" : "cd27f7ea" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "de38b816" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000.00, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -253,23 +175,68 @@ } }, "meta" : { - "globalKey" : "abdae6aa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8e0eaa82" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6403855", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "19836e0c" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6403855", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "1983e26b" + } + } ], + "tradeDate" : { + "value" : "2015-03-30", + "meta" : { + "globalKey" : "3ef8de" + } }, "party" : [ { "partyId" : [ { @@ -356,10 +323,10 @@ } }, "meta" : { - "globalKey" : "56754ded" + "globalKey" : "ab68388f" } }, "meta" : { - "globalKey" : "56754ded" + "globalKey" : "ab68388f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.json index c52cb1e373..bb802a1d42 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/incomplete-products/equity/eqs-ex04-zero-strike-long-form.json @@ -1,336 +1,265 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } } ], - "meta" : { - "globalKey" : "95918657" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5678", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252fd543" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "252fd543", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593dbb6" - } - } ], - "tradeDate" : { - "value" : "2002-10-17", - "meta" : { - "globalKey" : "3e9291", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55830660", + "externalReference" : "FinalEquityPaymentDate" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-10-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252fd543" + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "reset" : false, "meta" : { - "globalKey" : "252fd543", - "externalKey" : "EffectiveDate" + "globalKey" : "4d5" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55830660", - "externalReference" : "FinalEquityPaymentDate" - } - }, + "settlementTerms" : { + "settlementType" : "Cash", "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "1f7333" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : false, - "meta" : { - "globalKey" : "4d5" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-10-17", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "256bcafc" - } - }, + "valuationDates" : { + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-10-17", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "256bcafc", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "97374c7e" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "55830660" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "256bcafc", - "externalReference" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "55830660", - "externalKey" : "FinalEquityPaymentDate" - } + "globalKey" : "256bcafc" } }, "meta" : { - "globalKey" : "55830660", - "externalKey" : "EquityPaymentDate" + "globalKey" : "256bcafc", + "externalKey" : "FinalValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ZEE.NS", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "ZEE" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "meta" : { + "globalKey" : "97374c7e" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "55830660" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "292fc8" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "256bcafc", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "1c55c9f2" + "globalKey" : "55830660", + "externalKey" : "FinalEquityPaymentDate" + } + } + }, + "meta" : { + "globalKey" : "55830660", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + }, + "composite" : { + "determinationMethod" : "CalculationAgent" + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "excessDividendAmount" : "PaidAmount", + "dividendCurrency" : { + "currencyReference" : { + "globalReference" : "14966", + "externalReference" : "ReferenceCurrency" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e9291", + "externalReference" : "TradeDate" } }, - "composite" : { - "determinationMethod" : "CalculationAgent" - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "256bcafc", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "excessDividendAmount" : "PaidAmount", - "dividendCurrency" : { - "currencyReference" : { - "globalReference" : "14966", - "externalReference" : "ReferenceCurrency" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e9291", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "256bcafc", - "externalReference" : "FinalValuationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "8dab4b33" - } - } ], - "meta" : { - "globalKey" : "8dab4b33" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "dc3bd8a5" } - }, + } ], "meta" : { - "globalKey" : "7f9cb2e6" + "globalKey" : "dc3bd8a5" } }, - "meta" : { - "globalKey" : "7f9cb2e6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.8036, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "d6339f98" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.8036, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 55911.60, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 55911.60, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -365,31 +294,77 @@ } }, "meta" : { - "globalKey" : "cbad403b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "a5b67c57" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918657" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5678", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593dbb6" + } + } ], + "tradeDate" : { + "value" : "2002-10-17", + "meta" : { + "globalKey" : "3e9291", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -475,10 +450,10 @@ } }, "meta" : { - "globalKey" : "8b9e0367" + "globalKey" : "b1d35c59" } }, "meta" : { - "globalKey" : "8b9e0367" + "globalKey" : "b1d35c59" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.json index 89fd29ad14..e3b2db490e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-ptrr-comp.json @@ -34,518 +34,511 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } + } ], + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.40 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Agrium Inc." }, - "protectionTermsReference" : { - "globalReference" : "90a9b011", - "externalReference" : "protectionTermsOne" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" - }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" } - }, { - "constituentWeight" : { - "basketPercentage" : 0.30 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } - }, - "protectionTermsReference" : { - "globalReference" : "90a9b011", - "externalReference" : "protectionTermsOne" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - }, { - "constituentWeight" : { - "basketPercentage" : 0.30 + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + }, + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G8KT", + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" + } + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Teleco Corporation Europe" }, - "meta" : { - "globalKey" : "2c781556", - "externalKey" : "telecoEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } - }, - "protectionTermsReference" : { - "globalReference" : "71d88c7e", - "externalReference" : "protectionTermsTwo" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsTwo" + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsTwo" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G8KT", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Teleco Corporation Europe" + }, + "meta" : { + "globalKey" : "2c781556", + "externalKey" : "telecoEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "protectionTermsReference" : { + "globalReference" : "71d88c7e", + "externalReference" : "protectionTermsTwo" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011", - "externalKey" : "protectionTermsOne" } - }, { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, + "meta" : { + "globalKey" : "f8d2401" + } + }, + "obligations" : { + "category" : "BondOrLoan" + }, + "meta" : { + "globalKey" : "90a9b011", + "externalKey" : "protectionTermsOne" + } + }, { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "meta" : { - "globalKey" : "48eae7c4" - } - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "dayType" : "Business" + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "e5b237ae" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "71d88c7e", - "externalKey" : "protectionTermsTwo" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5d3a5707" + "globalKey" : "e5b237ae" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "fdded2e7" + "globalKey" : "71d88c7e", + "externalKey" : "protectionTermsTwo" } + } ], + "meta" : { + "globalKey" : "5d3a5707" } }, "meta" : { - "globalKey" : "42f1176a" + "globalKey" : "fdded2e7" } - }, - "meta" : { - "globalKey" : "42f1176a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "42f1176a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "28ce4efa" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b88d63fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + } ], + "meta" : { + "globalKey" : "b88d63fd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -589,11 +582,11 @@ } } ], "meta" : { - "globalKey" : "b2c1becc" + "globalKey" : "e5c22c14" } }, "meta" : { - "globalKey" : "b2c1becc" + "globalKey" : "e5c22c14" } } } @@ -641,6 +634,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "3e3d7095" + "globalKey" : "fd15728d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-rtn.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-rtn.json index 8a52dc7374..8344b5f1ee 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-rtn.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/processes/custom-basket-linkId-rtn.json @@ -34,525 +34,518 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" - } - } - }, { - "identifier" : { - "value" : "USDINDEX", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/esma-report-tracking-number" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "a89aa848" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } + } ], + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.40 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Agrium Inc." }, - "protectionTermsReference" : { - "globalReference" : "90a9b011", - "externalReference" : "protectionTermsOne" - }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" - }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" } - }, { - "constituentWeight" : { - "basketPercentage" : 0.30 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } - }, - "protectionTermsReference" : { - "globalReference" : "90a9b011", - "externalReference" : "protectionTermsOne" + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" - }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsOne" + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - }, { - "constituentWeight" : { - "basketPercentage" : 0.30 + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + }, + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G8KT", + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" + } + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Teleco Corporation Europe" - }, - "meta" : { - "globalKey" : "2c781556", - "externalKey" : "telecoEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } - }, - "protectionTermsReference" : { - "globalReference" : "71d88c7e", - "externalReference" : "protectionTermsTwo" + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "cashSettlementTermsReference" : { - "externalReference" : "settlementTermsTwo" - }, - "physicalSettlementTermsReference" : { - "externalReference" : "settlementTermsTwo" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G8KT", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Teleco Corporation Europe" + }, + "meta" : { + "globalKey" : "2c781556", + "externalKey" : "telecoEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "protectionTermsReference" : { + "globalReference" : "71d88c7e", + "externalReference" : "protectionTermsTwo" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011", - "externalKey" : "protectionTermsOne" } - }, { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, + "meta" : { + "globalKey" : "f8d2401" + } + }, + "obligations" : { + "category" : "BondOrLoan" + }, + "meta" : { + "globalKey" : "90a9b011", + "externalKey" : "protectionTermsOne" + } + }, { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "meta" : { - "globalKey" : "48eae7c4" - } - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "dayType" : "Business" + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "e5b237ae" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "71d88c7e", - "externalKey" : "protectionTermsTwo" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5d3a5707" + "globalKey" : "e5b237ae" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "fdded2e7" + "globalKey" : "71d88c7e", + "externalKey" : "protectionTermsTwo" } + } ], + "meta" : { + "globalKey" : "5d3a5707" } }, "meta" : { - "globalKey" : "42f1176a" + "globalKey" : "fdded2e7" } - }, - "meta" : { - "globalKey" : "42f1176a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "42f1176a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "28ce4efa" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b88d63fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + } ], + "meta" : { + "globalKey" : "b88d63fd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + }, { + "identifier" : { + "value" : "USDINDEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/esma-report-tracking-number" + } + } + } ], + "meta" : { + "globalKey" : "a89aa848" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -596,11 +589,11 @@ } } ], "meta" : { - "globalKey" : "baabc1a8" + "globalKey" : "c80a226c" } }, "meta" : { - "globalKey" : "baabc1a8" + "globalKey" : "c80a226c" } } } @@ -636,6 +629,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "4bb47d" + "globalKey" : "512866f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.json index 3a3dff4e70..8b4df0b2aa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex1-gas-swap-daily-delivery-prices-last.json @@ -1,407 +1,396 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a4ce2c" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25a4ce2c" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a53eca" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25a53eca" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2006-06-01", - "meta" : { - "globalKey" : "3eb181" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_FixedFloat" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a4ce2c" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25a4ce2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a53eca" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25a53eca" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" + } ], "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "acc66859" } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "ff6175f6" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - }, - "meta" : { - "globalKey" : "18b966e5" - } - }, - "meta" : { - "globalKey" : "4145602d" } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "ff6175f6" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6310740b" + "globalKey" : "a98752b1" } - } ], + }, "meta" : { - "globalKey" : "76dbd37e" + "globalKey" : "ff6175f6" } - } - }, - "meta" : { - "globalKey" : "1f1dfc20" - } - }, - "meta" : { - "globalKey" : "1f1dfc20" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 6.295, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USMMBTU" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "a63303b8" } } ], - "quantity" : [ { - "value" : { - "value" : 2500.0, - "unit" : { - "capacityUnit" : "USMMBTU" + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "frequency" : { - "periodMultiplier" : 1, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, "period" : "D", "meta" : { - "globalKey" : "63" + "globalKey" : "ea4acac1" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "a98752b1" } + }, + "meta" : { + "globalKey" : "ff6175f6" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 77500.0, - "unit" : { - "capacityUnit" : "USMMBTU" + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "globalKey" : "6310740b" } } ], "meta" : { - "globalKey" : "4bf9210f" + "globalKey" : "87be5753" } - }, { - "quantity" : [ { - "value" : { - "value" : 2500.0, - "unit" : { - "capacityUnit" : "USMMBTU" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } + } + }, + "meta" : { + "globalKey" : "d4ff3ff1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 6.295, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - }, { - "value" : { - "value" : 77500.0, - "unit" : { - "capacityUnit" : "USMMBTU" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2500.0, + "unit" : { + "capacityUnit" : "USMMBTU" + }, + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + }, { + "value" : { + "value" : 77500.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "4bf9210f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 2500.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 77500.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "c26acea6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "ef40e0e6" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-06-01", + "meta" : { + "globalKey" : "3eb181" + } }, "party" : [ { "partyId" : [ { @@ -489,10 +478,10 @@ } }, "meta" : { - "globalKey" : "87aa02f6" + "globalKey" : "bd389287" } }, "meta" : { - "globalKey" : "87aa02f6" + "globalKey" : "bd389287" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.json index b6645f81f1..eb8134c46d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex5-gas-v-electricity-spark-spread.json @@ -1,446 +1,440 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_Basis" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e0de2c" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25e0de2c" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e14eca" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25e14eca" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2008-06-11", - "meta" : { - "globalKey" : "3ec18b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_Basis" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25e0de2c" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "25e0de2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25e14eca" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25e14eca" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - 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a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.json index c639299eb1..22d197ae0c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/commodity/com-ex8-oil-call-option-strip.json @@ -1,343 +1,327 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : 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- "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { - "globalKey" : "25e41f8a" + "globalKey" : "63" } - }, - "meta" : { - "globalKey" : "25e41f8a" } - } ], - "meta" : { - "globalKey" : "dc97c7ad" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1120, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "MT" - }, - "priceType" : "AssetPrice" } }, "meta" : { - "globalKey" : "3587542" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } - } ], - "meta" : { - "globalKey" : "3587542" } } }, "meta" : { - "globalKey" : "4b673556" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "4b673556" + "globalKey" : "406d197c" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "capacityUnit" : "MT" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 30000, - "unit" : { - "capacityUnit" : "MT" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "GAS OIL-IPE", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - } - } - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "3ce86c7c" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2008-02-05", + "meta" : { + "globalKey" : "3ec085" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +409,7 @@ } }, "meta" : { - "globalKey" : "af101039" + "globalKey" : "10ba6499" } }, "transferHistory" : [ { @@ -476,6 +460,6 @@ } } ], "meta" : { - "globalKey" : "a1aa689a" + "globalKey" : "90b59cfa" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex01-long-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex01-long-asia-corp-fixreg.json index 427d8d8df4..61dc257f0f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex01-long-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex01-long-asia-corp-fixreg.json @@ -1,98 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "9862eeec" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9863634b" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -111,341 +44,401 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "b6b5f8e2" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : 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"DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - 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+ "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eeec" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9863634b" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -543,10 +536,10 @@ } }, "meta" : { - "globalKey" : "ded71c64" + "globalKey" : "409dc242" } }, "meta" : { - "globalKey" : "ded71c64" + "globalKey" : "409dc242" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex02-2003-short-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex02-2003-short-asia-corp-fixreg.json index 4e30c9c130..44f4a33bba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex02-2003-short-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex02-2003-short-asia-corp-fixreg.json @@ -1,283 +1,276 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "meta" : { + "globalKey" : "3e9305" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9305" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "meta" : { + "globalKey" : "3ebb05" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb05" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "meta" : { - "globalKey" : "3e9305" - } - }, - "meta" : { - "globalKey" : "3e9305" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "meta" : { - "globalKey" : "3ebb05" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb05" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } - }, "meta" : { - "globalKey" : "6f25196e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "6f25196e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008FAQ" + } ], + "name" : { + "value" : "Aiful Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7abf9ebb", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008FAQ" - } ], - "name" : { - "value" : "Aiful Corporation" - }, - "meta" : { - "globalKey" : "7abf9ebb", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310504B117", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310504B117", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } }, - "primaryObligorReference" : { - "globalReference" : "7abf9ebb", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true - }, - "meta" : { - "globalKey" : "4cf" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4cf" + "primaryObligorReference" : { + "globalReference" : "7abf9ebb", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "e1a9f247" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "5aa4b099" - } - }, - "calculationAgent" : { - "calculationAgentBusinessCenter" : { - "value" : "JPTO" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "e1a9f247" } }, "meta" : { - "globalKey" : "5062d28" + "globalKey" : "5aa4b099" } }, - "meta" : { - "globalKey" : "5062d28" + "calculationAgent" : { + "calculationAgentBusinessCenter" : { + "value" : "JPTO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5062d28" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7b558f64" - } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "7b558f64" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -347,10 +340,10 @@ } }, "meta" : { - "globalKey" : "c0c06a5c" + "globalKey" : "3bd5d75c" } }, "meta" : { - "globalKey" : "c0c06a5c" + "globalKey" : "3bd5d75c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor.json index 1351c1f54c..55c24c7033 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-ex16-short-us-corp-fixreg-recovery-factor.json @@ -1,296 +1,289 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : 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"http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "76102c6b" - }, - "cashSettlementTerms" : [ { - "recoveryFactor" : 0.60, - "meta" : { - "globalKey" : "b9f8" - } - } ] - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, "meta" : { - "globalKey" : "9e18a2ed" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "6123ef1f" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "9e18a2ed" } }, "meta" : { - "globalKey" : "fe2f9361" + "globalKey" : "6123ef1f" } - }, - "meta" : { - "globalKey" : "fe2f9361" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "fe2f9361" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -360,10 +353,10 @@ } }, "meta" : { - "globalKey" : "c5fbf90e" + "globalKey" : "c2a96b5e" } }, "meta" : { - "globalKey" : "c5fbf90e" + "globalKey" : "c2a96b5e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.json index 8ccff914af..35143bceee 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-indamt-ex01-short-us-corp-fixreg.json @@ -1,286 +1,279 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0", + "externalKey" : "notional" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notional" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notional" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0", - "externalKey" : "notional" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, "meta" : { - "globalKey" : "c14f7042" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "553ca574" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "c14f7042" } }, "meta" : { - "globalKey" : "e4b8bab6" + "globalKey" : "553ca574" } - }, - "meta" : { - "globalKey" : "e4b8bab6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e4b8bab6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -379,10 +372,10 @@ } }, "meta" : { - "globalKey" : "be8e40d0" + "globalKey" : "867856a0" } }, "meta" : { - "globalKey" : "be8e40d0" + "globalKey" : "867856a0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-1.json index 340b73d825..918b5f914a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-1.json @@ -1,287 +1,247 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade123", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba463" - } - } ], - "tradeDate" : { - "value" : "2006-12-05", - "meta" : { - "globalKey" : "3eb305", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "1333467d", - "externalReference" : "CREDITEVENT" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "1333467d", + "externalReference" : "CREDITEVENT" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a3e7e" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a3e7e" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a3e7e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec2ea6cd" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec2ea6cd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ec2ea6cd" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "SPREAD" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "SPREAD" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2012-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d9c0aa" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2012-03-20", "meta" : { - "globalKey" : "55080c1c" + "globalKey" : "7d9c0aa" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "55080c1c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "eb40ee68" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond" + }, + "escrow" : true, "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + "globalKey" : "5800f1f" } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "eb40ee68" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Bond" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "Entity3" }, - "escrow" : true, "meta" : { - "globalKey" : "5800f1f" + "globalKey" : "4573090" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "ExampleCUSIP2", + "meta" : { + "scheme" : "CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { "name" : { "value" : "Entity3" }, "meta" : { "globalKey" : "4573090" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP2", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Entity3" - }, - "meta" : { - "globalKey" : "4573090" - } - } - } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "restructuring" : { - "applicable" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "defaultRequirement" : { + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { "value" : 1000000, "unit" : { "currency" : { @@ -291,206 +251,238 @@ "meta" : { "globalKey" : "48eb1e55" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party1", "Party2" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + } + }, + "restructuring" : { + "applicable" : true + }, + "defaultRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "1333467d", - "externalKey" : "CREDITEVENT" + "globalKey" : "48eb1e55" } }, - "obligations" : { - "category" : "Bond" + "creditEventNotice" : { + "notifyingParty" : [ "Party1", "Party2" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "139ace00" + "globalKey" : "1333467d", + "externalKey" : "CREDITEVENT" } - } ], + }, + "obligations" : { + "category" : "Bond" + }, "meta" : { - "globalKey" : "afc3b294" + "globalKey" : "139ace00" } - }, + } ], "meta" : { - "globalKey" : "388692f8" + "globalKey" : "afc3b294" } + }, + "meta" : { + "globalKey" : "388692f8" } - }, - "meta" : { - "globalKey" : "45761349" } }, "meta" : { "globalKey" : "45761349" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-03-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-03-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "80df3cd5" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "80df3cd5" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da556d3a" } }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "1f046114" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "SPREAD" + "globalKey" : "80df3cd5" } }, "meta" : { - "globalKey" : "b72d9114" + "globalKey" : "80df3cd5" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "b72d9114" + "globalKey" : "1f046114" + } + }, + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "SPREAD" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "842b540" } - }, + } ], "meta" : { - "globalKey" : "ee5984fe" + "globalKey" : "842b540" } }, - "meta" : { - "globalKey" : "ee5984fe" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0186, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4eb64e2a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0186, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "9b6e4015" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "9b6e4015" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade123", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba463" + } + } ], + "tradeDate" : { + "value" : "2006-12-05", + "meta" : { + "globalKey" : "3eb305", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -574,7 +566,7 @@ } }, "meta" : { - "globalKey" : "2739117d" + "globalKey" : "1dfa2eab" } }, "transferHistory" : [ { @@ -641,6 +633,6 @@ } } ], "meta" : { - "globalKey" : "22289d8f" + "globalKey" : "5c745e21" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-2.json index e9b8c1ed98..3998dd72eb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cd-swaption-2.json @@ -1,544 +1,536 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-06-27", - "meta" : { - "globalKey" : "3eb19b", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "594a6d92", - "externalReference" : "CREDITEVENT" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "594a6d92", + "externalReference" : "CREDITEVENT" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb80184d" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb80184d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb80184d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec16404d" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec16404d" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "ec16404d" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "42f910b" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "SPREAD" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "SPREAD" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2006-12-20", - "lastRegularPaymentDate" : "2011-09-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d907ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-12-20", + "lastRegularPaymentDate" : "2011-09-20", "meta" : { - "globalKey" : "5e1fd2fe" + "globalKey" : "7d907ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "5e1fd2fe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "58903769" + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "58903769" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true, + "currency" : { + "value" : "USD" + } }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true, - "currency" : { - "value" : "USD" - } - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } + }, + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" + }, + "escrow" : true, + "meta" : { + "globalKey" : "e4bdbb92" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "Entity1" }, - "escrow" : true, "meta" : { - "globalKey" : "e4bdbb92" + "globalKey" : "457308e" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "ExampleCUSIP1", + "meta" : { + "scheme" : "CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { "name" : { "value" : "Entity1" }, "meta" : { "globalKey" : "457308e" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP1", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Entity1" - }, - "meta" : { - "globalKey" : "457308e" - } - } - } ], - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } + } ], + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - }, - "multipleHolderObligation" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "defaultRequirement" : { - "value" : 10000000, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, "unit" : { "currency" : { "value" : "USD" } }, "meta" : { - "globalKey" : "d467e427" + "globalKey" : "48eb1e55" } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "multipleHolderObligation" : true + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "594a6d92", - "externalKey" : "CREDITEVENT" + "globalKey" : "d467e427" } }, - "obligations" : { - "category" : "BorrowedMoney", - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "89059707" + "globalKey" : "594a6d92", + "externalKey" : "CREDITEVENT" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney", + "excluded" : "true", + "othReferenceEntityObligations" : "true" + }, "meta" : { - "globalKey" : "306e2891" + "globalKey" : "89059707" } - }, + } ], "meta" : { - "globalKey" : "9b77990f" + "globalKey" : "306e2891" } + }, + "meta" : { + "globalKey" : "9b77990f" } - }, - "meta" : { - "globalKey" : "8f2c329" } }, "meta" : { "globalKey" : "8f2c329" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-09-20", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-09-20", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "5f6d3466" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "5f6d3466" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "da556d3a" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "5e8e3c1c" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "SPREAD" + "globalKey" : "5f6d3466" } }, "meta" : { - "globalKey" : "d817f43b" + "globalKey" : "5f6d3466" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "d817f43b" + "globalKey" : "5e8e3c1c" + } + }, + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "SPREAD" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2a988367" } - }, + } ], "meta" : { - "globalKey" : "7e37ba65" + "globalKey" : "2a988367" } }, - "meta" : { - "globalKey" : "7e37ba65" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.085, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "32d12e91" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.085, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "dc623dff" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + } ], + "meta" : { + "globalKey" : "dc623dff" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-06-27", + "meta" : { + "globalKey" : "3eb19b", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -622,7 +614,7 @@ } }, "meta" : { - "globalKey" : "23cab6c3" + "globalKey" : "8b7d1c8f" } }, "transferHistory" : [ { @@ -689,6 +681,6 @@ } } ], "meta" : { - "globalKey" : "6f964615" + "globalKey" : "83d4c9c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex01-cdx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex01-cdx.json index 863dd0c734..6477c16396 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex01-cdx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex01-cdx.json @@ -1,220 +1,220 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3ec8d4" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "9c4bc46" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "9c4bc46" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "eded796c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -284,7 +284,7 @@ } }, "meta" : { - "globalKey" : "9fb68874" + "globalKey" : "11f24f28" } }, "transferHistory" : [ { @@ -326,6 +326,6 @@ } } ], "meta" : { - "globalKey" : "7e3df049" + "globalKey" : "ae6754fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex02-iTraxx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex02-iTraxx.json index 3cc5386111..05ebabdf05 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex02-iTraxx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex02-iTraxx.json @@ -1,5 +1,117 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" + } + } + } ], + "meta" : { + "globalKey" : "df6c52dd" + } + } + }, + "meta" : { + "globalKey" : "be0acfde" + } + }, + "meta" : { + "globalKey" : "be0acfde" + } + } + }, + "meta" : { + "globalKey" : "feec8b8a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c1910382", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "20c13e66", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "20c13e66", @@ -39,118 +151,6 @@ "globalKey" : "3ea2c3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], - "meta" : { - "globalKey" : "ae1d399e" - } - } - }, - "meta" : { - "globalKey" : "9b32dffd" - } - }, - "meta" : { - "globalKey" : "9b32dffd" - } - } - }, - "meta" : { - "globalKey" : "307d88d1" - } - }, - "meta" : { - "globalKey" : "307d88d1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c1910382", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20c13e66", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -217,7 +217,7 @@ } }, "meta" : { - "globalKey" : "cc4575d4" + "globalKey" : "16ddbfbb" } }, "transferHistory" : [ { @@ -259,6 +259,6 @@ } } ], "meta" : { - "globalKey" : "bed20988" + "globalKey" : "c97159ef" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex03-iTraxx-contractual-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex03-iTraxx-contractual-supplement.json index 26a21a8800..d16177a6b2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex03-iTraxx-contractual-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex03-iTraxx-contractual-supplement.json @@ -1,5 +1,121 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "indexAnnexDate" : "2005-11-01", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" + } + } + } ], + "meta" : { + "globalKey" : "cf6dff2a" + } + } + }, + "meta" : { + "globalKey" : "3ce2d689" + } + }, + "meta" : { + "globalKey" : "3ce2d689" + } + } + }, + "meta" : { + "globalKey" : "99b16b5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8b68721" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "67920033", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a735be4", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a735be4", @@ -39,122 +155,6 @@ "globalKey" : "3eaac3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "indexAnnexDate" : "2005-11-01", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], - "meta" : { - "globalKey" : "aba314c9" - } - } - }, - "meta" : { - "globalKey" : "760ede0a" - } - }, - "meta" : { - "globalKey" : "760ede0a" - } - } - }, - "meta" : { - "globalKey" : "b14394b6" - } - }, - "meta" : { - "globalKey" : "b14394b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8b68721" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "67920033", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a735be4", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -280,7 +280,7 @@ } } ], "meta" : { - "globalKey" : "9fbdf931" + "globalKey" : "fd64e882" } }, "transferHistory" : [ { @@ -322,6 +322,6 @@ } } ], "meta" : { - "globalKey" : "ff8a5025" + "globalKey" : "d7c96cf6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex04-iBoxx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex04-iBoxx.json index 76fba228e1..1337564da1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex04-iBoxx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex04-iBoxx.json @@ -1,296 +1,317 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-03-23", + "meta" : { + "globalKey" : "3ef0d7" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3ef0d7" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-03-20", + "meta" : { + "globalKey" : "3f18d4" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3f18d4" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-03-23", - "meta" : { - "globalKey" : "3ef0d7" - } - }, - "meta" : { - "globalKey" : "3ef0d7" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-03-20", - "meta" : { - "globalKey" : "3f18d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "3f18d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "e06fa940" - }, - "initialRate" : { - "value" : 0.025, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } - } + "meta" : { + "globalKey" : "e06fa940" }, - "resetDates" : { - "initialFixingDate" : { - "initialFixingDate" : "2014-03-23" + "initialRate" : { + "value" : 0.025, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "finalFixingDate" : { - "unadjustedDate" : "2019-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2727bc7f" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, + "priceType" : "InterestRate" + } + } + }, + "resetDates" : { + "initialFixingDate" : { + "initialFixingDate" : "2014-03-23" + }, + "finalFixingDate" : { + "unadjustedDate" : "2019-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "1a4469d6" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "8f2b235" + "globalKey" : "2727bc7f" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "meta" : { + "globalKey" : "1a4469d6" + } + }, + "meta" : { + "globalKey" : "8f2b235" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "iBoxx EUR Corporates" }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "iBoxx EUR Corporates" - }, - "indexId" : [ { - "value" : "DE0006301161", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - } ], + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "DE0006301161", "meta" : { - "globalKey" : "8b0e5955" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" } - } + }, + "identifierType" : "ISIN" + } ], + "name" : { + "value" : "iBoxx EUR Corporates" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "647c0734" + "globalKey" : "451af30d" } - }, - "meta" : { - "globalKey" : "cd0d51df" } + }, + "meta" : { + "globalKey" : "f86bc4e" } }, "meta" : { - "globalKey" : "6e93ebfc" + "globalKey" : "8c372b43" } - }, - "meta" : { - "globalKey" : "6e93ebfc" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "81716686" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } } }, "meta" : { - "globalKey" : "8feabf86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e9be61f4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -379,7 +400,7 @@ } }, "meta" : { - "globalKey" : "f805e06" + "globalKey" : "febee374" } }, "transferHistory" : [ { @@ -421,6 +442,6 @@ } } ], "meta" : { - "globalKey" : "a30748db" + "globalKey" : "688acb49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex05-SP.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex05-SP.json index b584409ed2..a9b057c7d0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex05-SP.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdindex-ex05-SP.json @@ -1,253 +1,255 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", - "meta" : { - "scheme" : "http://www.newbank.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "269374ff" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "269374ff" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "269374ff" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "269374ff" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26b17cff" + "meta" : { + "globalKey" : "26b17cff" + } + }, + "meta" : { + "globalKey" : "26b17cff" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "26b17cff" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" - } - }, - "indexId" : [ { - "value" : "7FC48VAA0", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" - } - } ], + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1", "meta" : { - "globalKey" : "5dd0ec47" + "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" } }, - "additionalTerm" : [ { - "value" : "Y", + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "7FC48VAA0", "meta" : { - "scheme" : "http://derivserv.dtcc.com/coding-scheme/additional-term" + "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" } - } ] + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "6200a8ff" + "globalKey" : "1996bc01" } }, - "meta" : { - "globalKey" : "604a4bc0" - } + "additionalTerm" : [ { + "value" : "Y", + "meta" : { + "scheme" : "http://derivserv.dtcc.com/coding-scheme/additional-term" + } + } ] + }, + "meta" : { + "globalKey" : "ed763d1b" } }, "meta" : { - "globalKey" : "d6f8d320" + "globalKey" : "ca352f3a" } - }, - "meta" : { - "globalKey" : "d6f8d320" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0085, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + "meta" : { + "globalKey" : "c6e19bda" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0085, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "73313106" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } ], + "meta" : { + "globalKey" : "73313106" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -338,7 +340,7 @@ } }, "meta" : { - "globalKey" : "15f470ef" + "globalKey" : "23d9ad4f" } }, "transferHistory" : [ { @@ -386,6 +388,6 @@ } } ], "meta" : { - "globalKey" : "bec3bc8b" + "globalKey" : "7b0f08eb" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.json index 2ac18d97cc..7b0bcca194 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-ELCDS-ReferenceObligation.json @@ -1,336 +1,329 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c6972c" + } + }, "meta" : { - "scheme" : "TradeRefNbr" + "globalKey" : "25c6972c" } - } - } ], - "meta" : { - "globalKey" : "9b902fd3" - } - } ], - "tradeDate" : { - "value" : "2007-10-31", - "meta" : { - "globalKey" : "3eba9f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c6972c" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-17", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c6972c" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-17", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c39fc" + "meta" : { + "globalKey" : "261c39fc" + } + }, + "meta" : { + "globalKey" : "261c39fc" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "261c39fc" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f78" - }, - "rollConvention" : "25" - }, - "meta" : { - "globalKey" : "17f78" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2007-12-20", - "meta" : { - "globalKey" : "3ecfaa" } }, "meta" : { - "globalKey" : "af3c7811" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f78" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "25" + }, + "meta" : { + "globalKey" : "17f78" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2007-12-20", + "meta" : { + "globalKey" : "3ecfaa" + } + }, + "meta" : { + "globalKey" : "af3c7811" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "BLMBERGID", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/entity-id-Bloomberg" } + } ], + "name" : { + "value" : "CompanyDEF" }, "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" + "globalKey" : "5fb7a8be" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { + "referenceObligation" : [ { + "loan" : { + "identifier" : [ { + "identifier" : { + "value" : "64352VNC1", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + }, { + "identifier" : { + "value" : "ISIN00000000", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { "value" : "BLMBERGID", "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/entity-id-Bloomberg" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg" } - } ], + }, + "identifierType" : "BBGID" + } ], + "borrower" : [ { "name" : { - "value" : "CompanyDEF" + "value" : "BorrowerName1" }, "meta" : { - "globalKey" : "5fb7a8be" + "globalKey" : "238916a4" } - }, - "referenceObligation" : [ { - "loan" : { - "identifier" : [ { - "identifier" : { - "value" : "64352VNC1", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "ISIN00000000", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BLMBERGID", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg" - } - }, - "identifierType" : "BBGID" - } ], - "borrower" : [ { - "name" : { - "value" : "BorrowerName1" - }, - "meta" : { - "globalKey" : "238916a4" - } - }, { - "name" : { - "value" : "BorrowerName2" - }, - "meta" : { - "globalKey" : "238916a5" - } - } ], - "facilityType" : { - "value" : "RevolvingLoan", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/facility-type" - } - }, - "creditAgreementDate" : "2005-11-04" + }, { + "name" : { + "value" : "BorrowerName2" + }, + "meta" : { + "globalKey" : "238916a5" } } ], - "securedList" : false - } - }, - "protectionTerms" : [ { - "obligations" : { - "category" : "Loan", - "fullFaithAndCreditObLiability" : true, - "designatedPriority" : { - "value" : "FirstLienLoan", + "facilityType" : { + "value" : "RevolvingLoan", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/lien" + "scheme" : "http://www.fpml.org/coding-scheme/facility-type" } }, - "cashSettlementOnly" : true, - "deliveryOfCommitments" : true, - "continuity" : true - }, - "meta" : { - "globalKey" : "b8006f0a" + "creditAgreementDate" : "2005-11-04" } } ], - "meta" : { - "globalKey" : "fbf842d9" - } + "securedList" : false + } + }, + "protectionTerms" : [ { + "obligations" : { + "category" : "Loan", + "fullFaithAndCreditObLiability" : true, + "designatedPriority" : { + "value" : "FirstLienLoan", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/lien" + } + }, + "cashSettlementOnly" : true, + "deliveryOfCommitments" : true, + "continuity" : true }, "meta" : { - "globalKey" : "398f3268" + "globalKey" : "b8006f0a" } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ], + "meta" : { + "globalKey" : "fbf842d9" } }, "meta" : { - "globalKey" : "89f88ba2" + "globalKey" : "398f3268" } }, - "meta" : { - "globalKey" : "89f88ba2" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "89f88ba2" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "10b32f9f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } ], + "meta" : { + "globalKey" : "10b32f9f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" + } ], + "meta" : { + "globalKey" : "b894a0b9" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e102e2c", - "externalReference" : "DTCCPty2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e102e2c", + "externalReference" : "DTCCPty2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "TradeRefNbr" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" - } ] - } ] + "meta" : { + "globalKey" : "9b902fd3" + } + } ], + "tradeDate" : { + "value" : "2007-10-31", + "meta" : { + "globalKey" : "3eba9f" + } }, "party" : [ { "partyId" : [ { @@ -444,10 +437,10 @@ } }, "meta" : { - "globalKey" : "95149fc8" + "globalKey" : "89711242" } }, "meta" : { - "globalKey" : "95149fc8" + "globalKey" : "89711242" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket-tranche.json index 409636fd85..ef9f6bbed3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket-tranche.json @@ -1,375 +1,368 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "basketName" : { + "value" : "CDS Basket Sample", "meta" : { - "globalKey" : "0" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "basketId" : [ { + "value" : "BASKET089", "meta" : { - "globalKey" : "7610bbd9" + "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "basketName" : { - "value" : "CDS Basket Sample", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - }, - "basketId" : [ { - "value" : "BASKET089", - "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/coding-scheme/indexId" - } - } ], - "referencePool" : { - "referencePoolItem" : [ { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + } ], + "referencePool" : { + "referencePoolItem" : [ { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Agrium Inc." + }, + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" } - }, { - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - } ] - }, - "tranche" : { - "attachmentPoint" : 0.03, - "exhaustionPoint" : 0.07 + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + }, { + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5a8f0b85" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "d028765" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "5a8f0b85" } }, "meta" : { - "globalKey" : "35fa63e8" + "globalKey" : "d028765" } - }, - "meta" : { - "globalKey" : "35fa63e8" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "35fa63e8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -443,10 +436,10 @@ } }, "meta" : { - "globalKey" : "49bacc4e" + "globalKey" : "fa1b0656" } }, "meta" : { - "globalKey" : "49bacc4e" + "globalKey" : "fa1b0656" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket.json index 3a9680a998..c83808d3d8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-basket.json @@ -1,366 +1,359 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.60 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.60 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } - } - }, { - "constituentWeight" : { - "basketPercentage" : 0.40 + } ], + "name" : { + "value" : "Agrium Inc." }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" + } + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "2bdf39cb" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "12c02dab" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "2bdf39cb" } }, "meta" : { - "globalKey" : "1dfb4eee" + "globalKey" : "12c02dab" } - }, - "meta" : { - "globalKey" : "1dfb4eee" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1dfb4eee" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "96d36572", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "96d36572", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -434,10 +427,10 @@ } }, "meta" : { - "globalKey" : "9d22b8de" + "globalKey" : "c47b8f66" } }, "meta" : { - "globalKey" : "9d22b8de" + "globalKey" : "c47b8f66" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-index-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-index-tranche.json index 3eb519563f..68ecbafb51 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-index-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-index-tranche.json @@ -1,5 +1,116 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_IndexTranche" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + }, + "settledEntityMatrix" : { + "matrixSource" : { + "value" : "NotApplicable" + } + }, + "meta" : { + "globalKey" : "f97d484f" + } + } + }, + "meta" : { + "globalKey" : "aa708910" + } + }, + "meta" : { + "globalKey" : "aa708910" + } + } + }, + "meta" : { + "globalKey" : "39d209bc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c1910382", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "20c13e66", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "20c13e66", @@ -39,117 +150,6 @@ "globalKey" : "3ea2c3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_IndexTranche" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "tranche" : { - "attachmentPoint" : 0.03, - "exhaustionPoint" : 0.07 - }, - "settledEntityMatrix" : { - "matrixSource" : { - "value" : "NotApplicable" - } - }, - "meta" : { - "globalKey" : "df8f82d0" - } - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c1910382", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20c13e66", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -216,7 +216,7 @@ } }, "meta" : { - "globalKey" : "500d9362" + "globalKey" : "2c9bcc9" } }, "transferHistory" : [ { @@ -258,6 +258,6 @@ } } ], "meta" : { - "globalKey" : "df41d416" + "globalKey" : "6cda43fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-ReferenceObligation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-ReferenceObligation.json index 4805ed0a85..ad1aeffc95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-ReferenceObligation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-ReferenceObligation.json @@ -1,437 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb811f13" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "eb811f13" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf57e13" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "ebf57e13" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-10-26", - "meta" : { - "globalKey" : "3eb29a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb811f13" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb811f13" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "0" } + 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[ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : false + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "a02353af" + "globalKey" : "48eb1e55" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "c245b351" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "1a0b8594" + "globalKey" : "a02353af" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "d454d4d2" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "c245b351" } + } ], + "meta" : { + "globalKey" : "1a0b8594" } }, "meta" : { - "globalKey" : "da117ff" + "globalKey" : "d454d4d2" } }, - "meta" : { - "globalKey" : "da117ff" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "da117ff" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e499703a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e499703a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-10-26", + "meta" : { + "globalKey" : "3eb29a" + } }, "party" : [ { "partyId" : [ { @@ -525,10 +518,10 @@ } }, "meta" : { - "globalKey" : "d684f314" + "globalKey" : "b356b902" } }, "meta" : { - "globalKey" : "d684f314" + "globalKey" : "b356b902" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-SecuredList.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-SecuredList.json index 04442ec57d..ddde7cb605 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-SecuredList.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-loan-SecuredList.json @@ -1,407 +1,400 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "eb82a1ba" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "ebf296cd" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf296cd" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2010-03-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d9b0aa" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e207bbe" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "41e7ef00" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "notSubordinated" : true, + "notContingent" : true, + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + 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+ "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-12-01", + "meta" : { + "globalKey" : "3eb301" + } }, "party" : [ { "partyId" : [ { @@ -495,10 +488,10 @@ } }, "meta" : { - "globalKey" : "35d8eb2" + "globalKey" : "238898b2" } }, "meta" : { - "globalKey" : "35d8eb2" + "globalKey" : "238898b2" } } \ No newline at end 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"quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-11-14", + "meta" : { + "globalKey" : "3eb2ce" + } }, "party" : [ { "partyId" : [ { @@ -479,10 +472,10 @@ } }, "meta" : { - "globalKey" : "d7c56f4b" + "globalKey" : "cb4498f9" } }, "meta" : { - "globalKey" : "d7c56f4b" + "globalKey" : "cb4498f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-mortgage-RMBS.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-mortgage-RMBS.json index 55e52a2dab..39195a864d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-mortgage-RMBS.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cds-mortgage-RMBS.json @@ -1,106 +1,41 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", - "meta" : { - "scheme" : "http://www.partyA.com/" - } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", - "meta" : { - "scheme" : "http://www.partyB.com/" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-10-05", - "meta" : { - "globalKey" : "3eb285" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-09-25", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "777d2cc1" + "globalKey" : "da556d3a" } }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "meta" : { + "globalKey" : "b0cdd84f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-09-25", "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { @@ -117,274 +52,332 @@ "globalKey" : "da556d3a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d3" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "177d3" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "firstPaymentDate" : "2006-11-01", - "lastRegularPaymentDate" : "2035-06-01", - "meta" : { - "globalKey" : "7d8d44c" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d3" }, + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "177d3" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "d48d40e0" + "globalKey" : "6c" + } + }, + "firstPaymentDate" : "2006-11-01", + "lastRegularPaymentDate" : "2035-06-01", + "meta" : { + "globalKey" : "7d8d44c" + } + }, + "meta" : { + "globalKey" : "d48d40e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "321f92c1" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 5 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "escrow" : true, + "meta" : { + "globalKey" : "56a" + } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "New Century Home Equity Loan Trust 2005-4" }, "meta" : { - "globalKey" : "0" + "globalKey" : "5df00e1c" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "321f92c1" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 5 - }, - "escrow" : true, - "meta" : { - "globalKey" : "56a" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "New Century Home Equity Loan Trust 2005-4" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "64352VNC1", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } }, - "meta" : { - "globalKey" : "5df00e1c" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "64352VNC1", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "NCHET 2005-4", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - } ], - "securityType" : "Debt" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPayPrincipal" : true, - "distressedRatingsDowngrade" : true, - "writedown" : true, - "meta" : { - "globalKey" : "12a6ef" - } - }, - "floatingAmountEvents" : { - "failureToPayPrincipal" : true, - "interestShortfall" : { - "interestShortfallCap" : "Fixed", - "compounding" : false, - "rateSource" : { - "value" : "USD-LIBOR-BBA" - } - }, - "writedown" : true, - "floatingAmountProvisions" : { - "stepUpProvision" : true - }, - "additionalFixedPayments" : { - "interestShortfallReimbursement" : true, - "principalShortfallReimbursement" : true, - "writedownReimbursement" : true - } - }, - "meta" : { - "globalKey" : "a1d69e19" + "identifierType" : "CUSIP" + }, { + "identifier" : { + "value" : "NCHET 2005-4", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" + } + }, + "identifierType" : "BBGID" + } ], + "securityType" : "Debt" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPayPrincipal" : true, + "distressedRatingsDowngrade" : true, + "writedown" : true, "meta" : { - "globalKey" : "8c3952ac" + "globalKey" : "12a6ef" + } + }, + "floatingAmountEvents" : { + "failureToPayPrincipal" : true, + "interestShortfall" : { + "interestShortfallCap" : "Fixed", + "compounding" : false, + "rateSource" : { + "value" : "USD-LIBOR-BBA" + } + }, + "writedown" : true, + "floatingAmountProvisions" : { + "stepUpProvision" : true + }, + "additionalFixedPayments" : { + "interestShortfallReimbursement" : true, + "principalShortfallReimbursement" : true, + "writedownReimbursement" : true } }, "meta" : { - "globalKey" : "c6780b8c" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "a1d69e19" } + } ], + "meta" : { + "globalKey" : "8c3952ac" } }, "meta" : { - "globalKey" : "75befe49" + "globalKey" : "c6780b8c" } }, - "meta" : { - "globalKey" : "75befe49" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "75befe49" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e3639930" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 15000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a10c1e7e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-10-05", + "meta" : { + "globalKey" : "3eb285" + } }, "party" : [ { "partyId" : [ { @@ -478,10 +471,10 @@ } }, "meta" : { - "globalKey" : "e088f8f9" + "globalKey" : "856807a7" } }, "meta" : { - "globalKey" : "e088f8f9" + "globalKey" : "856807a7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdx-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdx-index-option.json index 222163bec1..eb43373c1c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdx-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/cdx-index-option.json @@ -1,368 +1,367 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-21", - "meta" : { - "globalKey" : "3eb0d5" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-21", "meta" : { "globalKey" : "3eb0d5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "meta" : { - "globalKey" : "3ed994" - } - }, + "meta" : { + "globalKey" : "3eb0d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", "meta" : { "globalKey" : "3ed994" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3ed994" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2006-06-20", - "lastRegularPaymentDate" : "2011-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d8d7ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-06-20", + "lastRegularPaymentDate" : "2011-03-20", "meta" : { - "globalKey" : "5507235c" + "globalKey" : "7d8d7ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "5507235c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "Dow Jones CDX NA IG.2" }, - "indexSeries" : 2, - "indexAnnexDate" : "2005-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "5598e89" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2005-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "d197a909" } - }, - "meta" : { - "globalKey" : "daae824a" } }, "meta" : { - "globalKey" : "a74cb46e" + "globalKey" : "23b9e5e8" } + }, + "meta" : { + "globalKey" : "19996a44" } - }, - "meta" : { - "globalKey" : "e32c3b6f" } }, "meta" : { - "globalKey" : "e32c3b6f" + "globalKey" : "d10b1be3" } - }, - "optionType" : "Payer", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a605bf" - } - }, + } + } + }, + "optionType" : "Payer", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25a605bf" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3a4b88ab" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, - "partialExercise" : { - "notionaReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "integralMultipleAmount" : 1, - "minimumNotionalAmount" : 1 - }, "meta" : { - "globalKey" : "7b5d7149" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0225, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "25a605bf" } }, "meta" : { - "globalKey" : "882599a9" + "globalKey" : "25a605bf" } } ], - "meta" : { - "globalKey" : "882599a9" - } - } - }, - "meta" : { - "globalKey" : "882599a9" - } - }, - "meta" : { - "globalKey" : "882599a9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.019, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, + "partialExercise" : { + "notionaReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "integralMultipleAmount" : 1, + "minimumNotionalAmount" : 1 + }, + "meta" : { + "globalKey" : "7b5d7149" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "strike" : { + "strikePrice" : { + "value" : 0.0225, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "3919ad5d" } } ], "meta" : { - "globalKey" : "4ccb38f0" + "globalKey" : "3919ad5d" } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "3919ad5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.019, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "4ccb38f0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -466,7 +465,7 @@ } }, "meta" : { - "globalKey" : "5d33ce10" + "globalKey" : "ba4624c" } }, "transferHistory" : [ { @@ -533,6 +532,6 @@ } } ], "meta" : { - "globalKey" : "6d3a886a" + "globalKey" : "fd9e6bae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/itraxx-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/itraxx-index-option.json index 19771aeeee..913bb25366 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/itraxx-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/credit/itraxx-index-option.json @@ -1,481 +1,480 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a730c" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a730c" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a730c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec136bcc" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec136bcc" } }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "ec136bcc" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : 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+ "currency" : { + "value" : "USD" } + }, + "meta" : { + "globalKey" : "48eb1e55" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard" ], - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "a7a0f33d" } }, - "obligations" : { - "category" : "BorrowedMoney" + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "ba3951f2" + "globalKey" : "a7a0f33d" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "5b44b858" + "globalKey" : "ba3951f2" } - }, + } ], "meta" : { - "globalKey" : "40197296" + "globalKey" : "1b97badf" } + }, + "meta" : { + "globalKey" : "ea73b761" } - }, - "meta" : { - "globalKey" : "cbc5a0e" } }, "meta" : { - "globalKey" : "cbc5a0e" + "globalKey" : "af4ebae9" } - }, - "optionType" : 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"businessCenter" : { - "value" : "GBLO" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "e5a042f8" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "2d387cf9" } }, "meta" : { - "globalKey" : "57d16e80" + "globalKey" : "2d387cf9" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "57d16e80" + "globalKey" : "e5a042f8" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + } + }, + "meta" : { + "globalKey" : "a121a35b" } - }, + } ], "meta" : { - "globalKey" : "f57bb76a" + "globalKey" : "a121a35b" } }, - "meta" : { - "globalKey" : "f57bb76a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2b922185" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 250000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "65ba978a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 250000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "6ceb3eab" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "65ba978a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "6ceb3eab" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -511,7 +510,7 @@ } } ], "meta" : { - "globalKey" : "a1c17285" + "globalKey" : "6d374060" } }, "transferHistory" : [ { @@ -568,6 +567,6 @@ } } ], "meta" : { - "globalKey" : "f2e50fdd" + "globalKey" : "fe2dd738" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.json index 6a06d236f1..a1454bb984 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex01-american-call-stock-long-form.json @@ -1,224 +1,189 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "baea5814" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "baea5814" + "globalKey" : "aedc32dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "1930298c" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "1930298c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "a80bd90" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -253,30 +218,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -360,7 +355,7 @@ } }, "meta" : { - "globalKey" : "2d73b18a" + "globalKey" : "bdc9d882" } }, "transferHistory" : [ { @@ -411,6 +406,6 @@ } } ], "meta" : { - "globalKey" : "96f189fd" + "globalKey" : "3f8048f5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.json index 85c223b676..3d3dabbd9c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqd-ex04-european-call-index-long-form.json @@ -1,212 +1,160 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyB.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2001-09-04", - "meta" : { - "globalKey" : "3e8a44" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "2c4c46fb" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "valuation" - } - } - }, + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "2c4c46fb" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "valuation" } - }, - "meta" : { - "globalKey" : "38606287" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SSMI", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "name" : "Swiss Market Index", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "ef0bfae3" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2004-12-19", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb46d18b" - } - }, + "meta" : { + "globalKey" : "2c4c46fb" + } + }, + "meta" : { + "globalKey" : "38606287" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2004-12-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb46d18b" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "e3d825ff" - } - }, - "strike" : { - "strikePrice" : { - "value" : 8700, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb46d18b" } }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "eb46d18b" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "e3d825ff" + } + }, + "strike" : { + "strikePrice" : { + "value" : 8700, + "unit" : { + "currency" : { + "value" : "CHF" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e4c22de1" } - }, + } ], "meta" : { - "globalKey" : "fdd47d3d" + "globalKey" : "e4c22de1" } }, - "meta" : { - "globalKey" : "fdd47d3d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 2500, + "meta" : { + "globalKey" : "b903f80" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 2500, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "financialUnit" : "IndexUnit" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -229,36 +177,67 @@ "globalKey" : "293090" } }, - "name" : "Swiss Market Index", + "name" : { + "value" : "Swiss Market Index" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "874dc0da" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "bf6418d4" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyB.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2001-09-04", + "meta" : { + "globalKey" : "3e8a44" + } }, "party" : [ { "partyId" : [ { @@ -342,7 +321,7 @@ } }, "meta" : { - "globalKey" : "d8cef1bd" + "globalKey" : "25e33fd4" } }, "transferHistory" : [ { @@ -393,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "50dc250b" + "globalKey" : "39bd5e22" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.json index 4962b85671..38e566ef99 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex01-single-underlyer-execution-long-form.json @@ -1,501 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { 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"FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "56b8bd08", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + 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: "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - 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"location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "e9391333" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -529,93 +458,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "45a781f4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "f2dd1b2f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -701,10 +689,10 @@ } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.json index e2fc2dc2f8..3a4d270267 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex05-single-stock-plus-fee-long-form.json @@ -1,416 +1,345 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1934", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9591a09e" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5978", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-12", + 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{ - "globalKey" : "ec1fc029" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "23cbca9b" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "TWTA" - } ], - "meta" : { - "globalKey" : "4fc3867", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "b9c8415a", - "externalReference" : "FinalValuationDate" - } - }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "TWTA" + } ], "meta" : { - "globalKey" : "23cbca9b", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "4fc3867", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "b9c8415a", + "externalReference" : "FinalValuationDate" } }, "meta" : { "globalKey" : "23cbca9b", - "externalKey" : "EquityPaymentDate" + "externalKey" : "FinalEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "2881.TW", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Fubon Financial Holdings Co., Ltd." - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTAI", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "294424" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "cde06840" + } + }, + "meta" : { + "globalKey" : "23cbca9b", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + }, + "composite" : { + "determinationMethod" : "CalculationAgent" + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "excessDividendAmount" : "PaidAmount", + "dividendCurrency" : { + "currencyReference" : { + "globalReference" : "14966", + "externalReference" : "ReferenceCurrency" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e924a", + "externalReference" : "TradeDate" } }, - "composite" : { - "determinationMethod" : "CalculationAgent" - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "b9c8415a", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "excessDividendAmount" : "PaidAmount", - "dividendCurrency" : { - "currencyReference" : { - "globalReference" : "14966", - "externalReference" : "ReferenceCurrency" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e924a", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "b9c8415a", - "externalReference" : "FinalValuationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "ExDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "ExDate" + } } - }, - "meta" : { - "globalKey" : "d4616e1e" - } - } ], - "meta" : { - "globalKey" : "88b51a9" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "79367de" } - }, + } ], "meta" : { - "globalKey" : "8bc50728" + "globalKey" : "72a38aa9" } }, - "meta" : { - "globalKey" : "8bc50728" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 18388000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "f29168e8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 18388000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -445,57 +374,122 @@ } }, "meta" : { - "globalKey" : "f2a6c03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "globalKey" : "504bec3" + } + }, { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8280320a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a035f33c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1934", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9591a09e" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5978", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593e6f9" + } + } ], + "tradeDate" : { + "value" : "2002-09-10", + "meta" : { + "globalKey" : "3e924a", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -597,7 +591,7 @@ } }, "meta" : { - "globalKey" : "40fbe378" + "globalKey" : "3aa28966" } }, "transferHistory" : [ { @@ -648,6 +642,6 @@ } } ], "meta" : { - "globalKey" : "29a4facb" + "globalKey" : "17d436b9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.json index 1d413137ed..84c87fa613 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex06-single-index-long-form.json @@ -1,478 +1,388 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "9591991c" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d3", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593db59" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d3", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d3", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "94f84ae8", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d3", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "97fde1d6" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "94f84ae8", + "externalReference" : "EquityPaymentDate" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "EquityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" + "globalKey" : "97fde1d6" } - }, + } ] + }, + "meta" : { + "globalKey" : "97fde1d6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "f0f22bbe", + "externalReference" : "InterestLegPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fc6e6273" + } + }, + "meta" : { + "globalKey" : "f0d0b5c7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2002-10-21", "2004-01-20", "2004-04-22" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "60230b82" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2002-10-21", "2004-01-20", "2004-04-22" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "60230b82", - "externalKey" : "InterimValuationDate" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "47c5c201" + "globalKey" : "60230b82" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "meta" : { + "globalKey" : "60230b82", + "externalKey" : "InterimValuationDate" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "47c5c201" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "97348ac2" + "globalKey" : "25690940" } + }, + "meta" : { + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bc36cf4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "HKHK" - } ], - "meta" : { - "globalKey" : "41619c9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "60230b82", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "bc36cf4", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "41619c9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "25690940", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "97348ac2" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bc36cf4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "HKHK" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "41619c9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "60230b82", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "94f84ae8", - "externalKey" : "EquityPaymentDate" + "globalKey" : "bc36cf4", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", - "meta" : { - "scheme" : "http://www.example.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "2929e8" - } - }, { - "name" : { - "value" : "XMON", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "292b94" - } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "41619c9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "25690940", + "externalReference" : "FinalValuationDate" } }, "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "80a9fbfc" } - } ], + }, "meta" : { - "globalKey" : "30f26bd5" + "globalKey" : "94f84ae8", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "4328d66d" } - }, + } ], "meta" : { - "globalKey" : "59e435d8" + "globalKey" : "49feba86" } }, - "meta" : { - "globalKey" : "59e435d8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 5591987.41, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5591987.41, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "b27cb089" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 5591987.41, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5591987.41, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -516,92 +426,153 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "83c42cbb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "4a0c7ec" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8a708821" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c0cf9ff6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9591991c" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593db59" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -687,10 +658,10 @@ } }, "meta" : { - "globalKey" : "6291d22a" + "globalKey" : "a608d0fd" } }, "meta" : { - "globalKey" : "6291d22a" + "globalKey" : "a608d0fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.json index 1729a1d94a..23319b525a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex09-compounding-swap.json @@ -1,413 +1,351 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3cfd166", - "externalReference" : "BankB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRADEABC", - "meta" : { - "scheme" : "TradeRefNbr" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "f6c3958" - } - } ], - "tradeDate" : { - "value" : "2008-01-01", - "meta" : { - "globalKey" : "3ec041" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebb45b39" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ebb45b39", - "externalKey" : "equityEffectiveDate" + "globalKey" : "24a738" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "meta" : { + "globalKey" : "ebb45b39" + } + }, + "meta" : { + "globalKey" : "ebb45b39", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" + } + }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { - "globalKey" : "ea96b216" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-2" } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "floatingRateCalculation" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "46357da4" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "ebb45b39", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "46357da4" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" - } - }, - "meta" : { - "globalKey" : "ea96b216" - } - }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "adeb53f2", - "externalKey" : "floatingCalculationPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2009-01-01" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - } ] + "globalKey" : "46357da4" }, - "meta" : { - "globalKey" : "25f944ac" + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebb45b39", + "externalReference" : "equityEffectiveDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "adeb53f2", - "externalReference" : "floatingCalculationPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "46357da4" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "8c441872" + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } }, "meta" : { - "globalKey" : "902f1e10" + "globalKey" : "ea96b216" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "adeb53f2", + "externalKey" : "floatingCalculationPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2009-01-01" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25f944ac" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "25f944ac" } - }, + } ] + }, + "meta" : { + "globalKey" : "25f944ac" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "adeb53f2", + "externalReference" : "floatingCalculationPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "8c441872" + } + }, + "meta" : { + "globalKey" : "902f1e10" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2009-01-01" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2009-01-01" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f944ac" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "f85ffd21", - "externalKey" : "equityValuationDates" + "globalKey" : "25f944ac" } }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "meta" : { - "globalKey" : "524b126b" - } + "meta" : { + "globalKey" : "25f944ac" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "f85ffd21", - "externalReference" : "equityValuationDates" - } - }, - "meta" : { - "globalKey" : "7e0a5d94" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "f85ffd21", - "externalReference" : "equityValuationDates" - } - }, - "meta" : { - "globalKey" : "7e0a5d94", - "externalKey" : "finalCashSettlementPaymentDate" - } + "meta" : { + "globalKey" : "f85ffd21", + "externalKey" : "equityValuationDates" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "meta" : { + "globalKey" : "524b126b" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "f85ffd21", + "externalReference" : "equityValuationDates" } }, "meta" : { - "globalKey" : "e5f7e728", - "externalKey" : "CashSettlementPaymentDate" + "globalKey" : "7e0a5d94" } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SPX", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "N", - "meta" : { - "scheme" : "http://www.abc.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "4e" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "ALL", - "meta" : { - "scheme" : "http://www.abc.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "fd81" - } - } ], - "assetClass" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "f85ffd21", + "externalReference" : "equityValuationDates" } }, "meta" : { - "globalKey" : "5824be2" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + "globalKey" : "7e0a5d94", + "externalKey" : "finalCashSettlementPaymentDate" } - }, - "meta" : { - "globalKey" : "c1abe542" } - } ], + }, "meta" : { - "globalKey" : "ab299352" + "globalKey" : "e5f7e728", + "externalKey" : "CashSettlementPaymentDate" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "mutualEarlyTermination" : false - }, - "meta" : { - "globalKey" : "4d5" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "5a33c7a4" } - }, + } ], "meta" : { - "globalKey" : "4678314a" + "globalKey" : "3eb451b4" } }, - "meta" : { - "globalKey" : "4678314a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : false }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4d5" } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + } + }, + "meta" : { + "globalKey" : "422217ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -446,73 +384,121 @@ } }, "meta" : { - "globalKey" : "23dc2851" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "9a1bad0d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519d790" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3cfd165", - "externalReference" : "BankA" + }, + "meta" : { + "globalKey" : "a48d1976" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cfd166", - "externalReference" : "BankB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3cfd165", + "externalReference" : "BankA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cfd166", + "externalReference" : "BankB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3cfd166", + "externalReference" : "BankB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRADEABC", + "meta" : { + "scheme" : "TradeRefNbr" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "f6c3958" + } + } ], + "tradeDate" : { + "value" : "2008-01-01", + "meta" : { + "globalKey" : "3ec041" + } }, "party" : [ { "partyId" : [ { @@ -603,10 +589,10 @@ } }, "meta" : { - "globalKey" : "a62d06f" + "globalKey" : "fd946201" } }, "meta" : { - "globalKey" : "a62d06f" + "globalKey" : "fd946201" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json index b8809d9fff..cdd4897c95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json @@ -1,217 +1,146 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "72ad7ed7", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "124897", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-02", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25dff1ad" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + "globalKey" : "25dff1ad" } - } - } ], - "meta" : { - "globalKey" : "ebf10858" - } - }, { - "issuerReference" : { - "globalReference" : "72ad8d67", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "124897", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25dff92f" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + "globalKey" : "25dff92f" } - } - } ], - "meta" : { - "globalKey" : "ebf17cb7" - } - } ], - "tradeDate" : { - "value" : "2008-06-02", - "meta" : { - "globalKey" : "3ec182" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-02", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25dff1ad" + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { - "globalKey" : "25dff1ad" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "25dff92f" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "25dff92f" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e56d3bea" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "e56d3bea" + "globalKey" : "365baaee" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "e56d3bea" + } + }, + "meta" : { + "globalKey" : "e56d3bea" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-04", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "8c3233ea" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8c3233ea" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "c1e5d4", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "8c3233ea" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e56d3bea" - } - }, - "meta" : { - "globalKey" : "e56d3bea" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18c9" - }, - "rollConvention" : "4" - }, - "periodDatesAdjustments" : { + "meta" : { + "globalKey" : "8c3233ea" + } + }, + "meta" : { + "globalKey" : "c1e5d4", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -224,304 +153,316 @@ "meta" : { "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "e56d3bea" } }, "meta" : { - "globalKey" : "9f0f331b" + "globalKey" : "e56d3bea" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18c9" + }, + "rollConvention" : "4" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } - } ] - }, - "meta" : { - "globalKey" : "9f0f331b", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c1e5d4", - "externalReference" : "interestCalcPeriodDates" - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" } }, "meta" : { - "globalKey" : "8325f327" + "globalKey" : "9f0f331b" } - }, + } ] + }, + "meta" : { + "globalKey" : "9f0f331b", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c1e5d4", + "externalReference" : "interestCalcPeriodDates" + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "e0f9bfca" + "globalKey" : "6c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "8325f327" + } + }, + "meta" : { + "globalKey" : "e0f9bfca" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "relativeDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "3c7152e0" + }, + "businessDayConvention" : "PRECEDING", + "dateRelativeTo" : { + "globalReference" : "9f0f331b", + "externalReference" : "interestLegPaymentDates" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, "meta" : { - "globalKey" : "76108015" + "globalKey" : "3c7152e0", + "externalKey" : "interimValuationDate" } }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "3c7152e0" - }, - "businessDayConvention" : "PRECEDING", - "dateRelativeTo" : { - "globalReference" : "9f0f331b", - "externalReference" : "interestLegPaymentDates" - } - }, + "meta" : { + "globalKey" : "100bc215" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-02", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "3c7152e0", - "externalKey" : "interimValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "100bc215" + "globalKey" : "25fdf9ad" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-02", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf9ad" - } - }, + "meta" : { + "globalKey" : "25fdf9ad", + "externalKey" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "97c97b2f" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "25fdf9ad", - "externalKey" : "finalValuationDate" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "97c97b2f" + "dateRelativeTo" : { + "globalReference" : "3c7152e0", + "externalReference" : "interimValuationDate" } + }, + "meta" : { + "globalKey" : "24ad6927" } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3c7152e0", - "externalReference" : "interimValuationDate" - } - }, - "meta" : { - "globalKey" : "24ad6927" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "25fdf9ad", - "externalReference" : "finalValuationDate" - } - }, + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "fc30271" + "globalKey" : "20a71d" } + }, + "dateRelativeTo" : { + "globalReference" : "25fdf9ad", + "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "fc30271" } - }, - "underlier" : { - "security" : { + } + }, + "meta" : { + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "6ffc8b2a" + } + } ], + "meta" : { + "globalKey" : "a7955020" + } + } + }, + "meta" : { + "globalKey" : "57ef643e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { "identifier" : [ { "identifier" : { - "value" : "PHGe.AS", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "NL0000009322", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "PHILIPS BUY BACK ORD" + "value" : "EUR-EURIBOR-Reuters" }, - "identifierType" : "Name" + "identifierType" : "Other" } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "28fe4f" + "globalKey" : "6c" } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "153ea1e0" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + } } }, "meta" : { - "globalKey" : "85edff0a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - } ], - "meta" : { - "globalKey" : "1c17b280" } } }, "meta" : { - "globalKey" : "938c3b1e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "938c3b1e" + "globalKey" : "81076317" } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + }, { + "price" : [ { + "value" : { + "value" : 10.0, + "unit" : { + "currency" : { + "value" : "EUR" } - } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" }, "meta" : { - "globalKey" : "4f4caf8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 300000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 300000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -564,24 +505,69 @@ } }, "meta" : { - "globalKey" : "6a21aaad" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "72ad7ed7", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3ad9a3ad" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "72ad8d67", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "72ad7ed7", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "72ad8d67", + "externalReference" : "party2" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "72ad7ed7", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "124897", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ebf10858" + } + }, { + "issuerReference" : { + "globalReference" : "72ad8d67", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "124897", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf17cb7" + } + } ], + "tradeDate" : { + "value" : "2008-06-02", + "meta" : { + "globalKey" : "3ec182" + } }, "party" : [ { "partyId" : [ { @@ -623,10 +609,10 @@ } } ], "meta" : { - "globalKey" : "f155d575" + "globalKey" : "d87ab364" } }, "meta" : { - "globalKey" : "f155d575" + "globalKey" : "d87ab364" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json index 1ea6158358..6565d11f0f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex11-on-european-single-stock-underlyer-short-form.json @@ -1,484 +1,413 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3eba58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2007-09-24", - "meta" : { - "globalKey" : "3eba58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3eba58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3eba58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "e03bd13c", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3eba58", + 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[ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2007-10-12", "2007-11-13", "2007-12-12", "2008-01-14", "2008-02-12", "2008-03-12", "2008-04-12", "2008-05-13", "2008-06-12", "2008-07-12", "2008-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - 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"returnType" : "Total" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "25e31503", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 0.01 - } ], - "firstOrSecondPeriod" : "FirstPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "meta" : { + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "7cd9f3" } - } ], + }, "meta" : { - "globalKey" : "5f7e387a" + "globalKey" : "e03bd13c", + "externalKey" : "EquityPaymentDate" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "7dc2a2b6" - } - }, - "meta" : { - "globalKey" : "7dc2a2b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "EUR" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 0.01 + } ], + "firstOrSecondPeriod" : "FirstPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4a4b3d7b" } } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "faf8442" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "77d653fe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -513,80 +442,145 @@ } }, "meta" : { - "globalKey" : "29307078" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "52b7dc88" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d061dc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c73bea9b" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2007-09-24", + "meta" : { + "globalKey" : "3eba58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -670,10 +664,10 @@ } }, "meta" : { - "globalKey" : "f6cf4197" + "globalKey" : "ace08a34" } }, "meta" : { - "globalKey" : "f6cf4197" + "globalKey" : "ace08a34" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json index 2b74db6bac..3fc0684bc8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex12-on-european-index-underlyer-short-form.json @@ -1,284 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "c27138c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "c2787eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b65ddd" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "4fbde895" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "71e7e7d7" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5c33c394" - } - } ] - }, - "meta" : { - "globalKey" : "5c33c394", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3048096c", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -287,390 +136,492 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "4fbde895" } }, "meta" : { - "globalKey" : "d7b4424e" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6e7d8489", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "48e9d409", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - 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: { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -693,30 +644,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c27138c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "c2787eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -784,10 +782,10 @@ } }, "meta" : { - "globalKey" : "b512e701" + "globalKey" : "1abbdee6" } }, "meta" : { - "globalKey" : "b512e701" + "globalKey" : "1abbdee6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json index 2d187627d8..c569493985 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json @@ -1,715 +1,656 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "657a51cd", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "ee0abbb5" - } - }, { - "issuerReference" : { - "globalReference" : "af987d91", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - 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"DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-03", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, - "meta" : { - "globalKey" : "bce92875" - } - }, - "meta" : { - "globalKey" : "bce92875", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-04", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-03", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "d61e0a94" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "d61e0a94", - "externalKey" : "interestTerminationDate" + "globalKey" : "212500d8" } }, "meta" : { - "globalKey" : "ea5ee09", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bce92875", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "d61e0a94", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18c6" - }, - "rollConvention" : "1" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - } - }, - "meta" : { - "globalKey" : "43633b55" - } - } ] - }, - "meta" : { - "globalKey" : "43633b55", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "bce92875" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ea5ee09", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "15aa8906" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "bce92875", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-04", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" + "value" : "USNY" } ], "meta" : { - "globalKey" : "21479e" + "globalKey" : "27e4e9" } }, - "dateRelativeTo" : { - "globalReference" : "43633b55", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "212500d8" } }, "meta" : { - "globalKey" : "dd4d96a1" + "globalKey" : "d61e0a94" } }, "meta" : { - "globalKey" : "ed02db71" + "globalKey" : "d61e0a94", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "AsSpecifiedInMasterConfirmation", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "b97ae847", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "d2afca66", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18c6" - }, - "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "ea5ee09", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "2355f9" - } - }, - "meta" : { - "globalKey" : "212071e8" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bce92875", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "3f44699", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "84c9212f" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-02", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "KRSE" - } ], - "meta" : { - "globalKey" : "2355f9" - } - }, - "meta" : { - "globalKey" : "212071e8" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "d2afca66" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "d61e0a94", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "d2afca66", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "b4740db0" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18c6" + }, + "rollConvention" : "1" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } } + }, + "meta" : { + "globalKey" : "43633b55" + } + } ] + }, + "meta" : { + "globalKey" : "43633b55", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ea5ee09", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "15aa8906" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "43633b55", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "dd4d96a1" + } + }, + "meta" : { + "globalKey" : "ed02db71" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "AsSpecifiedInMasterConfirmation", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "3fdc63f3" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "3f44699", - "externalReference" : "interimValuationDate" + "globalReference" : "b97ae847", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "3fdc63f3" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "2af1fd3d" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "d2afca66", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "2af1fd3d" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18c6" + }, + "rollConvention" : "1" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + } ], + "meta" : { + "globalKey" : "2355f9" + } + }, + "meta" : { + "globalKey" : "212071e8" } } }, "meta" : { - "globalKey" : "aa29b36a" + "globalKey" : "3f44699", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "005430.KS", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "KR7005430004", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "KOREA AIR SVC ORDINARY" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKRX", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "84c9212f" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-02", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "KRSE" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "2355f9" } }, "meta" : { - "globalKey" : "292479" + "globalKey" : "212071e8" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "d2afca66" + } }, "meta" : { - "globalKey" : "30985753" + "globalKey" : "d2afca66", + "externalKey" : "finalValuationDate" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "KRW", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "b4740db0" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "123d0" - } - }, - "crossCurrency" : { - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "KRW=", - "meta" : { - "scheme" : "http://www.example.com/rate-source-page-1-0" - } - } - } + "globalKey" : "3fdc63f3" }, - "fixingTime" : { - "hourMinuteTime" : "14:45:00", - "businessCenter" : { - "value" : "KRSE" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } + }, + "dateRelativeTo" : { + "globalReference" : "3f44699", + "externalReference" : "interimValuationDate" } + }, + "meta" : { + "globalKey" : "3fdc63f3" } } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "SharePayment" - } + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "2af1fd3d" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "d2afca66", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "2af1fd3d" } - }, - "meta" : { - "globalKey" : "e70a6e12", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "2df4df01" + "globalKey" : "aa29b36a" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4a2dd698" - } - }, - "meta" : { - "globalKey" : "4a2dd698" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "KRW", + "meta" : { + "globalKey" : "123d0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" + "crossCurrency" : { + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" + }, + "sourcePage" : { + "value" : "KRW=", + "meta" : { + "scheme" : "http://www.example.com/rate-source-page-1-0" + } + } + } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "fixingTime" : { + "hourMinuteTime" : "14:45:00", + "businessCenter" : { + "value" : "KRSE" } } + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "SharePayment" + } + } } ] } + }, + "meta" : { + "globalKey" : "6c12d205", + "externalKey" : "returnLeg" } + } ], + "meta" : { + "globalKey" : "194ff0b4" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "118718cb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "fc882901" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 5, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } } - } ], - "quantity" : [ { - "value" : { - "value" : 60000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ea14d725" + } + }, { + "price" : [ { + "value" : { + "value" : 5, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 60000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 300000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -752,31 +693,76 @@ } }, "meta" : { - "globalKey" : "df731447" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "af987d91", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4591e301" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "657a51cd", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "af987d91", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "657a51cd", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "af987d91", + "externalReference" : "party2" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "657a51cd", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "af987d91", - "externalReference" : "party2" - } ] + "meta" : { + "globalKey" : "ee0abbb5" + } + }, { + "issuerReference" : { + "globalReference" : "af987d91", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -860,10 +846,10 @@ } }, "meta" : { - "globalKey" : "759770ac" + "globalKey" : "5abb2e4f" } }, "meta" : { - "globalKey" : "759770ac" + "globalKey" : "5abb2e4f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json index 3da4189186..ad7db49ef2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex14-european-interdealer-share-swap-short-form.json @@ -1,276 +1,125 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2f1783b5", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "13091112" - } - }, { - "issuerReference" : { - "globalReference" : "60beee7a", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "13098571" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "c71e4c53" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "c71e4c53", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "c71e4c53" + } + }, + "meta" : { + "globalKey" : "c71e4c53", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "ec0c393" + } + }, + "meta" : { + "globalKey" : "ec0c393" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b65ddd" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "ca88afa1" - } - }, - "meta" : { - "globalKey" : "ca88afa1", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "db9ea582", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "ca88afa1" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ca88afa1", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "db9ea582", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "ca88afa1", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -279,384 +128,476 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "bbe4385d" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "c71e4c53", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ec0c393", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "db9ea582", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "ca88afa1", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1197aaa5", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "ffd7d77a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "ec0c393", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "fa823a23" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "db9ea582", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "bbe4385d" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1197aaa5", - "externalReference" : "interimValuationDate" + "globalReference" : "c71e4c53", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "ec0c393", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1197aaa5", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "ffd7d77a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "290e2b" + "globalKey" : "211d10fc" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "ec0c393" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "ec0c393", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "currencyReference" : { - "externalReference" : "equityIssuerPaymentCurrency" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "fa823a23" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dateRelativeTo" : { + "globalReference" : "1197aaa5", + "externalReference" : "interimValuationDate" + } + }, + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "ec0c393", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "89639299", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "7c93909c" + "globalKey" : "35da2aea" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "currencyReference" : { + "externalReference" : "equityIssuerPaymentCurrency" + } + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } + }, + "meta" : { + "globalKey" : "28a4e0a8", + "externalKey" : "returnLeg" } - }, + } ], "meta" : { - "globalKey" : "c781d8f6" + "globalKey" : "cb5e696b" } - }, - "meta" : { - "globalKey" : "c781d8f6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "9c3f445" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4f4caf8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "globalKey" : "81076317" + } + }, { + "price" : [ { + "value" : { + "value" : 10, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -699,24 +640,69 @@ } }, "meta" : { - "globalKey" : "ec0a2c08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "60beee7a", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "99662306" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2f1783b5", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "60beee7a", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2f1783b5", + "externalReference" : "partyA" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2f1783b5", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "13091112" + } + }, { + "issuerReference" : { + "globalReference" : "60beee7a", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "13098571" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -794,10 +780,10 @@ } }, "meta" : { - "globalKey" : "bbf91715" + "globalKey" : "e3e0ac25" } }, "meta" : { - "globalKey" : "bbf91715" + "globalKey" : "e3e0ac25" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json index f4817ea6cf..c584eb8c2b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json @@ -1,286 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "4d37991f" - } - }, { - "issuerReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "8848551", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "34547413" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "34547413", + "externalKey" : "equityEffectiveDate" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "c16c2c20" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "34547413" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "34547413", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, - "meta" : { - "globalKey" : "ec0c393" - } + "meta" : { + "globalKey" : "ec0c393" + } + }, + "meta" : { + "globalKey" : "ec0c393" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-13", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "3b28889f" - } - }, - "meta" : { - "globalKey" : "3b28889f", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-13", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "16cca080", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "3b28889f" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3b28889f", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "16cca080", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "3b28889f", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -289,360 +136,452 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "3a50ba7" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : 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{ + "globalKey" : "16cca080", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3b28889f", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1197aaa5", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "ffd7d77a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - 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"businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" + } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "16cca080", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "3a50ba7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "AgreedInitialPrice", + "meta" : { + "globalKey" : "643bb87" + } + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1197aaa5", - "externalReference" : "interimValuationDate" + "globalReference" : "34547413", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "ec0c393", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1197aaa5", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "ffd7d77a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "290e2b" + "globalKey" : "211d10fc" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "ec0c393" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "ec0c393", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "fa823a23" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1197aaa5", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "determinationMethod" : "IssuerPaymentCurrency" + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "ec0c393", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "3c8d6211", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "21f32bb8" + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "determinationMethod" : "IssuerPaymentCurrency" + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] } + }, + "meta" : { + "globalKey" : "7093aa62", + "externalKey" : "returnLeg" } - }, + } ], "meta" : { - "globalKey" : "881995d2" + "globalKey" : "e80f5fc9" } - }, - "meta" : { - "globalKey" : "881995d2" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "3ba5fc63" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "30213f06" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + }, + "meta" : { + "globalKey" : "a8767f1b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -685,24 +624,71 @@ } }, "meta" : { - "globalKey" : "7be45ecf" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "9b7ec00d" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "4d37991f" + } + }, { + "issuerReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "8848551", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + }, + "version" : 1 } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c16c2c20" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -780,10 +766,10 @@ } }, "meta" : { - "globalKey" : "50687d7f" + "globalKey" : "8116fedf" } }, "meta" : { - "globalKey" : "50687d7f" + "globalKey" : "8116fedf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json index a4d2410340..48f693b448 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json @@ -1,286 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - }, - "version" : 2 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "4d379920" - } - }, { - "issuerReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "8848551", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "34547413" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "34547413", + "externalKey" : "equityEffectiveDate" } }, - "version" : 2 - } ], - "meta" : { - "globalKey" : "c16c2c21" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "34547413" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "34547413", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, - "meta" : { - "globalKey" : "ec0c393" - } + "meta" : { + "globalKey" : "ec0c393" + } + }, + "meta" : { + "globalKey" : "ec0c393" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-13", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "3b28889f" - } - }, - "meta" : { - "globalKey" : "3b28889f", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-13", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "16cca080", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3b28889f", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "3b28889f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "16cca080", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "3b28889f", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -289,411 +136,503 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "3a50ba7" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "AgreedInitialPrice", - "meta" : { - "globalKey" : "643bb87" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "34547413", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ec0c393", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "16cca080", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3b28889f", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1197aaa5", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "ffd7d77a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "ec0c393", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "fa823a23" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" + } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "16cca080", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "3a50ba7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "AgreedInitialPrice", + "meta" : { + "globalKey" : "643bb87" + } + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1197aaa5", - "externalReference" : "interimValuationDate" + "globalReference" : "34547413", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "ec0c393", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1197aaa5", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "ffd7d77a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "290e2b" + "globalKey" : "211d10fc" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "ec0c393" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "ec0c393", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "fa823a23" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1197aaa5", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "determinationMethod" : "IssuerPaymentCurrency" + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "ec0c393", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "3c8d6211", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "21f32bb8" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "881995d2" - } - }, - "meta" : { - "globalKey" : "881995d2" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "determinationMethod" : "IssuerPaymentCurrency" + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "7093aa62", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "e80f5fc9" + } + } + }, + "meta" : { + "globalKey" : "3ba5fc63" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a8b3bfc6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "globalKey" : "a3c8d65b" + } + }, { + "price" : [ { + "value" : { + "value" : 10, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -736,24 +675,71 @@ } }, "meta" : { - "globalKey" : "ec0a2c08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "99662306" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } + }, + "version" : 2 } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "4d379920" + } + }, { + "issuerReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "8848551", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "c16c2c21" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -831,10 +817,10 @@ } }, "meta" : { - "globalKey" : "d292f996" + "globalKey" : "a8e7b918" } }, "meta" : { - "globalKey" : "d292f996" + "globalKey" : "a8e7b918" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex17-cfd.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex17-cfd.json index 4587426749..858ce0e3f0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex17-cfd.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex17-cfd.json @@ -1,169 +1,220 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e37105", - "externalReference" : "PRIMARY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CFD123456789", - "meta" : { - "scheme" : "http://www.primarybank.com/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EQCFD", + "meta" : { + "scheme" : "http://www.primarybank.com/productType" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "ff26c7f2" - } - }, { - "issuerReference" : { - "globalReference" : "858ff69b", - "externalReference" : "CROSS" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CFD123456789", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2601cd72" + } + }, "meta" : { - "scheme" : "http://www.crossbank.com/tradeId" + "globalKey" : "2601cd72", + "externalKey" : "EffectiveDate__CFD123456789" } - } - } ], - "meta" : { - "globalKey" : "db6f30f4" - } - } ], - "tradeDate" : { - "value" : "2009-09-30", - "meta" : { - "globalKey" : "3eca5e", - "externalKey" : "TradeDate__CFD123456789" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EQCFD", - "meta" : { - "scheme" : "http://www.primarybank.com/productType" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "272e06ec" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2601cd72" + }, + "meta" : { + "globalKey" : "272e06ec", + "externalKey" : "TerminationDate__CFD123456789" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { 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"DOCUMENT", - "value" : "quantity-2" + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "2601cd72" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "2601cd72" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "0" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "272e06ec" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "272e06ec" + } + }, + "meta" : { + "globalKey" : "2dccd0ba", + "externalKey" : "InterestLegPeriodDates-1" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2019-10-01" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "NYSE" + } ], "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "24cd5d" } }, "meta" : { - "globalKey" : "2601cd72" + "globalKey" : "2121e94c" } }, "meta" : { - "globalKey" : "2601cd72" + "globalKey" : "aa64376b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "aa64376b" + } + } ] + }, + "meta" : { + "globalKey" : "aa64376b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2dccd0ba", + "externalReference" : "InterestLegPeriodDates-1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "5798214f" + } + }, + "meta" : { + "globalKey" : "55fac273" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : false, + "meta" : { + "globalKey" : "4d5" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "3a4b88ab" } }, "meta" : { @@ -171,285 +222,168 @@ } }, "meta" : { - "globalKey" : "2dccd0ba", - "externalKey" : "InterestLegPeriodDates-1" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2019-10-01" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "NYSE" - } ], - "meta" : { - "globalKey" : "24cd5d" - } - }, - "meta" : { - "globalKey" : "2121e94c" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } - } ] - }, - "meta" : { - "globalKey" : "aa64376b" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2dccd0ba", - "externalReference" : "InterestLegPeriodDates-1" - }, - 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"paymentDates" : { + "paymentDateSchedule" : { + "finalPaymentDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "NYSE" + } ], "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "24cd5d" } }, "meta" : { - "globalKey" : "272e06ec", - "externalKey" : "FinalValuationDate__CFD123456789" + "globalKey" : "2121e94c" } }, "meta" : { - "globalKey" : "98f9886e" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "NYSE" - } ], - "meta" : { - "globalKey" : "24cd5d" - } - }, - "meta" : { - "globalKey" : "2121e94c" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } + "globalKey" : "aa64376b" } }, "meta" : { "globalKey" : "aa64376b" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XYZ.N", - "meta" : { - "scheme" : "RIC" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NYSE", - "meta" : { - "scheme" : "MARKET_ID" - } - }, - "meta" : { - "globalKey" : "24cd5d" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "95805744" + } + }, + "meta" : { + "globalKey" : "aa64376b" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1.0 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "dividendCurrency" : { + "currency" : { + "value" : "USD" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3eca5e", + "externalReference" : "TradeDate__CFD123456789" } - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1.0 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "dividendCurrency" : { - "currency" : { - "value" : "USD" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3eca5e", - "externalReference" : "TradeDate__CFD123456789" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "272e06ec", - "externalReference" : "FinalValuationDate__CFD123456789" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "AdHocDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "272e06ec", + "externalReference" : "FinalValuationDate__CFD123456789" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "AdHocDate" + } } - }, - "meta" : { - "globalKey" : "2451ced8", - "externalKey" : "EQ__CFD123456789" - } - } ], - "meta" : { - "globalKey" : "d93a7145" + } ] } + }, + "meta" : { + "globalKey" : "d1715b14", + "externalKey" : "EQ__CFD123456789" } - }, + } ], "meta" : { - "globalKey" : "70f7e370" + "globalKey" : "da80b1c1" } - }, - "meta" : { - "globalKey" : "70f7e370" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 80.000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 48000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "2933cdac" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 80.000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 48000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 3840000.000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 3840000.000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -479,79 +413,144 @@ } }, "meta" : { - "globalKey" : "6633c79" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 125.0, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3840000.000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "globalKey" : "de48fd31" + } + }, { + "price" : [ { + "value" : { + "value" : 125.0, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3840000.000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8adb831c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "858ff69b", - "externalReference" : "CROSS" + }, + "meta" : { + "globalKey" : "5ea5ab6a" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e37105", - "externalReference" : "PRIMARY" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "858ff69b", + "externalReference" : "CROSS" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e37105", + "externalReference" : "PRIMARY" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e37105", + "externalReference" : "PRIMARY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CFD123456789", + "meta" : { + "scheme" : "http://www.primarybank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ff26c7f2" + } + }, { + "issuerReference" : { + "globalReference" : "858ff69b", + "externalReference" : "CROSS" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CFD123456789", + "meta" : { + "scheme" : "http://www.crossbank.com/tradeId" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "db6f30f4" + } + } ], + "tradeDate" : { + "value" : "2009-09-30", + "meta" : { + "globalKey" : "3eca5e", + "externalKey" : "TradeDate__CFD123456789" + } }, "party" : [ { "partyId" : [ { @@ -612,10 +611,10 @@ } }, "meta" : { - "globalKey" : "6781c9c" + "globalKey" : "27d665fc" } }, "meta" : { - "globalKey" : "6781c9c" + "globalKey" : "27d665fc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json index 08017654e8..6e8cdab704 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json @@ -1,498 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebdafec4" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/tradeRefNbr" + "globalKey" : "ebdafec4", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "29b63a54" - } - }, { - "issuerReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "ea96b216" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2009-09-10", - "meta" : { - "globalKey" : "3eca4a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebdafec4" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ebdafec4", - "externalKey" : "equityEffectiveDate" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" } - }, - "meta" : { - "globalKey" : "ea96b216" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "54b65ddd" + "globalKey" : "46357da4" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebdafec4", + "externalReference" : "equityEffectiveDate" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "floatingRateCalculation" - } + "meta" : { + "globalKey" : "46357da4" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "46357da4" - }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "meta" : { + "globalKey" : "adeb53f2", + "externalKey" : "floatingCalculationPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2009-10-12", "2009-11-13", "2009-12-12", "2010-01-14", "2010-02-12", "2010-03-12", "2010-04-12", "2010-05-13", "2010-06-02", "2010-07-12", "2010-08-12" ], + "dateAdjustments" : { "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "ebdafec4", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "46357da4" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ea96b216" + "globalKey" : "3122c5b6" } }, "meta" : { - "globalKey" : "adeb53f2", - "externalKey" : "floatingCalculationPeriodDates" + "globalKey" : "3122c5b6" } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2009-10-12", "2009-11-13", "2009-12-12", "2010-01-14", "2010-02-12", "2010-03-12", "2010-04-12", "2010-05-13", "2010-06-02", "2010-07-12", "2010-08-12" ], + } ] + }, + "meta" : { + "globalKey" : "3122c5b6" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "adeb53f2", + "externalReference" : "floatingCalculationPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "8c441872" + } + }, + "meta" : { + "globalKey" : "8f72839a" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-12", "dateAdjustments" : { - "businessDayConvention" : "NONE", + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "3122c5b6" + "globalKey" : "2601e037" } }, "meta" : { - "globalKey" : "3122c5b6" + "globalKey" : "2601e037" } - } ] - }, - "meta" : { - "globalKey" : "3122c5b6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "adeb53f2", - "externalReference" : "floatingCalculationPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "8c441872" - } - }, - "meta" : { - "globalKey" : "8f72839a" - } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2601e037" - } - }, - "meta" : { - "globalKey" : "2601e037" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-08-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261e07b7" - } - }, + }, + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-08-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "261e07b7" + "globalKey" : "3a4b88ab" } }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "17810" - }, - "rollConvention" : "30" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5", - "externalKey" : "businessCenters" - } - }, - "meta" : { - "globalKey" : "7b765912" - } + "meta" : { + "globalKey" : "261e07b7" } }, "meta" : { - "globalKey" : "84d61122" + "globalKey" : "261e07b7" } }, - "meta" : { - "globalKey" : "3edd7657", - "externalKey" : "equityValuationDates" - } - }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "meta" : { - "globalKey" : "524b126b" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "3edd7657", - "externalReference" : "equityValuationDates" - } - }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "7e0a5d94" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "globalKey" : "17810" + }, + "rollConvention" : "30" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "3edd7657", - "externalReference" : "equityValuationDates" + "globalKey" : "4f5ffd5", + "externalKey" : "businessCenters" } }, "meta" : { - "globalKey" : "7e0a5d94", - "externalKey" : "finalCashSettlementPaymentDate" + "globalKey" : "7b765912" } } }, "meta" : { - "globalKey" : "e5f7e728", - "externalKey" : "CashSettlementPaymentDate" + "globalKey" : "84d61122" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "ALL", - "meta" : { - "scheme" : "http://www.example.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "fd81" - } + "meta" : { + "globalKey" : "3edd7657", + "externalKey" : "equityValuationDates" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "meta" : { + "globalKey" : "524b126b" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" }, - "securityType" : "Equity" + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "3edd7657", + "externalReference" : "equityValuationDates" + } }, "meta" : { - "globalKey" : "5db0e57b" + "globalKey" : "7e0a5d94" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 0.85, - "cashRatio" : 2.5, - "nonCashRatio" : 2.5 - } ], - "dividendCurrency" : { - "determinationMethod" : "HedgeExecution" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" }, - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "DividendValuationDate" - } - } - } ] + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "3edd7657", + "externalReference" : "equityValuationDates" + } + }, + "meta" : { + "globalKey" : "7e0a5d94", + "externalKey" : "finalCashSettlementPaymentDate" } - }, - "meta" : { - "globalKey" : "c95568bb" } - } ], + }, "meta" : { - "globalKey" : "3c2b1c61" + "globalKey" : "e5f7e728", + "externalKey" : "CashSettlementPaymentDate" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "mutualEarlyTermination" : true - }, - "meta" : { - "globalKey" : "4cf" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 0.85, + "cashRatio" : 2.5, + "nonCashRatio" : 2.5 + } ], + "dividendCurrency" : { + "determinationMethod" : "HedgeExecution" + }, + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "DividendValuationDate" + } + } + } ] + } + }, + "meta" : { + "globalKey" : "5ab3f540" } - }, + } ], "meta" : { - "globalKey" : "b13ec26c" + "globalKey" : "1280e066" } }, - "meta" : { - "globalKey" : "b13ec26c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : true }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4cf" } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "9e5d2d31" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -522,86 +457,150 @@ } }, "meta" : { - "globalKey" : "de26f603" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "939fd86d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519ea55" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a48f5f51" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "http://www.partyA.com/tradeRefNbr" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "d04eb192", - "externalReference" : "party2" - } ] + "meta" : { + "globalKey" : "29b63a54" + } + }, { + "issuerReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2009-09-10", + "meta" : { + "globalKey" : "3eca4a" + } }, "party" : [ { "partyId" : [ { @@ -701,10 +700,10 @@ } }, "meta" : { - "globalKey" : "811f2478" + "globalKey" : "76ebe589" } }, "meta" : { - "globalKey" : "811f2478" + "globalKey" : "76ebe589" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json index c574d90b1f..c0f8a31f66 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json @@ -1,504 +1,439 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", - "meta" : { - "scheme" : "http://www.partyA.com/tradeRefNbr" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "29b63a54" - } - }, { - "issuerReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf906c4" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "ebf906c4", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2010-09-10", - "meta" : { - "globalKey" : "3ed24a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebf906c4" - } + }, + "meta" : { + 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"globalReference" : "d04eb192", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a48f5f51" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "http://www.partyA.com/tradeRefNbr" + } + } + } ], + "meta" : { + "globalKey" : "29b63a54" + } + }, { + "issuerReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2010-09-10", + "meta" : { + "globalKey" : "3ed24a" + } }, "party" : [ { "partyId" : [ { @@ -703,10 +702,10 @@ } }, "meta" : { - "globalKey" : "10e889d2" + "globalKey" : "64650a61" } }, "meta" : { - "globalKey" : "10e889d2" + "globalKey" : "64650a61" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex02-single-equity.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex02-single-equity.json index d44105aa9c..7b0c6ebd95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex02-single-equity.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex02-single-equity.json @@ -1,512 +1,441 @@ { 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"trs-eq1-equityLeg" } - }, + } ], "meta" : { - "globalKey" : "66467ec6" + "globalKey" : "f0e5a9ea" } - }, - "meta" : { - "globalKey" : "66467ec6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "5edb0053" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -541,86 +470,151 @@ } }, "meta" : { - "globalKey" : "769f4935" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 19785157.16, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "1c5c637b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 19785157.16, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "896bf87b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "fa09d0eb" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "297b834e" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "eb1954ba" + } + } ], + "tradeDate" : { + "value" : "2004-10-10", + "meta" : { + "globalKey" : "3ea28a", + "externalKey" : "trs-eq1-TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -712,11 +706,11 @@ } }, "meta" : { - "globalKey" : "1d467204" + "globalKey" : "e5241ba5" } }, "meta" : { - "globalKey" : "1d467204", + "globalKey" : "e5241ba5", "externalKey" : "trs-eq1-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json index 30240edd16..0f06f3405c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json @@ -1,496 +1,425 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - 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"Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "edf02740", - "externalReference" : "TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "SharePayment" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "edf02740", + "externalReference" : "TerminationDate" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "SharePayment" + } } - }, - "meta" : { - "globalKey" : "84f0bcca" - } - } ], - "meta" : { - "globalKey" : "54eede91" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "93b9cf5" } - }, + } ], "meta" : { - "globalKey" : "fc04008d" + "globalKey" : "a84756fc" } }, - "meta" : { - "globalKey" : "fc04008d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "f166e1b8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -524,93 +453,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "6bddfd10" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "49ccc93" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -696,10 +684,10 @@ } }, "meta" : { - "globalKey" : "25dc6f29" + "globalKey" : "88585d77" } }, "meta" : { - "globalKey" : "25dc6f29" + "globalKey" : "88585d77" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex04-index-ios.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex04-index-ios.json index 8d056c8069..aa85417a61 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex04-index-ios.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/equity/trs-ex04-index-ios.json @@ -1,218 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5059cd7a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-01", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "297b834e" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-01", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-05-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "261b36f7" + } + }, "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + "globalKey" : "261b36f7" } - } - } ], - "meta" : { - "globalKey" : "eb1954ba" - } - } ], - "tradeDate" : { - "value" : "2011-03-23", - "meta" : { - "globalKey" : "3ed8d7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2038-01-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "296055f7" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-05-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + }, + "meta" : { + "globalKey" : "296055f7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "returnNotional" + }, + "meta" : { + "globalKey" : "17f35490" + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "73f59b92" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "261b36f7", + "externalReference" : "initialValuationDate" } }, "meta" : { - "globalKey" : "261b36f7" + "globalKey" : "73f59b92" } }, - "meta" : { - "globalKey" : "261b36f7" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2038-01-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "b635d2a0" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "296055f7", + "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "b635d2a0" } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "69376ece", + "externalKey" : "interestCalculationDates" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "returnNotional" + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "74be7496" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "6d1b00ab", + "externalReference" : "returnPaymentDates" + } }, "meta" : { - "globalKey" : "17f35490" + "globalKey" : "74be7496" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "73f59b92" - }, + } ] + }, + "meta" : { + "globalKey" : "74be7496" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "dd77575f", + "externalReference" : "interimValuationDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "190a0f0f" + } + }, + "meta" : { + "globalKey" : "94ef5b0" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "returnNotional" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-05-12", + "dateAdjustments" : { "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "261b36f7", - "externalReference" : "initialValuationDate" - } - }, - "meta" : { - "globalKey" : "73f59b92" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "296055f7", - "externalReference" : "finalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "b635d2a0" + "globalKey" : "261b36f7" } }, "meta" : { - "globalKey" : "69376ece", - "externalKey" : "interestCalculationDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "74be7496" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6d1b00ab", - "externalReference" : "returnPaymentDates" - } - }, - "meta" : { - "globalKey" : "74be7496" - } - } ] - }, - "meta" : { - "globalKey" : "74be7496" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "dd77575f", - "externalReference" : "interimValuationDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "190a0f0f" + "globalKey" : "261b36f7", + "externalKey" : "initialValuationDate" } }, "meta" : { - "globalKey" : "94ef5b0" + "globalKey" : "f881ef6c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "returnNotional" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDate" : { + "periodicDates" : { + "startDate" : { "adjustableDate" : { - "unadjustedDate" : "2010-05-12", + "unadjustedDate" : "2010-06-12", "dateAdjustments" : { "businessDayConvention" : "NotApplicable", "meta" : { @@ -220,85 +205,16 @@ } }, "meta" : { - "globalKey" : "261b36f7" - } - }, - "meta" : { - "globalKey" : "261b36f7", - "externalKey" : "initialValuationDate" - } - }, - "meta" : { - "globalKey" : "f881ef6c" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c2737" - } - }, - "meta" : { - "globalKey" : "261c2737" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-12-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "294ca0b7" - } - }, - "meta" : { - "globalKey" : "294ca0b7" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d4" - }, - "rollConvention" : "12" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } + "globalKey" : "261c2737" } }, "meta" : { - "globalKey" : "dd77575f", - "externalKey" : "interimValuationDates" + "globalKey" : "261c2737" } }, - "meta" : { - "globalKey" : "4418c50a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDate" : { + "endDate" : { "adjustableDate" : { - "unadjustedDate" : "2038-01-12", + "unadjustedDate" : "2037-12-12", "dateAdjustments" : { "businessDayConvention" : "NotApplicable", "meta" : { @@ -306,143 +222,164 @@ } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "294ca0b7" } }, "meta" : { - "globalKey" : "296055f7", - "externalKey" : "finalValuationDate" + "globalKey" : "294ca0b7" } }, - "meta" : { - "globalKey" : "fbc70e6c" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "cc60294" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd77575f", - "externalReference" : "interimValuationDates" - } + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d4" }, + "rollConvention" : "12" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "cc60294" + "globalKey" : "3a4b88ab" } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "42382717" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "externalReference" : "returnBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "296055f7", - "externalReference" : "finalValuationDate" - } - }, + } + }, + "meta" : { + "globalKey" : "dd77575f", + "externalKey" : "interimValuationDates" + } + }, + "meta" : { + "globalKey" : "4418c50a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2038-01-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "42382717" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "296055f7" } }, "meta" : { - "globalKey" : "6d1b00ab", - "externalKey" : "returnPaymentDates" + "globalKey" : "296055f7", + "externalKey" : "finalValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "IOS.FN30.650.67", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-name-RED" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "4A845HAA3", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-RED-pair" - } - }, - "identifierType" : "Other" + "meta" : { + "globalKey" : "fbc70e6c" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "cc60294" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" } ], - "assetClass" : "Equity" + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd77575f", + "externalReference" : "interimValuationDates" } }, "meta" : { - "globalKey" : "581609b6" + "globalKey" : "cc60294" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "42382717" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "externalReference" : "returnBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "296055f7", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "42382717" } - }, - "meta" : { - "globalKey" : "6be34725" } - } ], + }, "meta" : { - "globalKey" : "1beb5cd5" + "globalKey" : "6d1b00ab", + "externalKey" : "returnPaymentDates" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + } + }, + "meta" : { + "globalKey" : "279ed60d" } - }, + } ], "meta" : { - "globalKey" : "ae887f4c" + "globalKey" : "5cb6e5d" } - }, - "meta" : { - "globalKey" : "ae887f4c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "802b3046" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 31000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -466,24 +403,69 @@ } }, "meta" : { - "globalKey" : "559f13ee" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6a1a8942" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5059cd7a", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5059cd7a", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5059cd7a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "297b834e" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "eb1954ba" + } + } ], + "tradeDate" : { + "value" : "2011-03-23", + "meta" : { + "globalKey" : "3ed8d7" + } }, "party" : [ { "partyId" : [ { @@ -527,11 +509,11 @@ } } ], "meta" : { - "globalKey" : "55ea5798" + "globalKey" : "3355f696" } }, "meta" : { - "globalKey" : "55ea5798", + "globalKey" : "3355f696", "externalKey" : "trs-ex4-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex01-fx-spot.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex01-fx-spot.json index e4ee7caab9..2109b42971 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex01-fx-spot.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex01-fx-spot.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-10-25", + "meta" : { + "globalKey" : "3e8a99" + } + }, + "meta" : { + "globalKey" : "3e8a99" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + } ], + "meta" : { + "globalKey" : "c6006226" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "7161b347" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,181 +187,6 @@ "globalKey" : "3e8a97" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-10-25", - "meta" : { - "globalKey" : "3e8a99" - } - }, - "meta" : { - "globalKey" : "3e8a99" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - } ], - "meta" : { - "globalKey" : "81954c1b" - } - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a5642346" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "6c87acb2" + "globalKey" : "5a624d36" } }, "meta" : { - "globalKey" : "6c87acb2" + "globalKey" : "5a624d36" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.json index 8925b637f9..8eb4ad01f5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex02-spot-cross-w-side-rates.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-10-25", + "meta" : { + "globalKey" : "3e8a99" + } + }, + "meta" : { + "globalKey" : "3e8a99" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + } ], + "meta" : { + "globalKey" : "c6006226" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.630068, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 6300680, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b64c93ad" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,181 +187,6 @@ "globalKey" : "3e8a97" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-10-25", - "meta" : { - "globalKey" : "3e8a99" - } - }, - "meta" : { - "globalKey" : "3e8a99" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - } ], - "meta" : { - "globalKey" : "81954c1b" - } - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.630068, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 6300680, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "fdce12e4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "d50806f3" + "globalKey" : "be16e0ff" } }, "meta" : { - "globalKey" : "d50806f3" + "globalKey" : "be16e0ff" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.json index a4aa91345b..bbdf51cbfe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex03-fx-fwd.json @@ -1,5 +1,159 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -39,187 +193,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -256,10 +229,10 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.json index f73c970e94..f0b9a656da 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex04-fx-fwd-w-settlement.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-04-01", + "meta" : { + "globalKey" : "3e9101" + } + }, + "meta" : { + "globalKey" : "3e9101" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c60128be" + } + } ], + "meta" : { + "globalKey" : "c60128be" + } + } + }, + "meta" : { + "globalKey" : "c60128be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.4643, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14643000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f564cfe7" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,181 +187,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-04-01", - "meta" : { - "globalKey" : "3e9101" - } - }, - "meta" : { - "globalKey" : "3e9101" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - } ], - "meta" : { - "globalKey" : "78f6f683" - } - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.4643, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14643000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a1c49aa6" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "2786df3e" + "globalKey" : "b0c0ea82" } }, "meta" : { - "globalKey" : "2786df3e" + "globalKey" : "b0c0ea82" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.json index a4aa91345b..bbdf51cbfe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex05-fx-fwd-w-ssi.json @@ -1,5 +1,159 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -39,187 +193,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -256,10 +229,10 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.json index a698143c13..9c3b08bf60 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex06-fx-fwd-w-splits.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-14", + "meta" : { + "globalKey" : "3e908e" + } + }, + "meta" : { + "globalKey" : "3e908e" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011ad1" + } + } ], + "meta" : { + "globalKey" : "c6011ad1" + } + } + }, + "meta" : { + "globalKey" : "c6011ad1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.1072, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 13000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14393600, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "aa9cc2e6" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a41bc6e9", @@ -39,181 +187,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-14", - "meta" : { - "globalKey" : "3e908e" - } - }, - "meta" : { - "globalKey" : "3e908e" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - } ], - "meta" : { - "globalKey" : "541b0a90" - } - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.1072, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 13000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14393600, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "9383cacb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "d47d209d" + "globalKey" : "68f2ec37" } }, "meta" : { - "globalKey" : "d47d209d" + "globalKey" : "68f2ec37" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.json index 703536b6cc..c477e10447 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex07-non-deliverable-forward.json @@ -1,280 +1,255 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PARTYA345", - "meta" : { - "scheme" : "http://www.partyA.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "d1241fee" - } - }, { - "issuerReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CSFB9842", - "meta" : { - "scheme" : "http://www.csfb.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_NDF" } ], - "meta" : { - "globalKey" : "673ef37d" - } - } ], - "tradeDate" : { - "value" : "2002-01-09", - "meta" : { - "globalKey" : "3e9049" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_NDF" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2002-04-11", - "meta" : { - "globalKey" : "3e910b" - } - }, - "meta" : { - "globalKey" : "a5419be9" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "INR" - }, - "quoteBasis" : "Currency2PerCurrency1" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2002-04-11", + "meta" : { + "globalKey" : "3e910b" + } + }, + "meta" : { + "globalKey" : "85bd5321" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "quotedCurrencyPair" : { + "value" : { + "currency1" : { + "value" : "USD" }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "RBIB" - } - } - } + "currency2" : { + "value" : "INR" + }, + "quoteBasis" : "Currency2PerCurrency1" } }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "3e9109" + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-09", - "meta" : { - "globalKey" : "3e9109" - } - }, - "meta" : { - "globalKey" : "3e9109" - } + "sourcePage" : { + "value" : "RBIB" } } - }, - "valuationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "INMU" - } - }, - "meta" : { - "globalKey" : "264e8d45" } - } ] + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "3e9109" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-09", "meta" : { - "globalKey" : "0" + "globalKey" : "3e9109" } }, "meta" : { - "globalKey" : "b14144c1" + "globalKey" : "3e9109" } } - }, - "meta" : { - "globalKey" : "c086df02" + } + }, + "valuationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "INMU" } }, "meta" : { - "globalKey" : "f678e56b" + "globalKey" : "264e8d45" + } + } ] + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - } ], - "meta" : { - "globalKey" : "f678e56b" } + }, + "meta" : { + "globalKey" : "a30a161e" } - }, + } ], "meta" : { - "globalKey" : "f678e56b" + "globalKey" : "a30a161e" } - }, - "meta" : { - "globalKey" : "f678e56b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 43.40, - "unit" : { - "currency" : { - "value" : "INR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 43.35, - "operand" : 0.05, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" + "meta" : { + "globalKey" : "a30a161e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 43.40, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 43.35, + "operand" : 0.05, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" } - }, { - "value" : { - "value" : 434000000, - "unit" : { - "currency" : { - "value" : "INR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 434000000, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "currency2" : { - "value" : "INR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "7fbe9f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "74901093" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PARTYA345", + "meta" : { + "scheme" : "http://www.partyA.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "d1241fee" + } + }, { + "issuerReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CSFB9842", + "meta" : { + "scheme" : "http://www.csfb.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "673ef37d" + } + } ], + "tradeDate" : { + "value" : "2002-01-09", + "meta" : { + "globalKey" : "3e9049" + } }, "party" : [ { "partyId" : [ { @@ -312,10 +287,10 @@ } } ], "meta" : { - "globalKey" : "6fcc65a8" + "globalKey" : "b72762e1" } }, "meta" : { - "globalKey" : "6fcc65a8" + "globalKey" : "b72762e1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex08-fx-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex08-fx-swap.json index 6879aebf25..ad61042c85 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex08-fx-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex08-fx-swap.json @@ -1,363 +1,316 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "cf15004e" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DEUTDEFF", - "meta" : { - "scheme" : "http://www.db.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" } ], - "meta" : { - "globalKey" : "5246e55" - } - } ], - "tradeDate" : { - "value" : "2002-01-23", - "meta" : { - "globalKey" : "3e9057" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxSwap", + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-01-25", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "3e9059" } + }, + "meta" : { + "globalKey" : "3e9059" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011466" } }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-01-25", - "meta" : { - "globalKey" : "3e9059" - } - }, - "meta" : { - "globalKey" : "3e9059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "f2fab1db" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } - }, - "meta" : { - "globalKey" : "f381ccfe" - } - }, + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-25", "meta" : { - "globalKey" : "c6b74017" + "globalKey" : "3e9099" } - } ], + }, "meta" : { - "globalKey" : "12ad3cdc" + "globalKey" : "3e9099" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } } + }, + "meta" : { + "globalKey" : "f9327ec8" } - }, + } ], "meta" : { - "globalKey" : "1fd36851" + "globalKey" : "9a23cd2e" } - }, - "meta" : { - "globalKey" : "1fd36851" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" + "meta" : { + "globalKey" : "bd19f963" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "GBP" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "a5642346" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 1.5, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" + }, + "meta" : { + "globalKey" : "7161b347" + } + }, { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "GBP" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "81190e26" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "67f3ec67" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "cf15004e" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DEUTDEFF", + "meta" : { + "scheme" : "http://www.db.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5246e55" + } + } ], + "tradeDate" : { + "value" : "2002-01-23", + "meta" : { + "globalKey" : "3e9057" + } }, "party" : [ { "partyId" : [ { @@ -395,10 +348,10 @@ } } ], "meta" : { - "globalKey" : "62053a10" + "globalKey" : "cd5f445c" } }, "meta" : { - "globalKey" : "62053a10" + "globalKey" : "cd5f445c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex09-euro-opt.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex09-euro-opt.json index d08f89f510..ddaf35c558 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex09-euro-opt.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex09-euro-opt.json @@ -1,5 +1,190 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Delta-Put-FX-Option", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-06-06", + "meta" : { + "globalKey" : "3e9186" + } + }, + "meta" : { + "globalKey" : "3e9186" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-06-04", + "meta" : { + "globalKey" : "3e9184" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "cf370f4e" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.4920, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "f3db3d9c" + } + } ], + "meta" : { + "globalKey" : "f3db3d9c" + } + } + }, + "meta" : { + "globalKey" : "167eed0f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "AUD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 36900000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "AUD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2ba74073" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5bbdd746", @@ -39,221 +224,6 @@ "globalKey" : "3e9044" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Delta-Put-FX-Option", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-06-06", - "meta" : { - "globalKey" : "3e9186" - } - }, - "meta" : { - "globalKey" : "3e9186" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-06-04", - "meta" : { - "globalKey" : "3e9184" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "cf370f4e" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.4920, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "ExchangeRate" - } - }, - "meta" : { - "globalKey" : "d34a2f4d" - } - } ], - "meta" : { - "globalKey" : "d34a2f4d" - } - } - }, - "meta" : { - "globalKey" : "e959313a" - } - }, - "meta" : { - "globalKey" : "e959313a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "AUD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 36900000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "AUD" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "33d03b9a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -296,7 +266,7 @@ } } ], "meta" : { - "globalKey" : "fd1be9c1" + "globalKey" : "19d65431" } }, "transferHistory" : [ { @@ -347,6 +317,6 @@ } } ], "meta" : { - "globalKey" : "49416988" + "globalKey" : "2cff83f8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex10-amer-opt.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex10-amer-opt.json index f210946a7c..d9fedf8332 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex10-amer-opt.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex10-amer-opt.json @@ -1,283 +1,253 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456789", - "meta" : { - "scheme" : "http://partyA.com/trades" - } - } - } ], - "meta" : { - "globalKey" : "262c8e4a" - } - }, { - "issuerReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "ABN1789", - "meta" : { - "scheme" : "http://adnamro.com/trade-ids" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxOption", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "78f21be8" - } - } ], - "tradeDate" : { - "value" : "2001-12-04", - "meta" : { - "globalKey" : "3e8b04" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxOption", + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-06-06", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "3e9186" } + }, + "meta" : { + "globalKey" : "3e9186" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-06-06", - "meta" : { - "globalKey" : "3e9186" - } - }, - "meta" : { - "globalKey" : "3e9186" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-12-04", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "b141411f" + "globalKey" : "27e4e9" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "212500d8" } }, "meta" : { - "globalKey" : "c086df02" + "globalKey" : "d018b854" } }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-12-04", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, - "meta" : { - "globalKey" : "d018b854" - } - }, - "meta" : { - "globalKey" : "d018b854" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-06-04", - "meta" : { - "globalKey" : "3e9184" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "d018b854" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-06-04", "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3e9184" } }, "meta" : { - "globalKey" : "ce117ab3" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.4920, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "df8d0472" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, "meta" : { - "globalKey" : "df8d0472" + "globalKey" : "ce117ab3" } + }, + "strike" : { + "strikePrice" : { + "value" : 0.4920, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "5e4e53c1" } - }, + } ], "meta" : { - "globalKey" : "cc3643c9" + "globalKey" : "5e4e53c1" } - }, - "meta" : { - "globalKey" : "cc3643c9" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + "meta" : { + "globalKey" : "b39b268a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "AUD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 36900000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 36900000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "AUD" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "33d03b9a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "2ba74073" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456789", + "meta" : { + "scheme" : "http://partyA.com/trades" + } + } + } ], + "meta" : { + "globalKey" : "262c8e4a" + } + }, { + "issuerReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "ABN1789", + "meta" : { + "scheme" : "http://adnamro.com/trade-ids" + } + } + } ], + "meta" : { + "globalKey" : "78f21be8" + } + } ], + "tradeDate" : { + "value" : "2001-12-04", + "meta" : { + "globalKey" : "3e8b04" + } }, "party" : [ { "partyId" : [ { @@ -321,7 +291,7 @@ } } ], "meta" : { - "globalKey" : "574c1403" + "globalKey" : "19415f09" } }, "transferHistory" : [ { @@ -372,6 +342,6 @@ } } ], "meta" : { - "globalKey" : "14876dca" + "globalKey" : "c72d86d0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex11-non-deliverable-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex11-non-deliverable-option.json index 8ef33f1765..4d43108dbb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex11-non-deliverable-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex11-non-deliverable-option.json @@ -1,311 +1,283 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IBFXO-0123456789", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" - } - } - } ], - "meta" : { - "globalKey" : "bcd03f83" - } - }, { - "issuerReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IBFXO-0123456789", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "ForeignExchange:NDO" } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "bcd0b3e2" - } - } ], - "tradeDate" : { - "value" : "2001-01-15", - "meta" : { - "globalKey" : "3e884f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "ForeignExchange:NDO" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2001-04-11", - "meta" : { - "globalKey" : "3e890b" - } - }, - "meta" : { - "globalKey" : "933f36d2" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "quotedCurrencyPair" : { - "currency1" : { - "value" : "VEB" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2001-04-11", + "meta" : { + "globalKey" : "3e890b" + } + }, + "meta" : { + "globalKey" : "2b89fe0a" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "quotedCurrencyPair" : { + "value" : { + "currency1" : { + "value" : "VEB" }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "VEB01" - } - } - } + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency1PerCurrency2" } }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "3e8909" + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-09", - "meta" : { - "globalKey" : "3e8909" - } - }, - "meta" : { - "globalKey" : "3e8909" - } + "sourcePage" : { + "value" : "VEB01" } } - }, - "valuationTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "VECA" - } - }, - "meta" : { - "globalKey" : "96b4302e" } - } ] - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "3e8909" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-09", "meta" : { - "globalKey" : "0" + "globalKey" : "3e8909" } }, "meta" : { - "globalKey" : "b14144c1" + "globalKey" : "3e8909" } } - }, - "meta" : { - "globalKey" : "c086df02" } }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-04-09", - "meta" : { - "globalKey" : "3e8909" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "valuationTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "VECA" + } + }, + "meta" : { + "globalKey" : "96b4302e" + } + } ] + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-04-09", "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3e8909" } }, "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1.15, - "unit" : { - "currency" : { - "value" : "VEB" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "6606b30f" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, "meta" : { - "globalKey" : "6606b30f" + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1.15, + "unit" : { + "currency" : { + "value" : "VEB" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" } + }, + "meta" : { + "globalKey" : "c94590f3" } - }, + } ], "meta" : { - "globalKey" : "3543b169" + "globalKey" : "c94590f3" } - }, - "meta" : { - "globalKey" : "3543b169" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 17250000, - "unit" : { - "currency" : { - "value" : "VEB" - } + "meta" : { + "globalKey" : "a1eb894d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 17250000, + "unit" : { + "currency" : { + "value" : "VEB" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "VEB" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "39b99feb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "85abc997" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IBFXO-0123456789", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + } + } + } ], + "meta" : { + "globalKey" : "bcd03f83" + } + }, { + "issuerReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IBFXO-0123456789", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + } + } + } ], + "meta" : { + "globalKey" : "bcd0b3e2" + } + } ], + "tradeDate" : { + "value" : "2001-01-15", + "meta" : { + "globalKey" : "3e884f" + } }, "party" : [ { "partyId" : [ { @@ -349,7 +321,7 @@ } } ], "meta" : { - "globalKey" : "21e85ef7" + "globalKey" : "43da6b2b" } }, "transferHistory" : [ { @@ -400,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "248976d7" + "globalKey" : "2de7270b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex12-fx-barrier-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex12-fx-barrier-option.json index 99c5f4b9ae..9efefa130c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex12-fx-barrier-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex12-fx-barrier-option.json @@ -1,5 +1,183 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-08", + "meta" : { + "globalKey" : "3e9088" + } + }, + "meta" : { + "globalKey" : "3e9088" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-02-06", + "meta" : { + "globalKey" : "3e9086" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.9, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.8935 + } + } + }, + "meta" : { + "globalKey" : "b0bd9153" + } + } ], + "meta" : { + "globalKey" : "b0bd9153" + } + } + }, + "meta" : { + "globalKey" : "b0bd9153" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 4500000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "9d55c0ab" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,214 +217,6 @@ "globalKey" : "3e8a10" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-08", - "meta" : { - "globalKey" : "3e9088" - } - }, - "meta" : { - "globalKey" : "3e9088" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-02-06", - "meta" : { - "globalKey" : "3e9086" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.9, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.8935 - } - } - }, - "meta" : { - "globalKey" : "73183755" - } - } ], - "meta" : { - "globalKey" : "73183755" - } - } - }, - "meta" : { - "globalKey" : "73183755" - } - }, - "meta" : { - "globalKey" : "73183755" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 4500000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency1PerCurrency2" - } - } - } - }, - "meta" : { - "globalKey" : "3183a584" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -283,7 +253,7 @@ } } ], "meta" : { - "globalKey" : "87990f7a" + "globalKey" : "77916507" } }, "transferHistory" : [ { @@ -334,6 +304,6 @@ } } ], "meta" : { - "globalKey" : "370fe29a" + "globalKey" : "9733a127" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.json index 154fa68096..7c14116aec 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex20-avg-rate-option-parametric.json @@ -1,308 +1,270 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PA-12345", - "meta" : { - "scheme" : "http://www.partyA.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "c9e1a36c" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DB-98765", - "meta" : { - "scheme" : "http://www.db.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "20adbe1c" - } - } ], - "tradeDate" : { - "value" : "2001-08-16", - "meta" : { - "globalKey" : "3e8a10" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-04", - "meta" : { - "globalKey" : "3e8b04" - } - }, - "meta" : { - "globalKey" : "3e8b04" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-04", + "meta" : { + "globalKey" : "3e8b04" + } + }, + "meta" : { + "globalKey" : "3e8b04" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-01", - "meta" : { - "globalKey" : "3e8ac1" - } - }, - "meta" : { - "globalKey" : "3e8ac1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-30", - "meta" : { - "globalKey" : "3e8ade" - } - }, - "meta" : { - "globalKey" : "3e8ade" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - } - } + "sourcePage" : { + "value" : "BNBX" } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-01", "meta" : { - "globalKey" : "b141411f" + "globalKey" : "3e8ac1" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "3e8ac1" } }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { + "endDate" : { "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-30", - "meta" : { - "globalKey" : "3e8ade" - } - }, + "unadjustedDate" : "2001-11-30", "meta" : { - "globalKey" : "0" + "globalKey" : "3e8ade" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3e8ade" } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-30", + "meta" : { + "globalKey" : "3e8ade" } }, "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 9.82, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "7788203d" } + }, + "strike" : { + "strikePrice" : { + "value" : 9.82, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "580798af" } - }, + } ], "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "580798af" } - }, - "meta" : { - "globalKey" : "207e8ab5" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "580798af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 585539.71, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 585539.71, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "de207a86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2fcddc42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PA-12345", + "meta" : { + "scheme" : "http://www.partyA.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "c9e1a36c" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DB-98765", + "meta" : { + "scheme" : "http://www.db.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "20adbe1c" + } + } ], + "tradeDate" : { + "value" : "2001-08-16", + "meta" : { + "globalKey" : "3e8a10" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +302,7 @@ } } ], "meta" : { - "globalKey" : "f0eda109" + "globalKey" : "dc00bfab" } }, "transferHistory" : [ { @@ -391,6 +353,6 @@ } } ], "meta" : { - "globalKey" : "eb35e6a7" + "globalKey" : "dcdfbf49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.json index 397614f293..5454187549 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex22-avg-rate-option-specific.json @@ -1,5 +1,335 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2010-12-04", + "meta" : { + "globalKey" : "3ed304" + } + }, + "meta" : { + "globalKey" : "3ed304" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" + }, + "sourcePage" : { + "value" : "BNBX" + } + } + }, + "observationDates" : { + "observationSchedule" : { + "observationDate" : [ { + "adjustedDate" : "2010-11-01", + "weight" : 1, + "meta" : { + "globalKey" : "79b8590" + } + }, { + "adjustedDate" : "2010-11-02", + "weight" : 1, + "meta" : { + "globalKey" : "79b85af" + } + }, { + "adjustedDate" : "2010-11-03", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ce" + } + }, { + "adjustedDate" : "2010-11-04", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ed" + } + }, { + "adjustedDate" : "2010-11-05", + "weight" : 3, + "meta" : { + "globalKey" : "79b860e" + } + }, { + "adjustedDate" : "2010-11-08", + "weight" : 1, + "meta" : { + "globalKey" : "79b8669" + } + }, { + "adjustedDate" : "2010-11-09", + "weight" : 1, + "meta" : { + "globalKey" : "79b8688" + } + }, { + "adjustedDate" : "2010-11-10", + "weight" : 1, + "meta" : { + "globalKey" : "79b86a7" + } + }, { + "adjustedDate" : "2010-11-11", + "weight" : 1, + "meta" : { + "globalKey" : "79b86c6" + } + }, { + "adjustedDate" : "2010-11-12", + "weight" : 3, + "meta" : { + "globalKey" : "79b86e7" + } + }, { + "adjustedDate" : "2010-11-15", + "weight" : 1, + "meta" : { + "globalKey" : "79b8742" + } + }, { + "adjustedDate" : "2010-11-16", + "weight" : 1, + "meta" : { + "globalKey" : "79b8761" + } + }, { + "adjustedDate" : "2010-11-17", + "weight" : 1, + "meta" : { + "globalKey" : "79b8780" + } + }, { + "adjustedDate" : "2010-11-18", + "weight" : 1, + "meta" : { + "globalKey" : "79b879f" + } + }, { + "adjustedDate" : "2010-11-19", + "weight" : 3, + "meta" : { + "globalKey" : "79b87c0" + } + }, { + "adjustedDate" : "2010-11-22", + "weight" : 1, + "meta" : { + "globalKey" : "79b881b" + } + }, { + "adjustedDate" : "2010-11-23", + "weight" : 1, + "meta" : { + "globalKey" : "79b883a" + } + }, { + "adjustedDate" : "2010-11-24", + "weight" : 1, + "meta" : { + "globalKey" : "79b8859" + } + }, { + "adjustedDate" : "2010-11-25", + "weight" : 1, + "meta" : { + "globalKey" : "79b8878" + } + }, { + "adjustedDate" : "2010-11-26", + "weight" : 3, + "meta" : { + "globalKey" : "79b8899" + } + }, { + "adjustedDate" : "2010-11-29", + "weight" : 1, + "meta" : { + "globalKey" : "79b88f4" + } + }, { + "adjustedDate" : "2010-11-30", + "weight" : 1, + "meta" : { + "globalKey" : "79b8913" + } + } ] + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2010-11-30", + "meta" : { + "globalKey" : "3ed2de" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "meta" : { + "globalKey" : "7788203d" + } + }, + "strike" : { + "strikePrice" : { + "value" : 12.40, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "8c25e9ca" + } + } ], + "meta" : { + "globalKey" : "8c25e9ca" + } + } + }, + "meta" : { + "globalKey" : "8c25e9ca" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 463709.68, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "e1a6c020" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5b0baa7d", @@ -39,374 +369,6 @@ "globalKey" : "3ed210" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2010-12-04", - "meta" : { - "globalKey" : "3ed304" - } - }, - "meta" : { - "globalKey" : "3ed304" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } - }, - "observationDates" : { - "observationSchedule" : { - "observationDate" : [ { - "adjustedDate" : "2010-11-01", - "weight" : 1, - "meta" : { - "globalKey" : "79b8590" - } - }, { - "adjustedDate" : "2010-11-02", - "weight" : 1, - "meta" : { - "globalKey" : "79b85af" - } - }, { - "adjustedDate" : "2010-11-03", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ce" - } - }, { - "adjustedDate" : "2010-11-04", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ed" - } - }, { - "adjustedDate" : "2010-11-05", - "weight" : 3, - "meta" : { - "globalKey" : "79b860e" - } - }, { - "adjustedDate" : "2010-11-08", - "weight" : 1, - "meta" : { - "globalKey" : "79b8669" - } - }, { - "adjustedDate" : "2010-11-09", - "weight" : 1, - "meta" : { - "globalKey" : "79b8688" - } - }, { - "adjustedDate" : "2010-11-10", - "weight" : 1, - "meta" : { - "globalKey" : "79b86a7" - } - }, { - "adjustedDate" : "2010-11-11", - "weight" : 1, - "meta" : { - "globalKey" : "79b86c6" - } - }, { - "adjustedDate" : "2010-11-12", - "weight" : 3, - "meta" : { - "globalKey" : "79b86e7" - } - }, { - "adjustedDate" : "2010-11-15", - "weight" : 1, - "meta" : { - "globalKey" : "79b8742" - } - }, { - "adjustedDate" : "2010-11-16", - "weight" : 1, - "meta" : { - "globalKey" : "79b8761" - } - }, { - "adjustedDate" : "2010-11-17", - "weight" : 1, - "meta" : { - "globalKey" : "79b8780" - } - }, { - "adjustedDate" : "2010-11-18", - "weight" : 1, - "meta" : { - "globalKey" : "79b879f" - } - }, { - "adjustedDate" : "2010-11-19", - "weight" : 3, - "meta" : { - "globalKey" : "79b87c0" - } - }, { - "adjustedDate" : "2010-11-22", - "weight" : 1, - "meta" : { - "globalKey" : "79b881b" - } - }, { - "adjustedDate" : "2010-11-23", - "weight" : 1, - "meta" : { - "globalKey" : "79b883a" - } - }, { - "adjustedDate" : "2010-11-24", - "weight" : 1, - "meta" : { - "globalKey" : "79b8859" - } - }, { - "adjustedDate" : "2010-11-25", - "weight" : 1, - "meta" : { - "globalKey" : "79b8878" - } - }, { - "adjustedDate" : "2010-11-26", - "weight" : 3, - "meta" : { - "globalKey" : "79b8899" - } - }, { - "adjustedDate" : "2010-11-29", - "weight" : 1, - "meta" : { - "globalKey" : "79b88f4" - } - }, { - "adjustedDate" : "2010-11-30", - "weight" : 1, - "meta" : { - "globalKey" : "79b8913" - } - } ] - } - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 12.40, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - } ], - "meta" : { - "globalKey" : "6cf6fa10" - } - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 463709.68, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } - } - } - }, - "meta" : { - "globalKey" : "d42a7fe4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -443,7 +405,7 @@ } } ], "meta" : { - "globalKey" : "b9d29e97" + "globalKey" : "938fa4bf" } }, "transferHistory" : [ { @@ -494,6 +456,6 @@ } } ], "meta" : { - "globalKey" : "4d9ae235" + "globalKey" : "c9b1f05d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.json index c357bc455e..7c13df6e20 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/fx/fx-ex28-non-deliverable-w-disruption.json @@ -1,273 +1,239 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d26b18a8", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678", - "meta" : { - "scheme" : "urn:hsbc:trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_NDF" } ], - "meta" : { - "globalKey" : "26887e99" - } - }, { - "issuerReference" : { - "globalReference" : "733fed68", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AZ5678901", - "meta" : { - "scheme" : "run:bnpp/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "12f63b93" - } - } ], - "tradeDate" : { - "value" : "2013-04-01", - "meta" : { - "globalKey" : "3ee901" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_NDF" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2013-10-01", - "meta" : { - "globalKey" : "3eea81" - } - }, - "meta" : { - "globalKey" : "78df60d7" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "ec526e55" - }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-09-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec526e55" - } - }, - "meta" : { - "globalKey" : "ec526e55" - } - } + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2013-10-01", + "meta" : { + "globalKey" : "3eea81" + } + }, + "meta" : { + "globalKey" : "78df60d7" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "afa87ab1" } - } ] + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "ec526e55" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-09-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ec526e55" } }, "meta" : { - "globalKey" : "b14144c1" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "globalKey" : "ec526e55" } } - }, - "meta" : { - "globalKey" : "8f19aac5" } }, "meta" : { - "globalKey" : "810fa10e" + "globalKey" : "afa87ab1" + } + } ] + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - } ], - "meta" : { - "globalKey" : "810fa10e" } + }, + "meta" : { + "globalKey" : "86a935a8" } - }, + } ], "meta" : { - "globalKey" : "810fa10e" + "globalKey" : "86a935a8" } - }, - "meta" : { - "globalKey" : "810fa10e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.7690, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.7645, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" + "meta" : { + "globalKey" : "86a935a8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.7690, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3000000, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.7645, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" } - }, { - "value" : { - "value" : 2307000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3000000, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2307000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "BRL" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "4ca2219" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "733fed68", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d26b18a8", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3aa70e14" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d26b18a8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "733fed68", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d26b18a8", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678", + "meta" : { + "scheme" : "urn:hsbc:trade-id" + } + } + } ], + "meta" : { + "globalKey" : "26887e99" + } + }, { + "issuerReference" : { + "globalReference" : "733fed68", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AZ5678901", + "meta" : { + "scheme" : "run:bnpp/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "12f63b93" + } + } ], + "tradeDate" : { + "value" : "2013-04-01", + "meta" : { + "globalKey" : "3ee901" + } }, "party" : [ { "partyId" : [ { @@ -303,10 +269,10 @@ } } ], "meta" : { - "globalKey" : "6ff10ac1" + "globalKey" : "6649a5a8" } }, "meta" : { - "globalKey" : "6ff10ac1" + "globalKey" : "6649a5a8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/bond-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/bond-option.json index c86c00a3b6..a0b8ee1cf4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/bond-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/bond-option.json @@ -1,240 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-05-10", - "meta" : { - "globalKey" : "3eb14a", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2006-06-22", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2006-06-22", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "a15ed25a" + "globalKey" : "211ff630" } - }, - "meta" : { - "globalKey" : "35f85f44" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP1", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "39e279be" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-06-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } - }, + "meta" : { + "globalKey" : "a15ed25a" + } + }, + "meta" : { + "globalKey" : "35f85f44" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-06-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "9c40487d" + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "9c40487d" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "JPTO" + "globalKey" : "211ff630" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Buyer", - "businessCenter" : { - "value" : "JPTO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : false - }, "meta" : { - "globalKey" : "4f51319d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 99.7, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "globalKey" : "9c40487d" } }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "9c40487d" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", + "businessCenter" : { + "value" : "JPTO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : false + }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "4f51319d" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 99.7, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "27706b4" } - }, + } ], "meta" : { - "globalKey" : "85540b5c" + "globalKey" : "27706b4" } }, - "meta" : { - "globalKey" : "85540b5c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { + "meta" : { + "globalKey" : "8d1c129e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { "value" : 10000000000, "unit" : { "currency" : { "value" : "JPY" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -251,37 +213,61 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "6ba88276" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + }, + "meta" : { + "globalKey" : "2f386d63" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-05-10", + "meta" : { + "globalKey" : "3eb14a", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -317,7 +303,7 @@ } } ], "meta" : { - "globalKey" : "2ed413ee" + "globalKey" : "b8d465e1" } }, "transferHistory" : [ { @@ -376,6 +362,6 @@ } } ], "meta" : { - "globalKey" : "2aa9e0ab" + "globalKey" : "1a68eed8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/cb-option-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/cb-option-2.json index ca3f77350b..4c3a438558 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/cb-option-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/cb-option-2.json @@ -1,266 +1,229 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "PartyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Bond1", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "10ca1193" - } - } ], - "tradeDate" : { - "value" : "2004-12-24", - "meta" : { - "globalKey" : "3ea318" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "bfe34747" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd0515f1", - "externalReference" : "EXERCISE" - } - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", "meta" : { "globalKey" : "bfe34747" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "42a8663" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd0515f1", + "externalReference" : "EXERCISE" } - }, - "meta" : { - "globalKey" : "95fcb1" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN2", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276b39d" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-29", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "meta" : { - "globalKey" : "da506292" - } - }, + "meta" : { + "globalKey" : "bfe34747" + } + }, + "meta" : { + "globalKey" : "95fcb1" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-29", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "dc6674d5" + "globalKey" : "42a8663" } }, "meta" : { - "globalKey" : "dc6674d5" + "globalKey" : "da506292" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "meta" : { - "globalKey" : "da506292" - } - }, + "meta" : { + "globalKey" : "dc6674d5" + } + }, + "meta" : { + "globalKey" : "dc6674d5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "dd0515f1" + "globalKey" : "42a8663" } }, "meta" : { - "globalKey" : "dd0515f1", - "externalKey" : "EXERCISE" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da506292" } }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 20, - "maximumNumberOfOptions" : 200 - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, "meta" : { - "globalKey" : "cb57346b" - } - }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "JPY-LIBOR-BBA", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 27 - } + "globalKey" : "dd0515f1" } }, "meta" : { - "globalKey" : "f029c577" + "globalKey" : "dd0515f1", + "externalKey" : "EXERCISE" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 20, + "maximumNumberOfOptions" : 200 + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, "meta" : { - "globalKey" : "f029c577" + "globalKey" : "cb57346b" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "JPY-LIBOR-BBA", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "spread" : 27 + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e028571a" } - }, + } ], "meta" : { - "globalKey" : "d91a2ca1" + "globalKey" : "e028571a" } }, - "meta" : { - "globalKey" : "d91a2ca1" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 200, + "meta" : { + "globalKey" : "c3bae184" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 200, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 10000000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "currency" : { + "value" : "JPY" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -277,37 +240,60 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "25784004" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "1e8deed3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "PartyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Bond1", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "PartyA" - } ] - } ] + "meta" : { + "globalKey" : "10ca1193" + } + } ], + "tradeDate" : { + "value" : "2004-12-24", + "meta" : { + "globalKey" : "3ea318" + } }, "party" : [ { "partyId" : [ { @@ -343,10 +329,10 @@ } } ], "meta" : { - "globalKey" : "388f9d3e" + "globalKey" : "e10cedf0" } }, "meta" : { - "globalKey" : "388f9d3e" + "globalKey" : "e10cedf0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex01-vanilla-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex01-vanilla-swap.json index 2c59b9af6b..b4cecea30c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex01-vanilla-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex01-vanilla-swap.json @@ -1,321 +1,257 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "29b63a53" - } - }, { - "issuerReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "27fe9f96" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -330,176 +266,252 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "b4b47bc7" } - }, + } ], "meta" : { "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "16ed00fa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "29b63a53" + } + }, { + "issuerReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "27fe9f96" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -540,10 +552,10 @@ } } ], "meta" : { - "globalKey" : "1aa3ef7" + "globalKey" : "e76e4a21" } }, "meta" : { - "globalKey" : "1aa3ef7" + "globalKey" : "e76e4a21" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex02-stub-amort-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex02-stub-amort-swap.json index d86826e833..dfb644c278 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex02-stub-amort-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex02-stub-amort-swap.json @@ -1,574 +1,510 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "29b63a53" - } - }, { - "issuerReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "27fe9f96" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : 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"price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "7b5d60e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "7b5d60e0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987ead88" + } + }, { + "issuerReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56990", + "meta" : { + "scheme" : "http://www.msdw/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987f3943" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -763,10 +775,10 @@ } } ], "meta" : { - "globalKey" : "d6454b83" + "globalKey" : "a29e3a09" } }, "meta" : { - "globalKey" : "d6454b83" + "globalKey" : "a29e3a09" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex04-arrears-stepup-fee-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex04-arrears-stepup-fee-swap.json index 97e7f3b241..b4aa895706 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex04-arrears-stepup-fee-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex04-arrears-stepup-fee-swap.json @@ -1,351 +1,259 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "987ead88" - } - }, { - "issuerReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56990", - "meta" : { - "scheme" : "http://www.msdw/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "987f3943" - } - } ], - "tradeDate" : { - "value" : "2000-04-25", - "meta" : { - "globalKey" : "3e8119" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac74d93" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "meta" : { - "globalKey" : "f4e4ef21" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "42f910b", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "97b8e49c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7a" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "c239cad3", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f4e4ef21" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f4e4ef21" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c239cad3", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "39879b2a", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7a" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "c239cad3", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "39879b2a", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c2e8fe7b" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c239cad3", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "39879b2a", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "39879b2a", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c2e8fe7b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "meta" : { - "globalKey" : "eac74d93" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "42f910b", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "3494f012" - } - }, - "meta" : { - "globalKey" : "3494f012" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-27", + "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abd" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "225b80da", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eac74d93" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -361,133 +269,237 @@ } }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "3494f012" + } + }, + "meta" : { + "globalKey" : "3494f012" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abd" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "225b80da", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c6f495d" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "e4e74682" + "globalKey" : "2ad6e87a" } + }, + "meta" : { + "globalKey" : "c6f495d" } - }, + } ], "meta" : { "globalKey" : "e4e74682" } - }, - "meta" : { - "globalKey" : "e4e74682" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "e4e74682" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "datedValue" : [ { - "date" : "2001-04-27", - "value" : 0.065, - "meta" : { - "globalKey" : "a4ca676" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "datedValue" : [ { + "date" : "2001-04-27", + "value" : 0.065, + "meta" : { + "globalKey" : "a4ca676" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "fb8b5e0e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "fb8b5e0e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987ead88" + } + }, { + "issuerReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56990", + "meta" : { + "scheme" : "http://www.msdw/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987f3943" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -524,7 +536,7 @@ } } ], "meta" : { - "globalKey" : "ad3a3930" + "globalKey" : "bdccba2c" } }, "transferHistory" : [ { @@ -584,6 +596,6 @@ } } ], "meta" : { - "globalKey" : "a22158c8" + "globalKey" : "57c21a4c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex05-long-stub-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex05-long-stub-swap.json index a297c58940..3be9cd8228 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex05-long-stub-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex05-long-stub-swap.json @@ -1,370 +1,306 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "921934", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "f9967337" - } - }, { - "issuerReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "204334", - "meta" : { - "scheme" : "http://www.ubsw.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ed8a12d2" - } - } ], - "tradeDate" : { - "value" : "2000-04-03", - "meta" : { - "globalKey" : "3e8103" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eac6fafd" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "meta" : { - "globalKey" : "bb867de7" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "eac60abd" + "globalKey" : "211dc30c" } }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b8f" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "453c77c5", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "bb867de7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } + "meta" : { + "globalKey" : "bb867de7" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "34d904af" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "24cac063", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, "meta" : { - "globalKey" : "c10206b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "24cac063", - "externalKey" : "resetDates" + "globalKey" : "eac60abd" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "initialStub" : { - "stubRate" : 0.05125 + "meta" : { + "globalKey" : "eac60abd" + } + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8f" + }, + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "453c77c5", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "4cc8d850" + "globalKey" : "c10206b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "34d904af" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "24cac063", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "c10206b" + } + }, + "meta" : { + "globalKey" : "24cac063", + "externalKey" : "resetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Telerate", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" + "globalKey" : "aa" } } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" + } ] + } + }, + "meta" : { + "globalKey" : "4cc8d850" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "meta" : { - "globalKey" : "a678db46" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "a678db46" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -379,207 +315,283 @@ "globalKey" : "c10206b" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3e" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "b0de25d3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "a678db46" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "a678db46" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "c10206b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "2e10f41e" + "globalKey" : "eac60abd" } }, "meta" : { - "globalKey" : "2b00d442" + "globalKey" : "eac60abd" } - } ], + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3e" + }, + "rollConvention" : "5" + }, "meta" : { - "globalKey" : "325cf892" + "globalKey" : "b0de25d3", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "325cf892" - } - }, - "meta" : { - "globalKey" : "325cf892" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.001, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "c10206b" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "2e10f41e" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "2b00d442" } } ], - "quantity" : [ { - "value" : { - "value" : 75000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "325cf892" + } + } + }, + "meta" : { + "globalKey" : "325cf892" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.001, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "dc266606" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0525, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "600100b1" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0525, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 75000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "4a7c3e4b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "4a7c3e4b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "921934", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f9967337" + } + }, { + "issuerReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "204334", + "meta" : { + "scheme" : "http://www.ubsw.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ed8a12d2" + } + } ], + "tradeDate" : { + "value" : "2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } }, "party" : [ { "partyId" : [ { @@ -620,10 +632,10 @@ } } ], "meta" : { - "globalKey" : "11b97f7f" + "globalKey" : "7308ae64" } }, "meta" : { - "globalKey" : "11b97f7f" + "globalKey" : "7308ae64" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex06-xccy-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex06-xccy-swap.json index 21abe6c391..20abf6084b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex06-xccy-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex06-xccy-swap.json @@ -1,730 +1,629 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : 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"acf5b2d7" + "globalKey" : "6b297ba9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex07-ois-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex07-ois-swap.json index 54b4d7edf1..8bc3c4edba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex07-ois-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex07-ois-swap.json @@ -1,328 +1,264 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRN12000", - "meta" : { - "scheme" : "http://www.citibank.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "250026f4" - } - }, { - "issuerReference" : { - "globalReference" : "9e39312a", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRN13000", - "meta" : { - "scheme" : "http://www.mizuhocap.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "25010fb2" - } - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "meta" : { - "globalKey" : "a6474bf1" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "37c36a6c", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a6474bf1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a6474bf1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "ba5fc4c9" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "37c36a6c", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "98ca5cd4" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a7a9427d", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a7a9427d", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c1f8b927" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "ba5fc4c9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "a7a9427d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "a7a9427d", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c1f8b927" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "9139a950" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9139a950" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,167 +273,243 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "d26aa7ed", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9139a950" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "9139a950" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "95bca6e6" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "bc67e9b4" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "be61421b" + "globalKey" : "95bca6e6" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "bc67e9b4" } - }, + } ], "meta" : { - "globalKey" : "f7651045" + "globalKey" : "be61421b" } }, - "meta" : { - "globalKey" : "f7651045" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f7651045" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9e39312a", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9e39312a", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRN12000", + "meta" : { + "scheme" : "http://www.citibank.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "250026f4" + } + }, { + "issuerReference" : { + "globalReference" : "9e39312a", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRN13000", + "meta" : { + "scheme" : "http://www.mizuhocap.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "25010fb2" + } + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -534,10 +546,10 @@ } } ], "meta" : { - "globalKey" : "81d71636" + "globalKey" : "e795ae00" } }, "meta" : { - "globalKey" : "81d71636" + "globalKey" : "e795ae00" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex08-fra.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex08-fra.json index dff8039c1b..d827251f6d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex08-fra.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex08-fra.json @@ -1,399 +1,411 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f2891f38" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "814acd2" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - 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"partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -624,7 +635,7 @@ } } ], "meta" : { - "globalKey" : "db691dab" + "globalKey" : "33eb9fa" } }, "transferHistory" : [ { @@ -683,6 +694,6 @@ } } ], "meta" : { - "globalKey" : "d2a439bf" + "globalKey" : "1eae6410" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex10-euro-swaption-relative.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex10-euro-swaption-relative.json index b36997b909..2d5c6f8b31 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex10-euro-swaption-relative.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex10-euro-swaption-relative.json @@ -1,621 +1,632 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - 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}, "party" : [ { "partyId" : [ { @@ -651,7 +662,7 @@ } } ], "meta" : { - "globalKey" : "ee397023" + "globalKey" : "7eded0e8" } }, "transferHistory" : [ { @@ -710,6 +721,6 @@ } } ], "meta" : { - "globalKey" : "542c1c47" + "globalKey" : "38056862" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json index a5d9e78289..c774164002 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex11-euro-swaption-partial-auto-ex.json @@ -1,599 +1,610 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - 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"globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -699,7 +710,7 @@ } } ], "meta" : { - "globalKey" : "8a0e381a" + "globalKey" : "d618fc9b" } }, "transferHistory" : [ { @@ -758,6 +769,6 @@ } } ], "meta" : { - "globalKey" : "ca4111f0" + "globalKey" : "aaf084cf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex22-cap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex22-cap.json index fa589bb722..b1ad205a5a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex22-cap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex22-cap.json @@ -1,179 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "capRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -183,7 +80,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -191,187 +88,302 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "985d6cb2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" } - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0625, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, "meta" : { - "globalKey" : "5c1b1be9" + "globalKey" : "97b1a6d0" } - }, { - "date" : "2003-06-30", - "value" : 0.065, + }, + "meta" : { + "globalKey" : "62832fbd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "a4ea653" + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } - }, { - "date" : "2004-06-30", - "value" : 0.0675, + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0c84" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.07, + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, "meta" : { - "globalKey" : "7ad0ea7" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "6bdb6452" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Min" + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "389c212b" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "389c212b" + } + } + }, + "meta" : { + "globalKey" : "389c212b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0625, + "meta" : { + "globalKey" : "5c1b1be9" + } + }, { + "date" : "2003-06-30", + "value" : 0.065, + "meta" : { + "globalKey" : "a4ea653" + } + }, { + "date" : "2004-06-30", + "value" : 0.0675, + "meta" : { + "globalKey" : "5c1d0c84" + } + }, { + "date" : "2005-06-30", + "value" : 0.07, + "meta" : { + "globalKey" : "7ad0ea7" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Min" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bd346278" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "71a2e47f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -407,10 +419,10 @@ } } ], "meta" : { - "globalKey" : "c76976e5" + "globalKey" : "c3ba23b6" } }, "meta" : { - "globalKey" : "c76976e5" + "globalKey" : "c3ba23b6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex23-floor.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex23-floor.json index 07faca043c..ec001d207a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex23-floor.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex23-floor.json @@ -1,179 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "floorRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -183,7 +80,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -191,187 +88,302 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "985d6cb2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "389c212b" + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" } - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "meta" : { - "globalKey" : "389c212b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0425, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, "meta" : { - "globalKey" : "5c1b1467" + "globalKey" : "97b1a6d0" } - }, { - "date" : "2003-06-30", - "value" : 0.045, + }, + "meta" : { + "globalKey" : "62832fbd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "a4ea615" + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } - }, { - "date" : "2004-06-30", - "value" : 0.0475, + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0502" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.05, + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, "meta" : { - "globalKey" : "7ad0ea5" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "6bdb6452" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Max" + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "389c212b" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "389c212b" + } + } + }, + "meta" : { + "globalKey" : "389c212b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0425, + "meta" : { + "globalKey" : "5c1b1467" + } + }, { + "date" : "2003-06-30", + "value" : 0.045, + "meta" : { + "globalKey" : "a4ea615" + } + }, { + "date" : "2004-06-30", + "value" : 0.0475, + "meta" : { + "globalKey" : "5c1d0502" + } + }, { + "date" : "2005-06-30", + "value" : 0.05, + "meta" : { + "globalKey" : "7ad0ea5" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Max" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2875fd24" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6ee68b53" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -407,10 +419,10 @@ } } ], "meta" : { - "globalKey" : "f2583991" + "globalKey" : "12d2048a" } }, "meta" : { - "globalKey" : "f2583991" + "globalKey" : "12d2048a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex24-collar.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex24-collar.json index 2b2a1e53cf..f6cea2451d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex24-collar.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex24-collar.json @@ -1,189 +1,86 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "capRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-2" } }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - }, - "buyer" : "Payer", - "seller" : "Receiver" - }, - "meta" : { - "globalKey" : "685c4c74" - } - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" + "floorRateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "buyer" : "Payer", + "seller" : "Receiver" + }, + "meta" : { + "globalKey" : "685c4c74" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -193,7 +90,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -201,234 +98,349 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "75bcab7f" - } - } ], - "meta" : { - "globalKey" : "75bcab7f" - } - } - }, - "meta" : { - "globalKey" : "75bcab7f" - } - }, - "meta" : { - "globalKey" : "75bcab7f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" + "globalKey" : "985d6cb2" } }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0625, - "meta" : { - "globalKey" : "5c1b1be9" - } - }, { - "date" : "2003-06-30", - "value" : 0.065, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "a4ea653" - } - }, { - "date" : "2004-06-30", - "value" : 0.0675, + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0c84" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.07, + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, "meta" : { - "globalKey" : "7ad0ea7" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "97b1a6d0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Min" + "meta" : { + "globalKey" : "62832fbd" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - }, { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "EUR" - } + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0425, - "meta" : { - "globalKey" : "5c1b1467" - } - }, { - "date" : "2003-06-30", - "value" : 0.045, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "a4ea615" + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } - }, { - "date" : "2004-06-30", - "value" : 0.0475, + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0502" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.05, + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, "meta" : { - "globalKey" : "7ad0ea5" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "6bdb6452" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Max" + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "75bcab7f" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "75bcab7f" + } + } + }, + "meta" : { + "globalKey" : "75bcab7f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0625, + "meta" : { + "globalKey" : "5c1b1be9" + } + }, { + "date" : "2003-06-30", + "value" : 0.065, + "meta" : { + "globalKey" : "a4ea653" + } + }, { + "date" : "2004-06-30", + "value" : 0.0675, + "meta" : { + "globalKey" : "5c1d0c84" + } + }, { + "date" : "2005-06-30", + "value" : 0.07, + "meta" : { + "globalKey" : "7ad0ea7" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Min" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + }, { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0425, + "meta" : { + "globalKey" : "5c1b1467" + } + }, { + "date" : "2003-06-30", + "value" : 0.045, + "meta" : { + "globalKey" : "a4ea615" + } + }, { + "date" : "2004-06-30", + "value" : 0.0475, + "meta" : { + "globalKey" : "5c1d0502" + } + }, { + "date" : "2005-06-30", + "value" : 0.05, + "meta" : { + "globalKey" : "7ad0ea5" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Max" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "afac499e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "dd05a819" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -464,10 +476,10 @@ } } ], "meta" : { - "globalKey" : "96ca225f" + "globalKey" : "9f9085da" } }, "meta" : { - "globalKey" : "96ca225f" + "globalKey" : "9f9085da" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex25-fxnotional-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex25-fxnotional-swap.json index 26fabe82f4..f4c2dc98bd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex25-fxnotional-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex25-fxnotional-swap.json @@ -1,184 +1,77 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-01-09", - "meta" : { - "globalKey" : "3e8849" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleJPY" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleJPY" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58681de7" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a98" - }, - "rollConvention" : "11" - }, "meta" : { - "globalKey" : "a55eed20", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eb7870c3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -197,250 +90,193 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "46e069fc" } }, "meta" : { - "globalKey" : "fc18f888" + "globalKey" : "46e069fc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "notionalScheduleJPY" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ef9abbd6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "4f79278" - } - }, - "dateRelativeTo" : { - "globalReference" : "32b96003", - "externalReference" : "floatingResetDates" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "BankOfJapan" - } - } - }, - "fixingTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "63745db9" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "9de62f77", - "externalReference" : "floatingPaymentDates" - } - } - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "905d4f7c" + "globalKey" : "81e56a96" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a98" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "a55eed20", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "meta" : { + "globalKey" : "fc18f888" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "notionalScheduleJPY" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { + "value" : "USD" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "globalKey" : "ef9abbd6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" - }, { "value" : "USNY" }, { "value" : "JPTO" } ], "meta" : { - "globalKey" : "81e56a96" + "globalKey" : "4f79278" } }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f55" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "a55ee1dd", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "dateRelativeTo" : { + "globalReference" : "32b96003", + "externalReference" : "floatingResetDates" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "BankOfJapan" } - }, - "meta" : { - "globalKey" : "58681de7" } }, - "meta" : { - "globalKey" : "9de62f77", - "externalKey" : "floatingPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a55ee1dd", - "externalReference" : "floatingCalcPeriodDates" + "fixingTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "JPTO" + } }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fd8ae7fc" + "globalKey" : "63745db9" }, - "dayType" : "Business", "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, "dateRelativeTo" : { - "globalReference" : "32b96003", - "externalReference" : "floatingResetDates" + "globalReference" : "9de62f77", + "externalReference" : "floatingPaymentDates" } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } + } + }, + "meta" : { + "globalKey" : "905d4f7c" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -459,126 +295,302 @@ } }, "meta" : { - "globalKey" : "32b96003", - "externalKey" : "floatingResetDates" + "globalKey" : "46e069fc" + } + }, + "meta" : { + "globalKey" : "46e069fc" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "79f3608b" + "globalKey" : "58681de7" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f55" + }, + "rollConvention" : "11" + }, "meta" : { - "globalKey" : "63e9ab03" + "globalKey" : "a55ee1dd", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "63e9ab03" - } - }, - "meta" : { - "globalKey" : "63e9ab03" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "9de62f77", + "externalKey" : "floatingPaymentDates" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a55ee1dd", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fd8ae7fc" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "32b96003", + "externalReference" : "floatingResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" } + }, + "meta" : { + "globalKey" : "32b96003", + "externalKey" : "floatingResetDates" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "79f3608b" } } ], "meta" : { - "globalKey" : "66617482" + "globalKey" : "63e9ab03" } - }, { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "63e9ab03" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "66617482" + } + }, { + "quantity" : [ { + "value" : { + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bf5968ad" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e73016f9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-01-09", + "meta" : { + "globalKey" : "3e8849" + } }, "party" : [ { "partyId" : [ { @@ -614,10 +626,10 @@ } } ], "meta" : { - "globalKey" : "b9d1870e" + "globalKey" : "c20b30f8" } }, "meta" : { - "globalKey" : "b9d1870e" + "globalKey" : "c20b30f8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex27-inverse-floater.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex27-inverse-floater.json index 2243f8984d..831b45e60b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex27-inverse-floater.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex27-inverse-floater.json @@ -1,183 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-3" - } - } - }, - "meta" : { - "globalKey" : "0" - }, - "floatingRateMultiplierSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" + "floatingRateMultiplierSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-3" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "18f93652", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -185,7 +84,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -193,183 +92,183 @@ } }, "meta" : { - "globalKey" : "848424a" + "globalKey" : "9eb4d95c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "18f93652", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "fdec5914", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "21479e", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "9eb4d95c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "fdec5914", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "e0cd491" + "globalKey" : "985d6cb2" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "18f93652", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "848424a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "18f93652", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5a" }, - "dayCountFraction" : { - "value" : "30/360" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e", + "externalKey" : "resetBusinessCenters0" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } + "dateRelativeTo" : { + "globalReference" : "fdec5914", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "21479e", + "externalReference" : "resetBusinessCenters0" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" + "meta" : { + "globalKey" : "35a06081" + } + }, + "meta" : { + "globalKey" : "6bdb6452" + } + }, + "meta" : { + "globalKey" : "fdec5914", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "e0cd491" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "19075916", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -377,7 +276,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -385,171 +284,284 @@ } }, "meta" : { - "globalKey" : "3febc8e7" + "globalKey" : "9eb4d95c" } }, "meta" : { - "globalKey" : "83fdd54" - } - } ], - "meta" : { - "globalKey" : "d1136ca5" - } - } - }, - "meta" : { - "globalKey" : "d1136ca5" - } - }, - "meta" : { - "globalKey" : "d1136ca5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.085, - "unit" : { - "currency" : { - "value" : "USD" + "globalKey" : "9eb4d95c" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "19075916", + "externalKey" : "CalcPeriodDates1" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-3" - } ] - } - }, { - "value" : { - "value" : -1.0, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Multiply" + "meta" : { + "globalKey" : "3febc8e7" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "83fdd54" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "d1136ca5" + } + } + }, + "meta" : { + "globalKey" : "d1136ca5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.085, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "ac74524" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } }, { - "price" : [ { - "value" : { - "value" : 0.045, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "value" : { + "value" : -1.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Multiply" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-3" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "391d5f4d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "d1bd5062" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.045, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "391d5f4d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -585,10 +597,10 @@ } } ], "meta" : { - "globalKey" : "70b10dd0" + "globalKey" : "430df256" } }, "meta" : { - "globalKey" : "70b10dd0" + "globalKey" : "430df256" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex29-non-deliverable-settlement-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex29-non-deliverable-settlement-swap.json index 257509f116..c5987cf61b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex29-non-deliverable-settlement-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex29-non-deliverable-settlement-swap.json @@ -1,233 +1,142 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-0-LTAA0200000096.1" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2007-12-16", - "meta" : { - "globalKey" : "3ebb10" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "96e17152" - } - }, - "meta" : { - "globalKey" : "78e9b601" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-0-LTAA0200000096.1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2007-12-16", + "meta" : { + "globalKey" : "3ebb10" } }, - "meta" : { - "globalKey" : "42bd12fc", - "externalKey" : "PrincipalExchanges" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "meta" : { - "globalKey" : "226239bd" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "786cca04" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "6350dc53", - "externalReference" : "PaymentDatesID" - }, { - "globalReference" : "42bd12fc", - "externalReference" : "PrincipalExchanges" - } ] - } + "principalAmount" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "d4aaa0d7" + "globalKey" : "96e17152" } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "meta" : { + "globalKey" : "78e9b601" + } + } + }, + "meta" : { + "globalKey" : "42bd12fc", + "externalKey" : "PrincipalExchanges" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7db803f0" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "54261e56" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, + "globalKey" : "786cca04" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "705b0656" + "globalKey" : "4f5ffd5" } }, - "meta" : { - "globalKey" : "705b0656" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "6350dc53", + "externalReference" : "PaymentDatesID" + }, { + "globalReference" : "42bd12fc", + "externalReference" : "PrincipalExchanges" + } ] } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "d4aaa0d7" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -243,29 +152,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10184" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -282,120 +180,131 @@ } }, "meta" : { - "globalKey" : "6350dc53", - "externalKey" : "PaymentDatesID" + "globalKey" : "705b0656" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } }, "meta" : { - "globalKey" : "4d2f181d" + "globalKey" : "987f5366" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10184" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-1-LTAA0200000096.1" + "globalKey" : "4f5ffd5" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "9172e48e" - }, - "rateTreatment" : "MoneyMarketYield", - "initialRate" : { - "value" : 0.01650000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } + "meta" : { + "globalKey" : "987f5366" + } + }, + "meta" : { + "globalKey" : "6350dc53", + "externalKey" : "PaymentDatesID" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "5d786734" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-1-LTAA0200000096.1" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "9172e48e" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, - "meta" : { - "globalKey" : "54261e56" + "rateTreatment" : "MoneyMarketYield", + "initialRate" : { + "value" : 0.01650000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "705b0656" - } - }, - "meta" : { - "globalKey" : "705b0656" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,29 +320,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10AC8" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -450,179 +348,294 @@ } }, "meta" : { - "globalKey" : "6350dc53" + "globalKey" : "705b0656" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "acf4d657", - "externalReference" : "E2000098N10AC8" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "fdf45784" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "dddb3327", - "externalReference" : "E2000098N10DDE" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "dddb3327", - "externalKey" : "E2000098N10DDE" + "globalKey" : "4f5ffd5" } }, "meta" : { - "globalKey" : "2bd58900" + "globalKey" : "987f5366" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "1391089d" + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10AC8" } - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0273000, - "unit" : { - "currency" : { - "value" : "KRW" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } + }, + "meta" : { + "globalKey" : "987f5366" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6350dc53" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "KRW" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "acf4d657", + "externalReference" : "E2000098N10AC8" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fdf45784" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "dddb3327", + "externalReference" : "E2000098N10DDE" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "dddb3327", + "externalKey" : "E2000098N10DDE" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2bd58900" } } ], "meta" : { - "globalKey" : "9612dabd" + "globalKey" : "d962ae34" } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "d962ae34" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0273000, + "unit" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "KRW" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "9612dabd" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "32f46b8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c83dfcbc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -661,10 +674,10 @@ } } ], "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } }, "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex30-swap-comp-avg-relative-date.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex30-swap-comp-avg-relative-date.json index 5d03e2095e..04a88368c3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex30-swap-comp-avg-relative-date.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex30-swap-comp-avg-relative-date.json @@ -1,177 +1,85 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a4c148a4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "martin", - "meta" : { - "scheme" : "http://xml.morganstanley.com/fid/ird/msTradeIdScheme/swapName" - } - } - } ], - "meta" : { - "globalKey" : "55073490" - } - }, { - "issuerReference" : { - "globalReference" : "3a74b3c0", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", - "meta" : { - "scheme" : "http://xml.morganstanley.com/fid/ird/counterpartyTradeIdScheme" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2005-07-31", - "meta" : { - "globalKey" : "3ea9df", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalSchedule_0_0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12be35" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalSchedule_0_0" } }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "12be35" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "6d8c1fc6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ea9df", - "externalReference" : "tradeDate" - }, - "relativeDateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - } - }, - "meta" : { - "globalKey" : "6d8c1fc6", - "externalKey" : "effectiveDate_0_0" - } + "globalKey" : "6d8c1fc6" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "Y", - "meta" : { - "globalKey" : "f10af5ca" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "dateRelativeTo" : { - "globalReference" : "6d8c1fc6", - "externalReference" : "effectiveDate_0_0" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "f10af5ca", - "externalKey" : "terminationDate_0_0" + "globalKey" : "21479e" } }, - "calculationPeriodDatesAdjustments" : { + "dateRelativeTo" : { + "globalReference" : "3ea9df", + "externalReference" : "tradeDate" + }, + "relativeDateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -186,30 +94,238 @@ "meta" : { "globalKey" : "97b8e49c" } + } + }, + "meta" : { + "globalKey" : "6d8c1fc6", + "externalKey" : "effectiveDate_0_0" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "Y", + "meta" : { + "globalKey" : "f10af5ca" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" + "globalKey" : "42f910b" + } + }, + "dateRelativeTo" : { + "globalReference" : "6d8c1fc6", + "externalReference" : "effectiveDate_0_0" + } + }, + "meta" : { + "globalKey" : "f10af5ca", + "externalKey" : "terminationDate_0_0" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b8c" + }, + "rollConvention" : "2" + }, + "meta" : { + "globalKey" : "b9d94b98", + "externalKey" : "calculationPeriodDates_0_0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "628a6d89" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2006-02-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2005-08-04", + "adjustedEndDate" : "2006-02-06", + "meta" : { + "globalKey" : "29c6dee4", + "externalKey" : "calculationPeriod_0_0_1" + }, + "calculationPeriodNumberOfDays" : 182, + "notionalAmount" : 100000000, + "fixedRate" : 0.0003 + } ], + "meta" : { + "globalKey" : "7cc492ea", + "externalKey" : "paymentCalculationPeriod_0_0_1" + } + }, { + "adjustedPaymentDate" : "2006-08-04", + "calculationPeriod" : [ { + "adjustedStartDate" : "2006-02-06", + "adjustedEndDate" : "2006-08-04", + "meta" : { + "globalKey" : "86296b24", + "externalKey" : "calculationPeriod_0_0_2" + }, + "calculationPeriodNumberOfDays" : 178, + "notionalAmount" : 100000000, + "fixedRate" : 0.0003 + } ], + "meta" : { + "globalKey" : "c8b38a28", + "externalKey" : "paymentCalculationPeriod_0_0_2" + } + }, { + "adjustedPaymentDate" : "2007-02-05", + "calculationPeriod" : [ { + "adjustedStartDate" : "2006-08-04", + "adjustedEndDate" : "2007-02-05", + "meta" : { + "globalKey" : "9e2566c4", + "externalKey" : "calculationPeriod_0_0_3" }, + "calculationPeriodNumberOfDays" : 181, + "notionalAmount" : 100000000, + "fixedRate" : 0.0003 + } ], + "meta" : { + "globalKey" : "ee16e789", + "externalKey" : "paymentCalculationPeriod_0_0_3" + } + }, { + "adjustedPaymentDate" : "2007-08-06", + "calculationPeriod" : [ { + "adjustedStartDate" : "2007-02-05", + "adjustedEndDate" : "2007-08-06", "meta" : { - "globalKey" : "b9d94b98", - "externalKey" : "calculationPeriodDates_0_0" + "globalKey" : "fa7b47a4", + "externalKey" : "calculationPeriod_0_0_4" + }, + "calculationPeriodNumberOfDays" : 181, + "notionalAmount" : 100000000, + "fixedRate" : 0.0003 + } ], + "meta" : { + "globalKey" : "d8abe52a", + "externalKey" : "paymentCalculationPeriod_0_0_4" + } + } ] + }, + "meta" : { + "globalKey" : "24eee3cb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalSchedule_0_1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12be35" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + 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"observationWeight" : 33, - "meta" : { - "globalKey" : "7987e9f" - } - } ] + "globalKey" : "7987169" } - } ], - "meta" : { - "globalKey" : "b6e3654c", - "externalKey" : "paymentCalculationPeriod_0_1_7" - } - } ] - }, + }, { + "adjustedFixingDate" : "2007-07-02", + "observationWeight" : 33, + "meta" : { + "globalKey" : "7987e9f" + } + } ] + } + } ], "meta" : { - "globalKey" : "42d793a7" + "globalKey" : "b6e3654c", + "externalKey" : "paymentCalculationPeriod_0_1_7" } - } ], - "meta" : { - "globalKey" : "707430fc" - } + } ] + }, + "meta" : { + "globalKey" : "42d793a7" } - }, + } ], "meta" : { - "globalKey" : "c536f022" + "globalKey" : "707430fc" } - }, - "meta" : { - "globalKey" : "c536f022" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0003, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "c536f022" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0003, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "5c114a7f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "5c114a7f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a4c148a4", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3a74b3c0", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f8e4e087" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a4c148a4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3a74b3c0", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a4c148a4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "martin", + "meta" : { + "scheme" : "http://xml.morganstanley.com/fid/ird/msTradeIdScheme/swapName" + } + } + } ], + "meta" : { + "globalKey" : "55073490" + } + }, { + "issuerReference" : { + "globalReference" : "3a74b3c0", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://xml.morganstanley.com/fid/ird/counterpartyTradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2005-07-31", + "meta" : { + "globalKey" : "3ea9df", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -956,10 +968,10 @@ } } ], "meta" : { - "globalKey" : "cf2a8e2" + "globalKey" : "fe31ee20" } }, "meta" : { - "globalKey" : "cf2a8e2" + "globalKey" : "fe31ee20" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex32-zero-coupon-swap-normal-rate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex32-zero-coupon-swap-normal-rate.json index b8ae8747c0..cb8c6ea4fe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex32-zero-coupon-swap-normal-rate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex32-zero-coupon-swap-normal-rate.json @@ -1,221 +1,85 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "tradeSource" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1-2", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } }, { - "identifier" : { - "value" : "11111111", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/alpha-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "80748ff5" - } - }, { - "issuerReference" : { - "globalReference" : "8251773a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc123", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "409350a5" - } - }, { - "issuerReference" : { - "globalReference" : "2e47ffb0", - "externalReference" : "clearingDCO" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LCH00000000001", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat" } } }, { - "identifier" : { - "value" : "STM", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-classification" - } - } - } ], - "meta" : { - "globalKey" : "5683d2c7" - } - }, { - "issuer" : { - "value" : "1010000051", - "meta" : { - "scheme" : "USINamespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "XX11111111XXX1111111111111111111", - "meta" : { - "scheme" : "USI" - } - } - } ], - "meta" : { - "globalKey" : "765a215f" - } - }, { - "issuer" : { - "value" : "1010000051", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "XX11111111XXX1111111111111111111", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "6d78b379" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2010-07-06", - "meta" : { - "globalKey" : "3ed1c6" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2051-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2051-06-30", - "meta" : { - "globalKey" : "40119e" - } - }, - "meta" : { - "globalKey" : "f0a6c956" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2051-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f0a6c956" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2052-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "adjustedDate" : { - "value" : "2052-06-28", - "meta" : { - "globalKey" : "40299c" - } - }, - "meta" : { - "globalKey" : "626b7491" - } - }, + "adjustedDate" : { + "value" : "2051-06-30", "meta" : { - "globalKey" : "626b7491" + "globalKey" : "40119e" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2052-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -229,138 +93,138 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "adjustedDate" : { + "value" : "2052-06-28", "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" + "globalKey" : "40299c" + } }, "meta" : { - "globalKey" : "ddf61d0d", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "626b7491" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "626b7491" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aacaea08", - "externalKey" : "paymentDates1" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "5157687a" + "globalKey" : "365c4b6f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "ddf61d0d", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "aacaea08", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "5157687a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2051-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2051-06-30", - "meta" : { - "globalKey" : "40119e" - } - }, - "meta" : { - "globalKey" : "f0a6c956" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2051-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f0a6c956" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2052-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "adjustedDate" : { - "value" : "2052-06-28", - "meta" : { - "globalKey" : "40299c" - } - }, - "meta" : { - "globalKey" : "626b7491" - } - }, + "adjustedDate" : { + "value" : "2051-06-30", "meta" : { - "globalKey" : "626b7491" + "globalKey" : "40119e" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2052-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -374,218 +238,366 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "adjustedDate" : { + "value" : "2052-06-28", "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" + "globalKey" : "40299c" + } }, "meta" : { - "globalKey" : "ddd2e77a", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "626b7491" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "626b7491" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aacaea08", - "externalKey" : "paymentDates2" + "globalKey" : "21479e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ddd2e77a", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b7e54b1b", - "externalKey" : "fixingDates2" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "b92a5516", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "ddd2e77a", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "b92a5516", - "externalKey" : "resetDates2" + "globalKey" : "21479e" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6c8dea8a" + "globalKey" : "365c4b6f" } - } ], + }, "meta" : { - "globalKey" : "f0255ad0" + "globalKey" : "aacaea08", + "externalKey" : "paymentDates2" } - } - }, - "meta" : { - "globalKey" : "4672ae35" - } - }, - "meta" : { - "globalKey" : "4672ae35" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.040610, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ddd2e77a", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b7e54b1b", + "externalKey" : "fixingDates2" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "b92a5516", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9000000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } + }, + "meta" : { + "globalKey" : "b92a5516", + "externalKey" : "resetDates2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "6c8dea8a" } } ], "meta" : { - "globalKey" : "2f4bf470" + "globalKey" : "f0255ad0" } - }, { - "quantity" : [ { - "value" : { - "value" : 9000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "4672ae35" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.040610, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "2f4bf470" + } + }, { + "quantity" : [ { + "value" : { + "value" : 9000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9aacf7b2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "179368c5" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e47ffb0", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8251773a", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "tradeSource" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1-2", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + } + }, { + "identifier" : { + "value" : "11111111", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/alpha-trade-id" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2e47ffb0", - "externalReference" : "party2" + "meta" : { + "globalKey" : "80748ff5" + } + }, { + "issuerReference" : { + "globalReference" : "8251773a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc123", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "409350a5" + } + }, { + "issuerReference" : { + "globalReference" : "2e47ffb0", + "externalReference" : "clearingDCO" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00000000001", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8251773a", - "externalReference" : "party1" + "identifier" : { + "value" : "STM", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-classification" + } } - } ] + } ], + "meta" : { + "globalKey" : "5683d2c7" + } + }, { + "issuer" : { + "value" : "1010000051", + "meta" : { + "scheme" : "USINamespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "XX11111111XXX1111111111111111111", + "meta" : { + "scheme" : "USI" + } + } + } ], + "meta" : { + "globalKey" : "765a215f" + } + }, { + "issuer" : { + "value" : "1010000051", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "XX11111111XXX1111111111111111111", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "6d78b379" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2010-07-06", + "meta" : { + "globalKey" : "3ed1c6" + } }, "party" : [ { "partyId" : [ { @@ -724,10 +736,10 @@ } }, "meta" : { - "globalKey" : "2b600648" + "globalKey" : "bbd6c65d" } }, "meta" : { - "globalKey" : "2b600648" + "globalKey" : "bbd6c65d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex33-BRL-CDI-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex33-BRL-CDI-swap.json index 9cc6503db3..6dd941d875 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex33-BRL-CDI-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex33-BRL-CDI-swap.json @@ -1,376 +1,132 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "fa8ff89a", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "987654321-0", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "3ffe0b9d" - } - } ], - "tradeDate" : { - "value" : "2012-06-29", - "meta" : { - "globalKey" : "3ee19d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "futureValueNotional" : { - "quantity" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "currency" : { - "value" : "BRL" - }, - "calculationPeriodNumberOfDays" : 122, - "valueDate" : "2013-03-26" - }, - "meta" : { - "globalKey" : "4076a9c" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7fe8b009" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1483817f", - "externalKey" : "fixedLegFxFixingDates" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "efeee7e7", - "externalReference" : "fixedLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "e77415a3" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "futureValueNotional" : { + "quantity" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "dayCountFraction" : { - "value" : "CAL/252" + "currency" : { + "value" : "BRL" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-26", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "meta" : { - "globalKey" : "efeee7e7" + "calculationPeriodNumberOfDays" : 122, + "valueDate" : "2013-03-26" + }, + "meta" : { + "globalKey" : "4076a9c" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "1e816afc" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "efeee7e7", - "externalKey" : "fixedLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "94beb296", - "externalKey" : "fixedLegCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "ValuationDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "ea4abbbd" + "globalKey" : "1483817f", + "externalKey" : "fixedLegFxFixingDates" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { + "value" : "BRBD" + }, { "value" : "USNY" } ], "meta" : { - "globalKey" : "27e4e9" + "globalKey" : "3f03a97" } }, - "meta" : { - "globalKey" : "212500d8" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "efeee7e7", + "externalReference" : "fixedLegTerminationDate" + } ] } - }, - "meta" : { - "globalKey" : "97d62622" } }, "meta" : { - "globalKey" : "9f71f0ea" + "globalKey" : "e77415a3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6b0d901b" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ffa86191", - "externalKey" : "floatingLegFxFixingDates" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "efeee7e7", - "externalReference" : "floatingLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "d298f5b5" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "866f31bf" - }, - "initialRate" : { - "value" : 0.10432, - "unit" : { - "currency" : { - "value" : "BRL" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "InterestRate" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec345b12" } }, - "dayCountFraction" : { - "value" : "CAL/252" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-26", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "meta" : { - "globalKey" : "efeee7e7" - } - }, - "meta" : { - "globalKey" : "efeee7e7", - "externalKey" : "floatingLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec345b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-26", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -384,88 +140,191 @@ "globalKey" : "211c5881" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "1187dc4d", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "efeee7e7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "ValuationDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" + "meta" : { + "globalKey" : "efeee7e7", + "externalKey" : "fixedLegTerminationDate" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "94beb296", + "externalKey" : "fixedLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "ValuationDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } + }, + "meta" : { + "globalKey" : "97d62622" + } + }, + "meta" : { + "globalKey" : "f1a73dfd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "9a64b0e" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "212500d8" } - }, - "meta" : { - "globalKey" : "97d62622" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1187dc4d", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "a7117093" + "globalKey" : "ffa86191", + "externalKey" : "floatingLegFxFixingDates" }, "dayType" : "Business", "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "1f3c92" + "globalKey" : "3f03a97" } }, - "dateRelativeTo" : { - "globalReference" : "ef2f9828", - "externalReference" : "floatingLegResetDates" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "efeee7e7", + "externalReference" : "floatingLegTerminationDate" + } ] + } + } + }, + "meta" : { + "globalKey" : "d298f5b5" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "866f31bf" + }, + "initialRate" : { + "value" : 0.10432, + "unit" : { + "currency" : { + "value" : "BRL" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ec345b12" + } + }, + "meta" : { + "globalKey" : "ec345b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-26", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -480,149 +339,304 @@ } }, "meta" : { - "globalKey" : "ef2f9828", - "externalKey" : "floatingLegResetDates" + "globalKey" : "efeee7e7" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "b6ec809d" + "globalKey" : "efeee7e7", + "externalKey" : "floatingLegTerminationDate" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "meta" : { + "globalKey" : "211c5881" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "46dc6773" + "globalKey" : "1187dc4d", + "externalKey" : "floatingLegCalcPeriodDates" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "ValuationDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } + }, + "meta" : { + "globalKey" : "97d62622" } - } - }, - "meta" : { - "globalKey" : "93c2b146" - } - }, - "meta" : { - "globalKey" : "93c2b146" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0876, - "unit" : { - "currency" : { - "value" : "BRL" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1187dc4d", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "a7117093" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "dateRelativeTo" : { + "globalReference" : "ef2f9828", + "externalReference" : "floatingLegResetDates" } }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "meta" : { + "globalKey" : "211c5881" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ef2f9828", + "externalKey" : "floatingLegResetDates" + } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "f2490e32" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "BRL" - } + "meta" : { + "globalKey" : "559769af" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } + } + }, + "meta" : { + "globalKey" : "ec7a3582" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0876, + "unit" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 104149148.42, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "BRL" + } } - } ], + }, "meta" : { - "globalKey" : "bbfc6361" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "BRL" - } + "value" : { + "value" : 104149148.42, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "bbfc6361" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "BRL" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7c30e9d0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "fa8ff89a", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "defe9a0c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "ded9c798", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "fa8ff89a", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ded9c798", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "fa8ff89a", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "fa8ff89a", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "987654321-0", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "fa8ff89a", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "3ffe0b9d" + } + } ], + "tradeDate" : { + "value" : "2012-06-29", + "meta" : { + "globalKey" : "3ee19d" + } }, "party" : [ { "partyId" : [ { @@ -664,10 +678,10 @@ } } ], "meta" : { - "globalKey" : "238bed8b" + "globalKey" : "de6c5d71" } }, "meta" : { - "globalKey" : "238bed8b" + "globalKey" : "de6c5d71" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex40-rfr-avg-swap-obs-period-shift.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex40-rfr-avg-swap-obs-period-shift.json index 7441e143f3..fec6e0bb49 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex40-rfr-avg-swap-obs-period-shift.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex40-rfr-avg-swap-obs-period-shift.json @@ -1,155 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2018-11-15", - "meta" : { - "globalKey" : "3f12cf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "a227531d" - }, - "calculationParameters" : { - "calculationMethod" : "Averaging", - "observationShiftCalculation" : { - "offsetDays" : 5, - "calculationBase" : "Standard", - "additionalBusinessDays" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - } - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "a227531d" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, + "calculationParameters" : { + "calculationMethod" : "Averaging", + "observationShiftCalculation" : { + "offsetDays" : 5, + "calculationBase" : "Standard", + "additionalBusinessDays" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "12cc4415" + "globalKey" : "21479e" } - }, - "meta" : { - "globalKey" : "12cc4415" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -163,37 +90,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce712a6a", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -208,99 +116,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "e180b21e" } }, "meta" : { - "globalKey" : "f286008b" + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "ce712a6a", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "f286008b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, - "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -314,37 +241,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce712a6a", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -359,129 +267,233 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "e180b21e" + } + }, + "meta" : { + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "a97836cc" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "22cf69a1" + "globalKey" : "ce712a6a", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "a97836cc" } - }, + } ], "meta" : { - "globalKey" : "1708349f" + "globalKey" : "22cf69a1" } }, - "meta" : { - "globalKey" : "1708349f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "1708349f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-AVERAGE" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-AVERAGE" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-AVERAGE" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d819b22d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "6d8ae159" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2018-11-15", + "meta" : { + "globalKey" : "3f12cf" + } }, "party" : [ { "partyId" : [ { @@ -545,10 +557,10 @@ } } ], "meta" : { - "globalKey" : "c96cfac" + "globalKey" : "115beade" } }, "meta" : { - "globalKey" : "c96cfac" + "globalKey" : "115beade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json index 7fe68cba3b..6709ea86ff 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json @@ -1,154 +1,81 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2018-11-15", - "meta" : { - "globalKey" : "3f12cf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "364d7961" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "364d7961" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -162,37 +89,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce712a6a", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -207,99 +115,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "e180b21e" + } + }, + "meta" : { + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-678" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "2e739ed" + "globalKey" : "a98014e5" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "ce712a6a", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "2e739ed" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, - "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -313,37 +240,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce712a6a", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -358,299 +266,403 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "e180b21e" } }, "meta" : { - "globalKey" : "a97836cc" + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-682" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "4d7ce87f" + "globalKey" : "ce712a6a", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "followUpConfirmation" : true, - "calculationAgent" : { - "calculationAgentPartyEnum" : "NonExercisingParty" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "a97836cc" + } + } ], + "meta" : { + "globalKey" : "4d7ce87f" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "exerciseNotice" : [ { + "businessCenter" : { + "value" : "GBLO" + } + } ], + "followUpConfirmation" : true, + "calculationAgent" : { + "calculationAgentPartyEnum" : "NonExercisingParty" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "46e3a790" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "46e3a790", - "externalKey" : "cashSettlementPayment0" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "cfb20656" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "MidMarketIndicativeQuotations", - "valuationMethod" : { - "cashCollateralValuationMethod" : { - "applicableCsa" : "NoCSA", - "cashCollateralCurrency" : "EUR", - "cashCollateralInterestRate" : { - "value" : "EuroSTR" - }, - "agreedDiscountRate" : { - "value" : "EuroSTR" - } - } - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "4de1387" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "dateRelativeTo" : { - "globalReference" : "46e3a790", - "externalReference" : "cashSettlementPayment0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } + "globalKey" : "46e3a790" + } + }, + "meta" : { + "globalKey" : "46e3a790", + "externalKey" : "cashSettlementPayment0" + } + }, + "meta" : { + "globalKey" : "cfb20656" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "MidMarketIndicativeQuotations", + "valuationMethod" : { + "cashCollateralValuationMethod" : { + "applicableCsa" : "NoCSA", + "cashCollateralCurrency" : "EUR", + "cashCollateralInterestRate" : { + "value" : "EuroSTR" }, - "meta" : { - "globalKey" : "4004739" + "agreedDiscountRate" : { + "value" : "EuroSTR" } - } ] + } }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : -5, - "period" : "D", + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "4de1387" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "ff947ba6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "dateRelativeTo" : { - "globalReference" : "46e3a790", - "externalReference" : "cashSettlementPayment0" + "globalKey" : "428533f" } }, - "meta" : { - "globalKey" : "ff947ba6" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "dateRelativeTo" : { + "globalReference" : "46e3a790", + "externalReference" : "cashSettlementPayment0" } + } + }, + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "meta" : { + "globalKey" : "4004739" + } + } ] + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : -5, + "period" : "D", + "meta" : { + "globalKey" : "ff947ba6" }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4158421" } }, - "meta" : { - "globalKey" : "52492d18" + "dateRelativeTo" : { + "globalReference" : "46e3a790", + "externalReference" : "cashSettlementPayment0" } + }, + "meta" : { + "globalKey" : "ff947ba6" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, "meta" : { - "globalKey" : "a73afc61" + "globalKey" : "52492d18" } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a73afc61" } - }, - "meta" : { - "globalKey" : "e06ddbc0" } }, - "meta" : { - "globalKey" : "e06ddbc0" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "e06ddbc0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "162a8899" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "8cd78c3d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2018-11-15", + "meta" : { + "globalKey" : "3f12cf" + } }, "party" : [ { "partyId" : [ { @@ -714,10 +726,10 @@ } } ], "meta" : { - "globalKey" : "24510cff" + "globalKey" : "da38715b" } }, "meta" : { - "globalKey" : "24510cff" + "globalKey" : "da38715b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json index c055b5ca9e..e5fd94323d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-12/products/rates/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json @@ -1,154 +1,81 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2018-11-15", - "meta" : { - "globalKey" : "3f12cf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "364d7961" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "364d7961" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -162,37 +89,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce712a6a", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -207,99 +115,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "e180b21e" } }, "meta" : { - "globalKey" : "2e739ed" + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "ce712a6a", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "2e739ed" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, - "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -313,37 +240,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce712a6a", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -358,294 +266,398 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "e180b21e" } }, "meta" : { - "globalKey" : "a97836cc" + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-682" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "4d7ce87f" + "globalKey" : "ce712a6a", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "followUpConfirmation" : true, - "calculationAgent" : { - "calculationAgentPartyEnum" : "NonExercisingParty" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "a97836cc" + } + } ], + "meta" : { + "globalKey" : "4d7ce87f" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "exerciseNotice" : [ { + "businessCenter" : { + "value" : "GBLO" + } + } ], + "followUpConfirmation" : true, + "calculationAgent" : { + "calculationAgentPartyEnum" : "NonExercisingParty" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "46e3a790" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "46e3a790", - "externalKey" : "cashSettlementPayment0" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "532d8c1e" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "ReplacementValueFirmQuotations", - "valuationMethod" : { - "cashCollateralValuationMethod" : { - "cashCollateralCurrency" : "EUR", - "protectedParty" : [ "Both" ], - "prescribedDocumentationAdjustment" : true - } - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "4de1387" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "dateRelativeTo" : { - "globalReference" : "46e3a790", - "externalReference" : "cashSettlementPayment0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "meta" : { - "globalKey" : "d432ae1b" - } - } ] + "globalKey" : "46e3a790" + } }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : -5, - "period" : "D", + "meta" : { + "globalKey" : "46e3a790", + "externalKey" : "cashSettlementPayment0" + } + }, + "meta" : { + "globalKey" : "532d8c1e" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "ReplacementValueFirmQuotations", + "valuationMethod" : { + "cashCollateralValuationMethod" : { + "cashCollateralCurrency" : "EUR", + "protectedParty" : [ "Both" ], + "prescribedDocumentationAdjustment" : true + } + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "4de1387" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "ff947ba6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "dateRelativeTo" : { - "globalReference" : "46e3a790", - "externalReference" : "cashSettlementPayment0" + "globalKey" : "428533f" } }, - "meta" : { - "globalKey" : "ff947ba6" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "dateRelativeTo" : { + "globalReference" : "46e3a790", + "externalReference" : "cashSettlementPayment0" } + } + }, + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "meta" : { + "globalKey" : "d432ae1b" + } + } ] + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : -5, + "period" : "D", + "meta" : { + "globalKey" : "ff947ba6" }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4158421" } }, - "meta" : { - "globalKey" : "52492d18" + "dateRelativeTo" : { + "globalReference" : "46e3a790", + "externalReference" : "cashSettlementPayment0" } + }, + "meta" : { + "globalKey" : "ff947ba6" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, "meta" : { - "globalKey" : "150bfd3b" + "globalKey" : "52492d18" } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "150bfd3b" } - }, - "meta" : { - "globalKey" : "3caafcd0" } }, - "meta" : { - "globalKey" : "3caafcd0" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "3caafcd0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "162a8899" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "8cd78c3d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2018-11-15", + "meta" : { + "globalKey" : "3f12cf" + } }, "party" : [ { "partyId" : [ { @@ -709,10 +721,10 @@ } } ], "meta" : { - "globalKey" : "598c1519" + "globalKey" : "1861d66b" } }, "meta" : { - "globalKey" : "598c1519" + "globalKey" : "1861d66b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json index 6b68fb2169..3bb5517865 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex10-physical-oil-pipeline-crude-wti-floating-price.json @@ -1,5 +1,141 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "5a4c1a06" + } + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "meta" : { + "globalKey" : "34164625" + } + } + }, + "meta" : { + "globalKey" : "63752c82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "887868a8" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,144 +175,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - }, - "meta" : { - "globalKey" : "b14a72a8" - } - }, - "meta" : { - "globalKey" : "b75425e2" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "meta" : { - "globalKey" : "743d0401" - } - } - }, - "meta" : { - "globalKey" : "ea3cab04" - } - }, - "meta" : { - "globalKey" : "ea3cab04" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - } - } - }, - "meta" : { - "globalKey" : "b14a72a8" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -263,10 +261,10 @@ } }, "meta" : { - "globalKey" : "7f889e5f" + "globalKey" : "8d302803" } }, "meta" : { - "globalKey" : "7f889e5f" + "globalKey" : "8d302803" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json index 38dba0f81e..47f134ee71 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex11-physical-oil-pipeline-heating-oil-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "dc85c3fe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.45, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USGAL" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "217175b9" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "dc85c3fe" - } - }, - "meta" : { - "globalKey" : "dc85c3fe" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.45, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USGAL" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "217175b9" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -247,10 +240,10 @@ } }, "meta" : { - "globalKey" : "96189596" + "globalKey" : "7d8491d6" } }, "meta" : { - "globalKey" : "96189596" + "globalKey" : "7d8491d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json index d9724acd98..dbe3065645 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex12-physical-gas-europe-zbt-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fb252c" + } + }, + "meta" : { + "globalKey" : "25fb252c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fb95ca" + } + }, + "meta" : { + "globalKey" : "25fb95ca" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "262fbfe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 5.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "capacityUnit" : "GJ" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "bf9be60d" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fb252c" - } - }, - "meta" : { - "globalKey" : "25fb252c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fb95ca" - } - }, - "meta" : { - "globalKey" : "25fb95ca" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "262fbfe" - } - }, - "meta" : { - "globalKey" : "262fbfe" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 5.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "capacityUnit" : "GJ" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "bf9be60d" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -247,10 +240,10 @@ } }, "meta" : { - "globalKey" : "332c80c2" + "globalKey" : "5b951b02" } }, "meta" : { - "globalKey" : "332c80c2" + "globalKey" : "5b951b02" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json index 30d60a9dc8..81d2ab16ff 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex13-physical-gas-us-tw-west-texas-pool-floating-price-4-days.json @@ -1,5 +1,168 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-04-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fc156c" + } + }, + "meta" : { + "globalKey" : "25fc156c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-04-04", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fc20af" + } + }, + "meta" : { + "globalKey" : "25fc20af" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "commodityPriceReturnTerms" : { + "spread" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + } + }, + "pricingDates" : { + "parametricDates" : { + "dayDistribution" : "All" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "6cbbb1dc" + } + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "meta" : { + "globalKey" : "d2aa02fb" + } + } + }, + "meta" : { + "globalKey" : "1fa67298" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 15.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "40d8dcb0" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,171 +202,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-04-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fc156c" - } - }, - "meta" : { - "globalKey" : "25fc156c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-04-04", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fc20af" - } - }, - "meta" : { - "globalKey" : "25fc20af" - } - }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "commodityPriceReturnTerms" : { - "spread" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - }, - "pricingDates" : { - "parametricDates" : { - "dayDistribution" : "All" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - }, - "meta" : { - "globalKey" : "96f67959" - } - }, - "meta" : { - "globalKey" : "676437fd" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "meta" : { - "globalKey" : "9b70909c" - } - } - }, - "meta" : { - "globalKey" : "5281c65f" - } - }, - "meta" : { - "globalKey" : "5281c65f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 15.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - } - } - }, - "meta" : { - "globalKey" : "d9d23270" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -290,10 +288,10 @@ } }, "meta" : { - "globalKey" : "793af97a" + "globalKey" : "8205aed5" } }, "meta" : { - "globalKey" : "793af97a" + "globalKey" : "8205aed5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json index f5016ce43a..9166743416 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex14-physical-gas-europe-ttf-fixed-price.json @@ -1,5 +1,117 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fee62c" + } + }, + "meta" : { + "globalKey" : "25fee62c" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "ff785120" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.2, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d12a986a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,125 +151,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fee62c" - } - }, - "meta" : { - "globalKey" : "25fee62c" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "ff785120" - } - }, - "meta" : { - "globalKey" : "ff785120" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.2, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d12a986a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -225,10 +218,10 @@ } }, "meta" : { - "globalKey" : "2e8f8162" + "globalKey" : "ad9c0de2" } }, "meta" : { - "globalKey" : "2e8f8162" + "globalKey" : "ad9c0de2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json index debc111393..739b293f5d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex15-physical-oil-pipeline-crude-wcs-fixed-price.json @@ -1,5 +1,140 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2602a72c" + } + }, + "meta" : { + "globalKey" : "2602a72c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-11-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26031409" + } + }, + "meta" : { + "globalKey" : "26031409" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 20, + "period" : "D", + "meta" : { + "globalKey" : "24053e8e" + }, + "dayType" : "Calendar" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NEAREST", + "meta" : { + "globalKey" : "979ebc3e" + } + }, + "meta" : { + "globalKey" : "3e8c9ba6" + } + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "c7c08b39" + } + } ], + "meta" : { + "globalKey" : "3e03b67a" + } + } + }, + "meta" : { + "globalKey" : "201d4197" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 41.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USGAL" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "474bbb7a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,148 +174,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2602a72c" - } - }, - "meta" : { - "globalKey" : "2602a72c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-11-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26031409" - } - }, - "meta" : { - "globalKey" : "26031409" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 20, - "period" : "D", - "meta" : { - "globalKey" : "24053e8e" - }, - "dayType" : "Calendar" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NEAREST", - "meta" : { - "globalKey" : "979ebc3e" - } - }, - "meta" : { - "globalKey" : "3e8c9ba6" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "c7c08b39" - } - } ], - "meta" : { - "globalKey" : "3e03b67a" - } - } - }, - "meta" : { - "globalKey" : "201d4197" - } - }, - "meta" : { - "globalKey" : "201d4197" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 41.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "USGAL" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "474bbb7a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -223,10 +216,10 @@ } } ], "meta" : { - "globalKey" : "2b0ed37b" + "globalKey" : "df83473b" } }, "meta" : { - "globalKey" : "2b0ed37b" + "globalKey" : "df83473b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json index 0699dfb535..5e85dc79a9 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex16-physical-power-us-eei-floating-price.json @@ -1,5 +1,191 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "meta" : { + "globalKey" : "25ffd66c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "meta" : { + "globalKey" : "2600470a" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "14966" + } + }, + "commodityPriceReturnTerms" : { + "spread" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + } + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "ICE/10X-DAILY" + } ], + "meta" : { + "globalKey" : "802f9b7f" + } + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" + }, + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "27cac490" + } + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "meta" : { + "globalKey" : "75c89baf" + } + } + }, + "meta" : { + "globalKey" : "7879264d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 3.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ELECTRICITY-ERCOT-NORTH PEAK-ICE/10X DAILY-POWER", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "MeanOfHighAndLow" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "4fcdf4ea" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,194 +225,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "meta" : { - "globalKey" : "25ffd66c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "meta" : { - "globalKey" : "2600470a" - } - }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "commodityPriceReturnTerms" : { - "spread" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "ICE/10X-DAILY" - } ], - "meta" : { - "globalKey" : "802f9b7f" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-ERCOT-NORTH PEAK-ICE/10X DAILY-POWER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" - }, - "meta" : { - "globalKey" : "1c285c04" - } - }, - "meta" : { - "globalKey" : "52225574" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "meta" : { - "globalKey" : "96651a93" - } - } - }, - "meta" : { - "globalKey" : "acdf0235" - } - }, - "meta" : { - "globalKey" : "acdf0235" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 3.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-ERCOT-NORTH PEAK-ICE/10X DAILY-POWER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" - } - } - }, - "meta" : { - "globalKey" : "7e61c8ea" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -269,10 +267,10 @@ } } ], "meta" : { - "globalKey" : "f7032bf" + "globalKey" : "570f9b67" } }, "meta" : { - "globalKey" : "f7032bf" + "globalKey" : "570f9b67" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json index 92529ddaf6..34b2392bf5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex17-physical-power-uk-gtma-fixed-price.json @@ -1,5 +1,82 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "meta" : { + "globalKey" : "cb7296a0" + } + } + }, + "meta" : { + "globalKey" : "a85f6ee3" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,90 +116,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "meta" : { - "globalKey" : "cb7296a0" - } - } - }, - "meta" : { - "globalKey" : "a85f6ee3" - } - }, - "meta" : { - "globalKey" : "a85f6ee3" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -165,10 +158,10 @@ } } ], "meta" : { - "globalKey" : "ba6abfef" + "globalKey" : "bc6fc8cd" } }, "meta" : { - "globalKey" : "ba6abfef" + "globalKey" : "bc6fc8cd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json index a87107307a..5ff5185103 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex18-physical-power-us-eei-fixed-price-shaped-volume.json @@ -1,5 +1,82 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-05-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "meta" : { + "globalKey" : "cb7296a0" + } + } + }, + "meta" : { + "globalKey" : "6d45ebc2" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,90 +116,6 @@ "globalKey" : "3e9116" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-05-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "meta" : { - "globalKey" : "cb7296a0" - } - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -165,10 +158,10 @@ } } ], "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } }, "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json index 10b3e81677..d23bcdd50f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex20-physical-coal-us-fixed-price.json @@ -1,5 +1,120 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "2bd8e8e0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 45.37, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "MT" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "908ec059" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,128 +154,6 @@ "globalKey" : "3ec85c" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "2bd8e8e0" - } - }, - "meta" : { - "globalKey" : "2bd8e8e0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 45.37, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "MT" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "908ec059" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -203,10 +196,10 @@ } } ], "meta" : { - "globalKey" : "327bce3" + "globalKey" : "3d42e5a3" } }, "meta" : { - "globalKey" : "327bce3" + "globalKey" : "3d42e5a3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json index a87107307a..5ff5185103 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex21-physical-power-us-eei-fixed-price-shaped-volume-and-price.json @@ -1,5 +1,82 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-05-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "meta" : { + "globalKey" : "252acdac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "meta" : { + "globalKey" : "252d1eca" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "meta" : { + "globalKey" : "cb7296a0" + } + } + }, + "meta" : { + "globalKey" : "6d45ebc2" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,90 +116,6 @@ "globalKey" : "3e9116" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-05-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "meta" : { - "globalKey" : "252acdac" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "meta" : { - "globalKey" : "252d1eca" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "meta" : { - "globalKey" : "cb7296a0" - } - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "meta" : { - "globalKey" : "6d45ebc2" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -165,10 +158,10 @@ } } ], "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } }, "meta" : { - "globalKey" : "d640bb8e" + "globalKey" : "5b864dec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json index 0ae2b2d42f..3996e2bf0c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex22-physical-gas-option-multiple-expiration.json @@ -1,5 +1,167 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf06b39" + } + }, + "meta" : { + "globalKey" : "ebf06b39", + "externalKey" : "physicalEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebfb2e97" + } + }, + "meta" : { + "globalKey" : "ebfb2e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "b141411f" + } + } ], + "meta" : { + "globalKey" : "a2e03d60" + } + } + }, + "meta" : { + "globalKey" : "e365f6de" + } + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : false + }, + "followUpConfirmation" : false + }, + "meta" : { + "globalKey" : "af182c6f" + } + }, + "meta" : { + "globalKey" : "d3d46b44" + } + } ], + "meta" : { + "globalKey" : "d3d46b44" + } + } + }, + "meta" : { + "globalKey" : "d3d46b44" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 45.6, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "ca7e195a" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,176 +201,6 @@ "globalKey" : "3ec916" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebf06b39" - } - }, - "meta" : { - "globalKey" : "ebf06b39", - "externalKey" : "physicalEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebfb2e97" - } - }, - "meta" : { - "globalKey" : "ebfb2e97", - "externalKey" : "physicalTerminationDate" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "a2e03d60" - } - } - }, - "meta" : { - "globalKey" : "e365f6de" - } - }, - "meta" : { - "globalKey" : "e365f6de" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : false - }, - "followUpConfirmation" : false - }, - "meta" : { - "globalKey" : "af182c6f" - } - }, - "meta" : { - "globalKey" : "8debf57a" - } - } ], - "meta" : { - "globalKey" : "8debf57a" - } - } - }, - "meta" : { - "globalKey" : "8debf57a" - } - }, - "meta" : { - "globalKey" : "8debf57a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 45.6, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "ca7e195a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -251,7 +243,7 @@ } } ], "meta" : { - "globalKey" : "6ea413a0" + "globalKey" : "510cceea" } }, "transferHistory" : [ { @@ -310,6 +302,6 @@ } } ], "meta" : { - "globalKey" : "60ee1d90" + "globalKey" : "8a54a406" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json index 5b6262556c..ad8c6bc787 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex23-physical-power-option-daily-expiration-efet.json @@ -1,5 +1,137 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26174cac" + } + }, + "meta" : { + "globalKey" : "26174cac", + "externalKey" : "forwardEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2622100a" + } + }, + "meta" : { + "globalKey" : "2622100a", + "externalKey" : "forwardTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01", + "externalKey" : "electricityLeg" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "71129f1f", + "externalKey" : "fixedLeg" + } + } ], + "meta" : { + "globalKey" : "c9cbd5a0" + } + } + }, + "meta" : { + "globalKey" : "40a7e082" + } + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationTime" : { + "hourMinuteTime" : "09:30:00" + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : false + }, + "followUpConfirmation" : false + }, + "meta" : { + "globalKey" : "2b33c6c9" + } + }, + "meta" : { + "globalKey" : "f71a27f0" + } + } ], + "meta" : { + "globalKey" : "f71a27f0" + } + } + }, + "meta" : { + "globalKey" : "f71a27f0" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "10fb089c", @@ -39,146 +171,6 @@ "globalKey" : "3ec2cc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26174cac" - } - }, - "meta" : { - "globalKey" : "26174cac", - "externalKey" : "forwardEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2622100a" - } - }, - "meta" : { - "globalKey" : "2622100a", - "externalKey" : "forwardTerminationDate" - } - }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01", - "externalKey" : "electricityLeg" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "meta" : { - "globalKey" : "71129f1f", - "externalKey" : "fixedLeg" - } - } ], - "meta" : { - "globalKey" : "c9cbd5a0" - } - } - }, - "meta" : { - "globalKey" : "40a7e082" - } - }, - "meta" : { - "globalKey" : "40a7e082" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationTime" : { - "hourMinuteTime" : "09:30:00" - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : false - }, - "followUpConfirmation" : false - }, - "meta" : { - "globalKey" : "2b33c6c9" - } - }, - "meta" : { - "globalKey" : "7ff3e47a" - } - } ], - "meta" : { - "globalKey" : "7ff3e47a" - } - } - }, - "meta" : { - "globalKey" : "7ff3e47a" - } - }, - "meta" : { - "globalKey" : "7ff3e47a" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -221,7 +213,7 @@ } } ], "meta" : { - "globalKey" : "4e3f988" + "globalKey" : "e18fb1dc" } }, "transferHistory" : [ { @@ -280,6 +272,6 @@ } } ], "meta" : { - "globalKey" : "274a9dd7" + "globalKey" : "f9a25103" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json index 21ba3ec69f..ead6a3f587 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex24-weather-index-swap.json @@ -1,5 +1,65 @@ { "trade" : { + "product" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "263eb72c" + } + }, + "meta" : { + "globalKey" : "263eb72c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-04-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26569a49" + } + }, + "meta" : { + "globalKey" : "26569a49" + } + }, + "payout" : { + "commodityPayout" : [ { + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "meta" : { + "globalKey" : "7610bbd9" + } + } ], + "meta" : { + "globalKey" : "7610bbd9" + } + } + }, + "meta" : { + "globalKey" : "ff410b6" + } + }, "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "da2e6633", @@ -39,73 +99,6 @@ "globalKey" : "3ed949" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "263eb72c" - } - }, - "meta" : { - "globalKey" : "263eb72c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-04-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26569a49" - } - }, - "meta" : { - "globalKey" : "26569a49" - } - }, - "payout" : { - "commodityPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "meta" : { - "globalKey" : "7610bbd9" - } - } ], - "meta" : { - "globalKey" : "7610bbd9" - } - } - }, - "meta" : { - "globalKey" : "ff410b6" - } - }, - "meta" : { - "globalKey" : "ff410b6" - } - } - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -178,10 +171,10 @@ } }, "meta" : { - "globalKey" : "b1c287cf" + "globalKey" : "1727a34f" } }, "meta" : { - "globalKey" : "b1c287cf" + "globalKey" : "1727a34f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wti-put-option-asian-listedoption-date.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wti-put-option-asian-listedoption-date.json index 1fbdca7521..91deeeb51c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wti-put-option-asian-listedoption-date.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex27-wti-put-option-asian-listedoption-date.json @@ -1,315 +1,306 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "CommodityOption", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c1e5ec" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "25c1e5ec" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2007-04-10", - "meta" : { - "globalKey" : "3eb90a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "CommodityOption", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5f333497" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, "meta" : { - "globalKey" : "25c1e5ec" + "globalKey" : "5f333497" } }, "meta" : { - "globalKey" : "25c1e5ec" + "globalKey" : "80c9229e" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "11e9", + "externalKey" : "CalculationPeriods" }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5f333497" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE" - } - }, - "meta" : { - "globalKey" : "5f333497" - } - }, - "meta" : { - "globalKey" : "80c9229e" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "balanceOfFirstPeriod" : false }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-OIL" - } ], - "meta" : { - "globalKey" : "ae251688" - } - } - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-OIL" } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } + "meta" : { + "globalKey" : "ae251688" } - }, - "meta" : { - "globalKey" : "4c00df14" } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c252c9" - } - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c252c9" + "globalKey" : "3a4b88ab" } - } ], + }, "meta" : { - "globalKey" : "599cfada" - } - }, - "strike" : { - "strikePrice" : { - "value" : 88, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "BBL" - }, - "priceType" : "AssetPrice" + "globalKey" : "25c252c9" } }, "meta" : { - "globalKey" : "e3ae6303" + "globalKey" : "25c252c9" } } ], "meta" : { - "globalKey" : "e3ae6303" + "globalKey" : "599cfada" } + }, + "strike" : { + "strikePrice" : { + "value" : 88, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "BBL" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "2ee78817" } - }, + } ], "meta" : { - "globalKey" : "d935d665" + "globalKey" : "2ee78817" } - }, - "meta" : { - "globalKey" : "d935d665" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000, - "unit" : { - "capacityUnit" : "BBL" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "7c636df9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000, + "unit" : { + "capacityUnit" : "BBL" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 15000, - "unit" : { - "capacityUnit" : "BBL" + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000, + "unit" : { + "capacityUnit" : "BBL" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "f8d413c6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "412af5c6" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2007-04-10", + "meta" : { + "globalKey" : "3eb90a" + } }, "party" : [ { "partyId" : [ { @@ -397,7 +388,7 @@ } }, "meta" : { - "globalKey" : "1561c02a" + "globalKey" : "648099be" } }, "transferHistory" : [ { @@ -448,6 +439,6 @@ } } ], "meta" : { - "globalKey" : "961ce605" + "globalKey" : "486d4399" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.json index 5675c9205a..88b8892d09 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex28-gas-swap-daily-delivery-prices-option-last.json @@ -1,402 +1,403 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "CommoditySwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a4ce2c" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25a4ce2c" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2006-06-01", - "meta" : { - "globalKey" : "3eb181" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "CommoditySwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25a53eca" } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_FixedFloat" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a4ce2c" + }, + "meta" : { + "globalKey" : "25a53eca" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25a4ce2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a53eca" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25a53eca" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" + } ], "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" + "globalKey" : "acc66859" } + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "ff6175f6" - } + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "18b966e5" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "4145602d" + "globalKey" : "a98752b1" } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "meta" : { + "globalKey" : "ff6175f6" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "a63303b8" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "ff6175f6" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6310740b" + "globalKey" : "a98752b1" } - } ], + }, "meta" : { - "globalKey" : "76dbd37e" + "globalKey" : "ff6175f6" } - } - }, - "meta" : { - "globalKey" : "291d6d70" - } - }, - "meta" : { - "globalKey" : "291d6d70" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 6.295, - "unit" : { - "currency" : { - "value" : "USD" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "6310740b" } } ], - "quantity" : [ { - "value" : { - "value" : 2500.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } + "meta" : { + "globalKey" : "87be5753" + } + } + }, + "meta" : { + "globalKey" : "563980a1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 6.295, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - }, { - "value" : { - "value" : 77500.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2500.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], + }, "meta" : { - "globalKey" : "3d8960be" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 2500.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "value" : { + "value" : 77500.0, + "unit" : { + "capacityUnit" : "USMMBTU" } - }, { - "value" : { - "value" : 77500.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "8dcb41f4" + } + }, { + "quantity" : [ { + "value" : { + "value" : 2500.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 77500.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "e292fcf0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "ef40e0e6" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-06-01", + "meta" : { + "globalKey" : "3eb181" + } }, "party" : [ { "partyId" : [ { @@ -484,10 +485,10 @@ } }, "meta" : { - "globalKey" : "57efac49" + "globalKey" : "f0dfe9c" } }, "meta" : { - "globalKey" : "57efac49" + "globalKey" : "f0dfe9c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json index b33e961082..d53bcd2da8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex29-physical-eu-emissions-option.json @@ -1,220 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec373e97" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "ec373e97" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "b141411f" } - } ], + }, "meta" : { - "globalKey" : "6faedabe" + "globalKey" : "b141411f" } + } ], + "meta" : { + "globalKey" : "6faedabe" } - }, - "meta" : { - "globalKey" : "9904e91e" } }, "meta" : { "globalKey" : "9904e91e" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "exerciseDate" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } - } ], - "expirationTime" : { - "hourMinuteTime" : "17:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "97e9a8e0" + "globalKey" : "ec373e97", + "externalKey" : "exerciseDate" } }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "ec373e97" } } ], + "expirationTime" : { + "hourMinuteTime" : "17:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "97e9a8e0" } + }, + "meta" : { + "globalKey" : "f621f96b" } - }, + } ], "meta" : { - "globalKey" : "a4e23942" + "globalKey" : "f621f96b" } - }, - "meta" : { - "globalKey" : "a4e23942" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7.38, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + "meta" : { + "globalKey" : "4e112abe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7.38, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - } ], + }, "meta" : { - "globalKey" : "460de4c3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b07e", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "460de4c3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b07e", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -258,7 +250,7 @@ } } ], "meta" : { - "globalKey" : "135a81be" + "globalKey" : "da05377a" } }, "transferHistory" : [ { @@ -314,6 +306,6 @@ } } ], "meta" : { - "globalKey" : "67865ca0" + "globalKey" : "6a53f164" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json index 7b877bd14d..dc49752164 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex30-physical-eu-emissions-forward.json @@ -1,153 +1,146 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "24a738" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } ], - "meta" : { - "globalKey" : "6faedabe" - } + "meta" : { + "globalKey" : "ec373e97" } }, "meta" : { - "globalKey" : "da399c31" + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" } }, - "meta" : { - "globalKey" : "da399c31" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7.38, - "unit" : { - "currency" : { - "value" : "EUR" + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "b141411f" } } ], "meta" : { - "globalKey" : "460de4c3" + "globalKey" : "6faedabe" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b07e", - "externalReference" : "partyB" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "da399c31" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7.38, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "460de4c3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b07e", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -191,10 +184,10 @@ } } ], "meta" : { - "globalKey" : "8a5aeb1d" + "globalKey" : "fd1bf9ed" } }, "meta" : { - "globalKey" : "8a5aeb1d" + "globalKey" : "fd1bf9ed" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json index f7ce47a719..0d61434c90 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex31-physical-us-emissions-option.json @@ -1,220 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a95", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec373e97" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "ec373e97" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "b141411f" } - } ], + }, "meta" : { - "globalKey" : "6faedabe" + "globalKey" : "b141411f" } + } ], + "meta" : { + "globalKey" : "6faedabe" } - }, - "meta" : { - "globalKey" : "9904e91e" } }, "meta" : { "globalKey" : "9904e91e" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "exerciseDate" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } - } ], - "expirationTime" : { - "hourMinuteTime" : "13:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "375fe07" + "globalKey" : "ec373e97", + "externalKey" : "exerciseDate" } }, "meta" : { - "globalKey" : "36e2b61c" + "globalKey" : "ec373e97" } } ], + "expirationTime" : { + "hourMinuteTime" : "13:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "36e2b61c" + "globalKey" : "375fe07" } + }, + "meta" : { + "globalKey" : "61ae4e92" } - }, + } ], "meta" : { - "globalKey" : "106e8e69" + "globalKey" : "61ae4e92" } - }, - "meta" : { - "globalKey" : "106e8e69" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.93, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + "meta" : { + "globalKey" : "b99d7fe5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.93, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - } ], + }, "meta" : { - "globalKey" : "851b27ac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b080", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a95", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "851b27ac" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b080", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a95", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a95", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -258,7 +250,7 @@ } } ], "meta" : { - "globalKey" : "c05781d2" + "globalKey" : "5a38cb8e" } }, "transferHistory" : [ { @@ -314,6 +306,6 @@ } } ], "meta" : { - "globalKey" : "787566ac" + "globalKey" : "2e8fe770" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json index 5035c33ed1..7b4491cf28 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex32-CPD-weather-index-option.json @@ -1,5 +1,124 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" + } + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec35ddb9" + } + }, + "meta" : { + "globalKey" : "ec35ddb9" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "c5ff16b6" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "externalReference" : "weatherCalculationPeriods" + } + } + }, + "meta" : { + "globalKey" : "c5ff16b6" + } + }, + "meta" : { + "globalKey" : "2f50a93d" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2013-03-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec4cd457" + } + }, + "meta" : { + "globalKey" : "ec4cd457" + } + } ], + "meta" : { + "globalKey" : "20277c68" + } + }, + "meta" : { + "globalKey" : "fef97d9c" + } + } ], + "meta" : { + "globalKey" : "fef97d9c" + } + } + }, + "meta" : { + "globalKey" : "fa3055d6" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ae333040", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "da2e6633", + "externalReference" : "partyA" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "da2e6633", @@ -39,132 +158,6 @@ "globalKey" : "3ee104" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec35ddb9" - } - }, - "meta" : { - "globalKey" : "ec35ddb9" - } - }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "c5ff16b6" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "externalReference" : "weatherCalculationPeriods" - } - } - }, - "meta" : { - "globalKey" : "c5ff16b6" - } - }, - "meta" : { - "globalKey" : "2f50a93d" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2013-03-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec4cd457" - } - }, - "meta" : { - "globalKey" : "ec4cd457" - } - } ], - "meta" : { - "globalKey" : "20277c68" - } - }, - "meta" : { - "globalKey" : "fef97d9c" - } - } ], - "meta" : { - "globalKey" : "fef97d9c" - } - } - }, - "meta" : { - "globalKey" : "fa3055d6" - } - }, - "meta" : { - "globalKey" : "fa3055d6" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ae333040", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "da2e6633", - "externalReference" : "partyA" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -251,7 +244,7 @@ } }, "meta" : { - "globalKey" : "8cd43ed" + "globalKey" : "b816cbcf" } }, "transferHistory" : [ { @@ -302,6 +295,6 @@ } } ], "meta" : { - "globalKey" : "a32dbce" + "globalKey" : "d9bb5db0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json index 232683d954..ac3c070c01 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex43-WTI-variance-swap.json @@ -1,5 +1,15 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" + } + }, + "meta" : { + "globalKey" : "6f06d7ab" + } + }, "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "7fd57548", @@ -24,23 +34,6 @@ "externalKey" : "TradeDate" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" - } - }, - "meta" : { - "globalKey" : "6f06d7ab" - } - }, - "meta" : { - "globalKey" : "6f06d7ab" - } - } - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -117,10 +110,10 @@ } }, "meta" : { - "globalKey" : "d2a185bf" + "globalKey" : "f672177f" } }, "meta" : { - "globalKey" : "d2a185bf" + "globalKey" : "f672177f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json index f27704f3ae..4947b32764 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/commodity-derivatives/com-ex47-physical-eu-emissions-option-pred-clearing.json @@ -1,220 +1,212 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } } ], - "meta" : { - "globalKey" : "ebf7ca68" - } - } ], - "tradeDate" : { - "value" : "2012-06-04", - "meta" : { - "globalKey" : "3ee184", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec373e97" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "ec373e97" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "physicalTerminationDate" + "globalKey" : "ec373e97" } }, - "payout" : { - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "meta" : { - "globalKey" : "71129f01" - } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "ec373e97", + "externalKey" : "physicalTerminationDate" + } + }, + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "meta" : { + "globalKey" : "71129f01" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "b141411f" } - } ], + }, "meta" : { - "globalKey" : "6faedabe" + "globalKey" : "b141411f" } + } ], + "meta" : { + "globalKey" : "6faedabe" } - }, - "meta" : { - "globalKey" : "9904e91e" } }, "meta" : { "globalKey" : "9904e91e" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2012-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec373e97", - "externalKey" : "exerciseDate" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec373e97" + "globalKey" : "24a738" } - } ], - "expirationTime" : { - "hourMinuteTime" : "17:00:00" - }, - "exerciseProcedure" : { - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "97e9a8e0" + "globalKey" : "ec373e97", + "externalKey" : "exerciseDate" } }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "ec373e97" } } ], + "expirationTime" : { + "hourMinuteTime" : "17:00:00" + }, + "exerciseProcedure" : { + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "cb5660f5" + "globalKey" : "97e9a8e0" } + }, + "meta" : { + "globalKey" : "f621f96b" } - }, + } ], "meta" : { - "globalKey" : "a4e23942" + "globalKey" : "f621f96b" } - }, - "meta" : { - "globalKey" : "a4e23942" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7.38, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" + "meta" : { + "globalKey" : "4e112abe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7.38, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - } ], + }, "meta" : { - "globalKey" : "460de4c3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6f03b07e", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e63d2a93", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "460de4c3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6f03b07e", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "e63d2a93", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf7ca68" + } + } ], + "tradeDate" : { + "value" : "2012-06-04", + "meta" : { + "globalKey" : "3ee184", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -278,7 +270,7 @@ } } ], "meta" : { - "globalKey" : "98ee146e" + "globalKey" : "5d1ab332" } }, "transferHistory" : [ { @@ -334,6 +326,6 @@ } } ], "meta" : { - "globalKey" : "c3fc9bf0" + "globalKey" : "26e6e2ac" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json index d026f91e5f..904ae83336 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/correlation-swaps/eqcs-ex03-correlation-swap-confirmation.json @@ -1,365 +1,389 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" + } ], + "economicTerms" : { + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "538ca0c6" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "82e2774", + "externalReference" : "sd2344" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + "globalKey" : "538ca0c6" } - } - } ], - "meta" : { - "globalKey" : "fde00dd4" - } - } ], - "tradeDate" : { - "value" : "2005-11-07", - "meta" : { - "globalKey" : "3eaac7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "538ca0c6" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "82e2774", - "externalReference" : "sd2344" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "538ca0c6" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "82e2774" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "258bafbb", + "externalReference" : "vs8292" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "meta" : { + "globalKey" : "82e2774", + "externalKey" : "sd2344" + } + }, + "meta" : { + "globalKey" : "31d36627" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "82e2774" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "258bafbb", - "externalReference" : "vs8292" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "2581954a" + } + }, + "meta" : { + "globalKey" : "2581954a" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-12-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "82e2774", - "externalKey" : "sd2344" + "globalKey" : "258bafbb" } }, "meta" : { - "globalKey" : "31d36627" + "globalKey" : "258bafbb", + "externalKey" : "vs8292" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "258bafbb" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "correlationReturnTerms" : { + "expectedN" : 30, + "correlationStrikePrice" : { + "value" : 0.60123, + "priceType" : "Correlation" + }, + "boundedCorrelation" : { + "lowerBound" : { + "number" : 0.35123 + }, + "upperBound" : { + "number" : 0.85123 + } + }, + "numberOfDataSeries" : 1 + } + }, + "meta" : { + "globalKey" : "979b9437" + } + } ], + "meta" : { + "globalKey" : "979b9437" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "7410eea7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Basket" : { + "basketConstituent" : [ { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "IBM.N", "meta" : { - "globalKey" : "3a4b88ab" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "ABN AMRO HOLDING NV" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "2581954a" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "2581954a" - } + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } } } }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-12-16", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "MSFT.O", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AEGON NV" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "258bafbb" - } - }, - "meta" : { - "globalKey" : "258bafbb", - "externalKey" : "vs8292" + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } - }, - "meta" : { - "globalKey" : "258bafbb" } } }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "ABN AMRO HOLDING NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "MSFT.O", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AEGON NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "B.N", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AIR LIQUIDE" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XPAR" + }, + "meta" : { + "globalKey" : "293529" } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "B.N", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AIR LIQUIDE" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + }, + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" } - } - } - } ] - }, - "meta" : { - "globalKey" : "27edba75" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "expectedN" : 30, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + } ], + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "1e148262" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "1e148262" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "e1d11d46" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "e1d11d46" + "globalKey" : "b9e8ffb7" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "7372ec75" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } ] - } ] + "meta" : { + "globalKey" : "fde00dd4" + } + } ], + "tradeDate" : { + "value" : "2005-11-07", + "meta" : { + "globalKey" : "3eaac7" + } }, "party" : [ { "partyId" : [ { @@ -468,10 +492,10 @@ } } ], "meta" : { - "globalKey" : "c3e53e5c" + "globalKey" : "21989845" } }, "meta" : { - "globalKey" : "c3e53e5c" + "globalKey" : "21989845" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.json index 78453004ce..2c1982bf05 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex-27-equityOptionTransactionSupplement-EMEA-interdealer.json @@ -1,5 +1,229 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "PLN" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } + } + }, + "meta" : { + "globalKey" : "738dbfce" + } + }, + "meta" : { + "globalKey" : "d9859529" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2012-11-16", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "265cf77b" + } + }, + "meta" : { + "globalKey" : "265cf77b" + } + } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "ba89d3ef" + } + }, + "strike" : { + "strikePrice" : { + "value" : 100, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "5a805ea1" + } + } ], + "meta" : { + "globalKey" : "5a805ea1" + } + } + }, + "meta" : { + "globalKey" : "5a805ea1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 50, + "unit" : { + "currency" : { + "value" : "PLN", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".WIG20", + "meta" : { + "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XWAR", + "meta" : { + "scheme" : "http://www.example.com/exchangeId" + } + }, + "meta" : { + "globalKey" : "294f70" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XWAR", + "meta" : { + "scheme" : "http://www.example.com/exchangeId" + } + }, + "meta" : { + "globalKey" : "294f70" + } + } ], + "name" : { + "value" : "WIG20 INDEX" + }, + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b2238ac4" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9fd69ebc", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f9affefc", + "externalReference" : "partyB" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "9fd69ebc", @@ -92,16 +316,23 @@ } } }, + "contractualParty" : [ { + "globalReference" : "9fd69ebc", + "externalReference" : "partyA" + }, { + "globalReference" : "f9affefc", + "externalReference" : "partyB" + } ], "meta" : { - "globalKey" : "a875d0a8" + "globalKey" : "77b58009" } } ], "meta" : { - "globalKey" : "a875d0a8" + "globalKey" : "77b58009" } }, "meta" : { - "globalKey" : "304bfe27" + "globalKey" : "8769af0f" } }, "transferHistory" : [ { @@ -158,6 +389,6 @@ } } ], "meta" : { - "globalKey" : "f02e02c9" + "globalKey" : "1017bb1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json index 6a06d236f1..a1454bb984 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex01-american-call-stock-long-form.json @@ -1,224 +1,189 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "baea5814" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "baea5814" + "globalKey" : "aedc32dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "1930298c" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "1930298c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "a80bd90" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -253,30 +218,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -360,7 +355,7 @@ } }, "meta" : { - "globalKey" : "2d73b18a" + "globalKey" : "bdc9d882" } }, "transferHistory" : [ { @@ -411,6 +406,6 @@ } } ], "meta" : { - "globalKey" : "96f189fd" + "globalKey" : "3f8048f5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json index 85c223b676..3d3dabbd9c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex04-european-call-index-long-form.json @@ -1,212 +1,160 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyB.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2001-09-04", - "meta" : { - "globalKey" : "3e8a44" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleIndex" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "2c4c46fb" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "valuation" - } - } - }, + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "2c4c46fb" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "valuation" } - }, - "meta" : { - "globalKey" : "38606287" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SSMI", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "name" : "Swiss Market Index", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "ef0bfae3" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2004-12-19", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb46d18b" - } - }, + "meta" : { + "globalKey" : "2c4c46fb" + } + }, + "meta" : { + "globalKey" : "38606287" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2004-12-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb46d18b" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "e3d825ff" - } - }, - "strike" : { - "strikePrice" : { - "value" : 8700, - "unit" : { - "currency" : { - "value" : "CHF" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb46d18b" } }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "eb46d18b" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ff55e5e" + "globalKey" : "e3d825ff" + } + }, + "strike" : { + "strikePrice" : { + "value" : 8700, + "unit" : { + "currency" : { + "value" : "CHF" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e4c22de1" } - }, + } ], "meta" : { - "globalKey" : "fdd47d3d" + "globalKey" : "e4c22de1" } }, - "meta" : { - "globalKey" : "fdd47d3d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 2500, + "meta" : { + "globalKey" : "b903f80" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 2500, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "financialUnit" : "IndexUnit" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -229,36 +177,67 @@ "globalKey" : "293090" } }, - "name" : "Swiss Market Index", + "name" : { + "value" : "Swiss Market Index" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "874dc0da" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "bf6418d4" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyB.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2001-09-04", + "meta" : { + "globalKey" : "3e8a44" + } }, "party" : [ { "partyId" : [ { @@ -342,7 +321,7 @@ } }, "meta" : { - "globalKey" : "d8cef1bd" + "globalKey" : "25e33fd4" } }, "transferHistory" : [ { @@ -393,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "50dc250b" + "globalKey" : "39bd5e22" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.json index b13c53b4fb..42696fd054 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex05-asian-long-form.json @@ -1,197 +1,154 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".N225", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTKS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "294564" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XOSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293389" - } - } ], - "name" : "NIKKEI 225 INDEX", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "4f0d6278" - } - }, - "optionType" : "Call", - 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"expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" - } - }, - "strike" : { - "strikePrice" : { - "value" : 17475.90, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 17475.90, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "d44c6866" } - }, + } ], "meta" : { - "globalKey" : "a403df22" + "globalKey" : "d44c6866" } }, - "meta" : { - "globalKey" : "a403df22" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "meta" : { + "globalKey" : "3f1fcfd0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "IndexUnit" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -225,36 +182,67 @@ "globalKey" : "293389" } } ], - "name" : "NIKKEI 225 INDEX", + "name" : { + "value" : "NIKKEI 225 INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "25989ebe" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6fb167c8" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +328,7 @@ } }, "meta" : { - "globalKey" : "8f2af80f" + "globalKey" : "ca142767" } }, "transferHistory" : [ { @@ -391,6 +379,6 @@ } } ], "meta" : { - "globalKey" : "b02f36f9" + "globalKey" : "4ed5de51" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json index b13c53b4fb..42696fd054 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex06-averaging-in-long-form.json @@ -1,197 +1,154 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : 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"meta" : { - "globalKey" : "293389" - } - } ], - "name" : "NIKKEI 225 INDEX", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "4f0d6278" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" - } - }, - "strike" : { - "strikePrice" : { - "value" : 17475.90, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "63302438" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 17475.90, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "d44c6866" } - }, + } ], "meta" : { - "globalKey" : "a403df22" + "globalKey" : "d44c6866" } }, - "meta" : { - "globalKey" : "a403df22" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "IndexUnit" - } + "meta" : { + "globalKey" : "3f1fcfd0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "IndexUnit" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -225,36 +182,67 @@ "globalKey" : "293389" } } ], - "name" : "NIKKEI 225 INDEX", + "name" : { + "value" : "NIKKEI 225 INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "25989ebe" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6fb167c8" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +328,7 @@ } }, "meta" : { - "globalKey" : "8f2af80f" + "globalKey" : "ca142767" } }, "transferHistory" : [ { @@ -391,6 +379,6 @@ } } ], "meta" : { - "globalKey" : "b02f36f9" + "globalKey" : "4ed5de51" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.json index a31bb969d4..846d1b5baa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex08-basket-long-form.json @@ -1,354 +1,301 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "c442d6e0" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "1053ecae" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "1053ecae" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a5ad198" } - }, + } ], "meta" : { - "globalKey" : "98bedadd" + "globalKey" : "a5ad198" } }, - "meta" : { - "globalKey" : "98bedadd" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "8d7e8b9d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "f07b3cd7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "AHLD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Ahold" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + "globalKey" : "28fefb" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.40, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "RD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Royal Dutch" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + "globalKey" : "28fefb" } }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.60, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "c442d6e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3c24ebc3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -434,7 +381,7 @@ } }, "meta" : { - "globalKey" : "fbe4f775" + "globalKey" : "d7e7c3cf" } }, "transferHistory" : [ { @@ -485,6 +432,6 @@ } } ], "meta" : { - "globalKey" : "89dae45f" + "globalKey" : "f634c2b9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json index 2af889fc1b..821a82524f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex09-bermuda-long-form.json @@ -1,207 +1,162 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LN 2962", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "d0c89d36" - } - } ], - "tradeDate" : { - "value" : "2002-01-17", - "meta" : { - "globalKey" : "3e9051" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "Bermuda", + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 500000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "320259db" + } + }, + "strike" : { + "strikePrice" : { + "value" : 8.00, + "unit" : { + "currency" : { "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ES0113900J37", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ordinary Shares of Banco Santander Central Hispano SA" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XMAD", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "2929d8" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMEF", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292a56" - } - } ], - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "e6ff8b94" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "Bermuda", - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 500000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } - }, - "meta" : { - "globalKey" : "320259db" - } - }, - "strike" : { - "strikePrice" : { - "value" : 8.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - } + "perUnitOf" : { + "financialUnit" : "Share" }, - "meta" : { - "globalKey" : "cb9a81f3" - } - } ], - "meta" : { - "globalKey" : "cb9a81f3" + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e4500071" } - }, + } ], "meta" : { - "globalKey" : "81f9094f" + "globalKey" : "e4500071" } }, - "meta" : { - "globalKey" : "81f9094f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "b5d56fa9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 500000, + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 500000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -247,30 +202,59 @@ } }, "meta" : { - "globalKey" : "407661a8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e9bc0a0c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LN 2962", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "d0c89d36" + } + } ], + "tradeDate" : { + "value" : "2002-01-17", + "meta" : { + "globalKey" : "3e9051" + } }, "party" : [ { "partyId" : [ { @@ -359,7 +343,7 @@ } }, "meta" : { - "globalKey" : "742d0d96" + "globalKey" : "9acc1718" } }, "transferHistory" : [ { @@ -410,6 +394,6 @@ } } ], "meta" : { - "globalKey" : "c0e568a" + "globalKey" : "d8e97a0c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json index 28d2129202..9c821a3135 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex11-quanto-long-form.json @@ -1,216 +1,182 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "ce82407d" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "ce82407d" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "419412dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "f149a9d2" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f149a9d2" + "globalKey" : "419412dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "9342e9d6" } - }, + } ], "meta" : { - "globalKey" : "11d2663c" + "globalKey" : "9342e9d6" } }, - "meta" : { - "globalKey" : "11d2663c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "1a7bb540" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -245,30 +211,59 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd" + } }, "party" : [ { "partyId" : [ { @@ -354,7 +349,7 @@ } }, "meta" : { - "globalKey" : "49ddb347" + "globalKey" : "8689614d" } }, "transferHistory" : [ { @@ -405,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "5d5164ba" + "globalKey" : "f674e0c0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json index 36370ef23e..287b674512 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex14-american-call-stock-passthrough-long-form.json @@ -1,232 +1,197 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "passThrough" : { + "passThroughItem" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "passThrough" : { - "passThroughItem" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "passThroughPercentage" : 0.80 - } ] - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" + "passThroughPercentage" : 0.80 + } ] + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } }, "meta" : { - "globalKey" : "351745bc" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "2af0fca3" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "2af0fca3" + "globalKey" : "aedc32dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "84ce8767" } - }, + } ], "meta" : { - "globalKey" : "f04cef7f" + "globalKey" : "84ce8767" } }, - "meta" : { - "globalKey" : "f04cef7f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "ccc298c3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -261,30 +226,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -368,7 +363,7 @@ } }, "meta" : { - "globalKey" : "36311fe9" + "globalKey" : "f43dad6f" } }, "transferHistory" : [ { @@ -419,6 +414,6 @@ } } ], "meta" : { - "globalKey" : "47b18b5c" + "globalKey" : "6d6f66e2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json index 3b5c6ad83c..eb46aeaeb4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex15-basket-passthrough-long-form.json @@ -1,368 +1,315 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" } } } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:Basket" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "passThrough" : { + "passThroughItem" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "passThrough" : { - "passThroughItem" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "passThroughPercentage" : 0.80 - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "passThroughPercentage" : 1.20 - } ] - } - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] + "passThroughPercentage" : 0.80 + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "meta" : { - "globalKey" : "c442d6e0" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05ccb9" - } - }, + "passThroughPercentage" : 1.20 + } ] + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb05ccb9" - } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "8c6d2fc1" + "globalKey" : "eb05ccb9" } }, "meta" : { - "globalKey" : "ebe809f" + "globalKey" : "eb05ccb9" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ebe809f" + "globalKey" : "8c6d2fc1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a3bf2607" } - }, + } ], "meta" : { - "globalKey" : "ba34370e" + "globalKey" : "a3bf2607" } }, - "meta" : { - "globalKey" : "ba34370e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 79.099093, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "51e6afcc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 79.099093, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "f07b3cd7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "AHLD.NA", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "AHLD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Ahold" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + "globalKey" : "28fefb" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.40, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.40, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "RD.NA", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "RD.NA", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Royal Dutch" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + "globalKey" : "28fefb" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "28fefb" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.60, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.60, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "c442d6e0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3c24ebc3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c" + } }, "party" : [ { "partyId" : [ { @@ -448,7 +395,7 @@ } }, "meta" : { - "globalKey" : "1844dc26" + "globalKey" : "1a05677e" } }, "transferHistory" : [ { @@ -499,6 +446,6 @@ } } ], "meta" : { - "globalKey" : "a3340610" + "globalKey" : "f5e0968" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json index 92e5233223..976e0b7a21 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex16-equityOptionTransactionSupplement.json @@ -1,5 +1,240 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb6011c5" + } + }, + "meta" : { + "globalKey" : "eb6011c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb6226d3" + } + }, + "meta" : { + "globalKey" : "eb6226d3" + } + } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "18788bdd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "c51e70ce" + } + } ], + "meta" : { + "globalKey" : "c51e70ce" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "dae4686a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "STM-FP", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "STMicroelectronics N.V. ordinary shares" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNSE", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, + "meta" : { + "globalKey" : "292fc8" + } + }, + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f1ab8d2c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -24,30 +259,6 @@ "externalKey" : "TradeDate" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -92,8 +303,15 @@ }, "vintage" : 2002 }, + "contractualParty" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ], "meta" : { - "globalKey" : "c6cc4d2b" + "globalKey" : "55a4012a" } }, { "legalAgreementIdentification" : { @@ -104,19 +322,26 @@ } ] } }, + "contractualParty" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ], "meta" : { - "globalKey" : "486fe0ee" + "globalKey" : "7001fb6d" } } ], "governingLaw" : { "value" : "GBEN" }, "meta" : { - "globalKey" : "552240a7" + "globalKey" : "e8389b87" } }, "meta" : { - "globalKey" : "42c9513e" + "globalKey" : "d1aad58a" } }, "transferHistory" : [ { @@ -167,6 +392,6 @@ } } ], "meta" : { - "globalKey" : "f2006db1" + "globalKey" : "53eccdfd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json index a361ed17a6..781782b37f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex17-equityOptionTransactionSupplement-non-deliverable-share.json @@ -1,5 +1,231 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } + } + }, + "meta" : { + "globalKey" : "738dbfce" + } + }, + "meta" : { + "globalKey" : "87604815" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a9b039" + } + }, + "meta" : { + "globalKey" : "25a9b039" + } + } ], + "expirationTimeType" : "AsSpecifiedInMasterConfirmation", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "1dcdacc5" + } + }, + "strike" : { + "strikePrice" : { + "value" : 33.0, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "8859a6d4" + } + } ], + "meta" : { + "globalKey" : "8859a6d4" + } + } + }, + "meta" : { + "globalKey" : "8859a6d4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000.0, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.0, + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "3045.TW", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + }, { + "identifier" : { + "value" : "TAIWAN MOBILE ORD" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "TAI", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "1437c" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "All Exchanges", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "fbea4eb1" + } + } ], + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "865850e8" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -83,16 +309,23 @@ } } }, + "contractualParty" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } }, "meta" : { - "globalKey" : "4b2ca9f3" + "globalKey" : "ec441072" } }, "transferHistory" : [ { @@ -143,6 +376,6 @@ } } ], "meta" : { - "globalKey" : "327f1b91" + "globalKey" : "913ab510" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json index da3802b450..068a809cb0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex18-equityOptionTransactionSupplement-non-deliverable-index.json @@ -1,5 +1,248 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } + } + }, + "meta" : { + "globalKey" : "738dbfce" + } + }, + "meta" : { + "globalKey" : "87604815" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-02-09", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a03af4" + } + }, + "meta" : { + "globalKey" : "25a03af4" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-09-18", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a6ee7d" + } + }, + "meta" : { + "globalKey" : "25a6ee7d" + } + } ], + "expirationTimeType" : "AsSpecifiedInMasterConfirmation", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 1000000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "b0f75654" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1325.0, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "21fe67b4" + } + } ], + "meta" : { + "globalKey" : "21fe67b4" + } + } + }, + "meta" : { + "globalKey" : "21fe67b4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.75, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000.0, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".KS50", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "KSC", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "123db" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "All Exchanges", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC-1-0" + } + }, + "meta" : { + "globalKey" : "fbea4eb1" + } + } ], + "name" : { + "value" : "KOREA SE KOSPI 50 INDEX" + }, + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "607309df" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -83,16 +326,23 @@ } } }, + "contractualParty" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } } ], "meta" : { - "globalKey" : "1525d633" + "globalKey" : "5a81c614" } }, "meta" : { - "globalKey" : "225c4293" + "globalKey" : "e48619e9" } }, "transferHistory" : [ { @@ -143,6 +393,6 @@ } } ], "meta" : { - "globalKey" : "18b6c683" + "globalKey" : "28c57bd9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json index bcff36079b..7d3bcf0b90 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex19-dividend-adjustment.json @@ -1,217 +1,182 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "jb2890" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "e0602f0d" - } - } ], - "tradeDate" : { - "value" : "2006-08-14", - "meta" : { - "globalKey" : "3eb20e", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb7f0dc6" } }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7f0dc6" - } - }, - "meta" : { - "globalKey" : "eb7f0dc6" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2008-08-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebbb1dc6" - } - }, + "meta" : { + "globalKey" : "eb7f0dc6" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2008-08-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ebbb1dc6" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "53699b6f" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "ebbb1dc6" } }, "meta" : { - "globalKey" : "cd473c2" + "globalKey" : "ebbb1dc6" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "cd473c2" + "globalKey" : "53699b6f" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "516f6846" } - }, + } ], "meta" : { - "globalKey" : "75d2742c" + "globalKey" : "516f6846" } }, - "meta" : { - "globalKey" : "75d2742c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "meta" : { + "globalKey" : "ff8257b0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, + "unit" : { + "financialUnit" : "Share" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -246,30 +211,60 @@ } }, "meta" : { - "globalKey" : "9c238522" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "42fa301e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "jb2890" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "jb2890" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "jb2890" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "jb2890" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "jb2890" - } ] - } ] + "meta" : { + "globalKey" : "e0602f0d" + } + } ], + "tradeDate" : { + "value" : "2006-08-14", + "meta" : { + "globalKey" : "3eb20e", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -353,7 +348,7 @@ } }, "meta" : { - "globalKey" : "86d12e8a" + "globalKey" : "f6c6e43c" } }, "transferHistory" : [ { @@ -404,6 +399,6 @@ } } ], "meta" : { - "globalKey" : "25a09874" + "globalKey" : "569cd826" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.json index 083f7a3039..43f66816f6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex20-nested-basket.json @@ -1,288 +1,288 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" + "globalKey" : "eae7f1c5" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "26dfe666" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "f7e2d828" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f7e2d828" + "globalKey" : "aedc32dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "d6d95712" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "d6d95712" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "7fb06f82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "98dd29f9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "FXI", + "meta" : { + "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "FTSE/Xinhua China 25 Index" }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" + "assetClass" : "Equity" } - } - } ] + }, + "quantity" : [ { + "value" : { + "value" : 0.50, + "unit" : { + "financialUnit" : "Weight" + } + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" + "value" : { + "quantity" : [ { + "value" : { + "value" : 0.50, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "26dfe666" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "164432f" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -366,7 +366,7 @@ } }, "meta" : { - "globalKey" : "86c5d2c5" + "globalKey" : "db4f3e21" } }, "transferHistory" : [ { @@ -417,6 +417,6 @@ } } ], "meta" : { - "globalKey" : "4b526a38" + "globalKey" : "86668194" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json index 74e172653b..02be4b49f1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex21-flat-weight-basket.json @@ -1,426 +1,365 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" + "globalKey" : "eae7f1c5" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "005440.KS", - "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "HYUNDAI MOTOR COMPANY" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "000270.KS", - "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "KIA MOTORS CORPORATION" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } - }, - "securityType" : "Equity" - } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "e887ffda" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "186158dc" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "186158dc" + "globalKey" : "aedc32dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "d1ba7ac6" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "d1ba7ac6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "7fb06f82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "98dd29f9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 0.50, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Instrument" : { - "Security" : { + "value" : { + "Index" : { + "EquityIndex" : { "identifier" : [ { "identifier" : { - "value" : "005440.KS", + "value" : "FXI", "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" } }, "identifierType" : "Other" - }, { - "identifier" : { - "value" : "HYUNDAI MOTOR COMPANY" - }, - "identifierType" : "Name" } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } + "name" : { + "value" : "FTSE/Xinhua China 25 Index" }, - "securityType" : "Equity" + "assetClass" : "Equity" } - } - }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 0.50, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "000270.KS", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "005440.KS", + "meta" : { + "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "HYUNDAI MOTOR COMPANY" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XKHA" + }, "meta" : { - "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + "globalKey" : "29232c" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "KIA MOTORS CORPORATION" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XKHA" - }, - "meta" : { - "globalKey" : "29232c" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } + }, + "quantity" : [ { + "value" : { + "value" : 0.25, + "unit" : { + "financialUnit" : "Weight" + } + } + } ] }, - "quantity" : [ { - "value" : { - "value" : 0.25, - "unit" : { - "financialUnit" : "Weight" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "000270.KS", + "meta" : { + "scheme" : "http://www.kse.or.kr/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "KIA MOTORS CORPORATION" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XKHA" + }, + "meta" : { + "globalKey" : "29232c" + } + }, + "securityType" : "Equity" + } } - } - } ] + }, + "quantity" : [ { + "value" : { + "value" : 0.25, + "unit" : { + "financialUnit" : "Weight" + } + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] + } } ] } }, "meta" : { - "globalKey" : "e887ffda" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "cc00f107" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -504,7 +443,7 @@ } }, "meta" : { - "globalKey" : "7da98fad" + "globalKey" : "81fd2ff9" } }, "transferHistory" : [ { @@ -555,6 +494,6 @@ } } ], "meta" : { - "globalKey" : "cd87ef20" + "globalKey" : "37526b6c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json index ea85e69c2e..59c2b9e2a2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex22-equityOptionTransactionSupplement-index-option-asian-dates.json @@ -1,5 +1,261 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "afd28267" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "1b7eb5ad", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "1b7eb5ad" + } + } + }, + "meta" : { + "globalKey" : "1b7eb5ad" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 23, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1234, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8da017df" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +323,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +367,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "4aa8124e" } }, "transferHistory" : [ { @@ -137,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "78b20eee" + "globalKey" : "8eaa79" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json index ea85e69c2e..b0ce86e7fc 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex23-equityOptionTransactionSupplement-index-option-cliquet.json @@ -1,5 +1,269 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "b790ef22" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "barrier" : { + "barrierCap" : { + "trigger" : { + "level" : [ { + "value" : 30, + "priceType" : "AssetPrice" + } ] + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "75dab20f", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "75dab20f" + } + } + }, + "meta" : { + "globalKey" : "75dab20f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 23, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2345, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "a93d879f" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +331,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +375,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "ac61586c" } }, "transferHistory" : [ { @@ -137,6 +408,6 @@ } } ], "meta" : { - "globalKey" : "78b20eee" + "globalKey" : "1094c51b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json index 5a83dc2d0b..a6bd0ea86e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex24-equityOptionTransactionSupplement-index-option-asian-schedule.json @@ -1,5 +1,226 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Index" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "afd28267" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "1b7eb5ad", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "1b7eb5ad" + } + } + }, + "meta" : { + "globalKey" : "1b7eb5ad" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8caaf05" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +288,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +332,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "79c0622e" } }, "transferHistory" : [ { @@ -161,6 +389,6 @@ } } ], "meta" : { - "globalKey" : "95ba7ae0" + "globalKey" : "82127a55" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json index ea85e69c2e..eadd70f95e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-options/eqd-ex25-equityOptionTransactionSupplement-index-option-knock-in-knock-out-features.json @@ -1,5 +1,271 @@ { "trade" : { + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "a3be66db" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "Valuation" + } + } + }, + "meta" : { + "globalKey" : "a3be66db" + } + }, + "meta" : { + "globalKey" : "afd28267" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockIn" : { + "trigger" : { + "level" : [ { + "value" : 12, + "priceType" : "AssetPrice" + } ], + "triggerType" : "Greater", + "triggerTimeType" : "Anytime" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "meta" : { + "globalKey" : "eb090e17" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2003-04-19", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + }, + "meta" : { + "globalKey" : "eb21478b" + } + } ], + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 5250 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, + "meta" : { + "globalKey" : "43b95619" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1088, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "9f68324f", + "externalKey" : "equityOption" + } + } ], + "meta" : { + "globalKey" : "9f68324f" + } + } + }, + "meta" : { + "globalKey" : "9f68324f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 23, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1234, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 5250, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "IndexUnit" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : ".SPX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-Reuters-RIC" + } + }, + "identifierType" : "RIC" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "N", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "4e" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "A", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2002/exchange-id-REC" + } + }, + "meta" : { + "globalKey" : "41" + } + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "8da017df" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5d661eab", @@ -67,12 +333,19 @@ } } }, + "contractualParty" : [ { + "globalReference" : "5d661eab", + "externalReference" : "Party1" + }, { + "globalReference" : "5d661eaa", + "externalReference" : "Party2" + } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } } ], "meta" : { - "globalKey" : "cebfff6e" + "globalKey" : "28bc5dcf" } }, "collateral" : { @@ -104,7 +377,7 @@ } }, "meta" : { - "globalKey" : "4b7193b9" + "globalKey" : "88f7d06c" } }, "transferHistory" : [ { @@ -137,6 +410,6 @@ } } ], "meta" : { - "globalKey" : "78b20eee" + "globalKey" : "ce414d1b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.json index c52cb1e373..bb802a1d42 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex04-zero-strike-long-form.json @@ -1,336 +1,265 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } } ], - "meta" : { - "globalKey" : "95918657" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5678", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-10-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252fd543" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "252fd543", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593dbb6" - } - } ], - "tradeDate" : { - "value" : "2002-10-17", - "meta" : { - "globalKey" : "3e9291", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "55830660", + "externalReference" : "FinalEquityPaymentDate" } - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-10-24", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "252fd543" + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "reset" : false, "meta" : { - "globalKey" : "252fd543", - "externalKey" : "EffectiveDate" + "globalKey" : "4d5" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "55830660", - "externalReference" : "FinalEquityPaymentDate" - } - }, + "settlementTerms" : { + "settlementType" : "Cash", "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "1f7333" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "reset" : false, - "meta" : { - "globalKey" : "4d5" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-10-17", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "256bcafc" - } - }, + "valuationDates" : { + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-10-17", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "256bcafc", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "97374c7e" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "55830660" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "256bcafc", - "externalReference" : "FinalValuationDate" - } - }, - "meta" : { - "globalKey" : "55830660", - "externalKey" : "FinalEquityPaymentDate" - } + "globalKey" : "256bcafc" } }, "meta" : { - "globalKey" : "55830660", - "externalKey" : "EquityPaymentDate" + "globalKey" : "256bcafc", + "externalKey" : "FinalValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ZEE.NS", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "ZEE" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "meta" : { + "globalKey" : "97374c7e" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "55830660" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "292fc8" + "globalKey" : "27e4e9", + "externalKey" : "PrimaryBusinessCenter" } }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "256bcafc", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "1c55c9f2" + "globalKey" : "55830660", + "externalKey" : "FinalEquityPaymentDate" + } + } + }, + "meta" : { + "globalKey" : "55830660", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + }, + "composite" : { + "determinationMethod" : "CalculationAgent" + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "excessDividendAmount" : "PaidAmount", + "dividendCurrency" : { + "currencyReference" : { + "globalReference" : "14966", + "externalReference" : "ReferenceCurrency" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e9291", + "externalReference" : "TradeDate" } }, - "composite" : { - "determinationMethod" : "CalculationAgent" - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "256bcafc", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "excessDividendAmount" : "PaidAmount", - "dividendCurrency" : { - "currencyReference" : { - "globalReference" : "14966", - "externalReference" : "ReferenceCurrency" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e9291", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "256bcafc", - "externalReference" : "FinalValuationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "8dab4b33" - } - } ], - "meta" : { - "globalKey" : "8dab4b33" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "dc3bd8a5" } - }, + } ], "meta" : { - "globalKey" : "7f9cb2e6" + "globalKey" : "dc3bd8a5" } }, - "meta" : { - "globalKey" : "7f9cb2e6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.8036, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "d6339f98" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.8036, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 55911.60, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 55911.60, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -365,31 +294,77 @@ } }, "meta" : { - "globalKey" : "cbad403b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "a5b67c57" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918657" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5678", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593dbb6" + } + } ], + "tradeDate" : { + "value" : "2002-10-17", + "meta" : { + "globalKey" : "3e9291", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -475,10 +450,10 @@ } }, "meta" : { - "globalKey" : "8b9e0367" + "globalKey" : "b1d35c59" } }, "meta" : { - "globalKey" : "8b9e0367" + "globalKey" : "b1d35c59" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json index e2fc2dc2f8..3a4d270267 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/eqs-ex05-single-stock-plus-fee-long-form.json @@ -1,416 +1,345 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1934", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9591a09e" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5978", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-09-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "252eb7f7" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "252eb7f7", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "9593e6f9" - } - } ], - "tradeDate" : { - "value" : "2002-09-10", - "meta" : { - "globalKey" : "3e924a", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "23cbca9b", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-09-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "252eb7f7" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "252eb7f7", - "externalKey" : "EffectiveDate" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "cdd584fc" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "252eb7f7", + "externalReference" : "EffectiveDate" + } + }, "meta" : { - "globalKey" : "edf02740" + "globalKey" : "cdd584fc" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "23cbca9b", + "externalReference" : "FinalEquityPaymentDate" + } }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "23cbca9b", - "externalReference" : "FinalEquityPaymentDate" + "meta" : { + "globalKey" : "edf02740" } }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "33464ec4", + "externalKey" : "InterestLegPeriodDates" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "cdd584fc" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "252eb7f7", - "externalReference" : "EffectiveDate" - } + "globalKey" : "53b05215" }, - "meta" : { - "globalKey" : "cdd584fc" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "23cbca9b", - "externalReference" : "FinalEquityPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : 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"meta" : { - "globalKey" : "b70ebdcf" - } - }, - "finalValuationDate" : { - "determinationMethod" : "CalculationAgent", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "4fc3867", - "externalReference" : "PrimaryBusinessCenter" - }, - "meta" : { - "globalKey" : "bec926b7" - } - }, - "meta" : { - "globalKey" : "dfc642a6" - } - }, - "meta" : { - "globalKey" : "b9c8415a" - } - }, - "meta" : { - "globalKey" : "b9c8415a", - "externalKey" : "FinalValuationDate" - } + "globalKey" : "23cbca9b" }, - "meta" : { - "globalKey" : "ec1fc029" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "23cbca9b" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "TWTA" - } ], - "meta" : { - "globalKey" : "4fc3867", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "b9c8415a", - "externalReference" : "FinalValuationDate" - } - }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "TWTA" + } ], "meta" : { - "globalKey" : "23cbca9b", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "4fc3867", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "b9c8415a", + "externalReference" : "FinalValuationDate" } }, "meta" : { "globalKey" : "23cbca9b", - "externalKey" : "EquityPaymentDate" + "externalKey" : "FinalEquityPaymentDate" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "2881.TW", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Fubon Financial Holdings Co., Ltd." - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTAI", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, - "meta" : { - "globalKey" : "294424" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "cde06840" + } + }, + "meta" : { + "globalKey" : "23cbca9b", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + }, + "composite" : { + "determinationMethod" : "CalculationAgent" + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "excessDividendAmount" : "PaidAmount", + "dividendCurrency" : { + "currencyReference" : { + "globalReference" : "14966", + "externalReference" : "ReferenceCurrency" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e924a", + "externalReference" : "TradeDate" } }, - "composite" : { - "determinationMethod" : "CalculationAgent" - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "b9c8415a", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "excessDividendAmount" : "PaidAmount", - "dividendCurrency" : { - "currencyReference" : { - "globalReference" : "14966", - "externalReference" : "ReferenceCurrency" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3e924a", - "externalReference" : "TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "b9c8415a", - "externalReference" : "FinalValuationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "ExDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "ExDate" + } } - }, - "meta" : { - "globalKey" : "d4616e1e" - } - } ], - "meta" : { - "globalKey" : "88b51a9" + } ] } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "79367de" } - }, + } ], "meta" : { - "globalKey" : "8bc50728" + "globalKey" : "72a38aa9" } }, - "meta" : { - "globalKey" : "8bc50728" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 18388000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "f29168e8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 18388000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -445,57 +374,122 @@ } }, "meta" : { - "globalKey" : "f2a6c03" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "globalKey" : "504bec3" + } + }, { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8280320a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a035f33c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1934", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9591a09e" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5978", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593e6f9" + } + } ], + "tradeDate" : { + "value" : "2002-09-10", + "meta" : { + "globalKey" : "3e924a", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -597,7 +591,7 @@ } }, "meta" : { - "globalKey" : "40fbe378" + "globalKey" : "3aa28966" } }, "transferHistory" : [ { @@ -648,6 +642,6 @@ } } ], "meta" : { - "globalKey" : "29a4facb" + "globalKey" : "17d436b9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.json index 25f4090e88..c94e4e8f64 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/equity-swaps/trs-ex01-equity-basket.json @@ -1,815 +1,705 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-02", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "297b834f" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-02", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb46bec6" + } + }, "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + "globalKey" : "eb46bec6", + "externalKey" : "r2" } - } - } ], - "meta" : { - "globalKey" : "eb1954bb" - } - } ], - "tradeDate" : { - "value" : "2004-12-12", - "meta" : { - "globalKey" : "3ea30c", - "externalKey" : "r13" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eb46bec6" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb46bec6" + }, + "meta" : { + "globalKey" : "eb46bec6", + "externalKey" : "r3" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb46bec6", - "externalKey" : "r2" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" 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"referenceCurrency" : { - "value" : "EUR", - "meta" : { - "globalKey" : "10da2", - "externalKey" : "r15" + }, { + "totalRatio" : 0.85, + "basketConstituent" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" } - }, - "composite" : { - "determinationMethod" : "CalculationAgent" } } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 0.85, - "basketConstituent" : { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "ISIN_XXXX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "Telecom Italia spa" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XMIL", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" - } - }, - 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"value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 19785157.16, - "unit" : { - "currency" : { - "value" : "EUR" - } + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 19785157.16, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "1591aa5e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "ISIN_XXXX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "Telecom Italia spa" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XMIL", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ISIN_XXXX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "Telecom Italia spa" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XMIL", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "292ad8" } }, - "meta" : { - "globalKey" : "292ad8" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 432000, - "unit" : { - "financialUnit" : "Share" + }, + "quantity" : [ { + "value" : { + "value" : 432000, + "unit" : { + "financialUnit" : "Share" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "ISIN_YYYY", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "Nokya Oyj" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XHEL", + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "ISIN_YYYY", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "Nokya Oyj" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XHEL", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "291797" } }, - "meta" : { - "globalKey" : "291797" - } - }, - "securityType" : "Equity" + "securityType" : "Equity" + } } - } - }, - "quantity" : [ { - "value" : { - "value" : 227000, - "unit" : { - "financialUnit" : "Share" + }, + "quantity" : [ { + "value" : { + "value" : 227000, + "unit" : { + "financialUnit" : "Share" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } } ] } }, "meta" : { - "globalKey" : "7adea184" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0050, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 19785157.16, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "99b18022" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0050, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 19785157.16, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e98b7331" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "6e6426e6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-02", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "297b834f" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-02", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "eb1954bb" + } + } ], + "tradeDate" : { + "value" : "2004-12-12", + "meta" : { + "globalKey" : "3ea30c", + "externalKey" : "r13" + } }, "party" : [ { "partyId" : [ { @@ -901,11 +791,11 @@ } }, "meta" : { - "globalKey" : "f2310a17" + "globalKey" : "9c8186e0" } }, "meta" : { - "globalKey" : "f2310a17", + "globalKey" : "9c8186e0", "externalKey" : "trs-eqbasket-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.json index f73c970e94..f0b9a656da 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex04-fx-fwd-w-settlement.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-04-01", + "meta" : { + "globalKey" : "3e9101" + } + }, + "meta" : { + "globalKey" : "3e9101" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c60128be" + } + } ], + "meta" : { + "globalKey" : "c60128be" + } + } + }, + "meta" : { + "globalKey" : "c60128be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.4643, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14643000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "f564cfe7" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,181 +187,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-04-01", - "meta" : { - "globalKey" : "3e9101" - } - }, - "meta" : { - "globalKey" : "3e9101" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - } ], - "meta" : { - "globalKey" : "78f6f683" - } - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - }, - "meta" : { - "globalKey" : "78f6f683" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.4643, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14643000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a1c49aa6" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "2786df3e" + "globalKey" : "b0c0ea82" } }, "meta" : { - "globalKey" : "2786df3e" + "globalKey" : "b0c0ea82" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.json index a698143c13..9c3b08bf60 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex06-fx-fwd-w-splits.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-14", + "meta" : { + "globalKey" : "3e908e" + } + }, + "meta" : { + "globalKey" : "3e908e" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011ad1" + } + } ], + "meta" : { + "globalKey" : "c6011ad1" + } + } + }, + "meta" : { + "globalKey" : "c6011ad1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.1072, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 13000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14393600, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "aa9cc2e6" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a41bc6e9", @@ -39,181 +187,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-14", - "meta" : { - "globalKey" : "3e908e" - } - }, - "meta" : { - "globalKey" : "3e908e" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - } ], - "meta" : { - "globalKey" : "541b0a90" - } - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - }, - "meta" : { - "globalKey" : "541b0a90" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.1072, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 13000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14393600, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "9383cacb" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "d47d209d" + "globalKey" : "68f2ec37" } }, "meta" : { - "globalKey" : "d47d209d" + "globalKey" : "68f2ec37" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex12-fx-barrier-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex12-fx-barrier-option.json index 99c5f4b9ae..9efefa130c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex12-fx-barrier-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex12-fx-barrier-option.json @@ -1,5 +1,183 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-08", + "meta" : { + "globalKey" : "3e9088" + } + }, + "meta" : { + "globalKey" : "3e9088" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-02-06", + "meta" : { + "globalKey" : "3e9086" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.9, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.8935 + } + } + }, + "meta" : { + "globalKey" : "b0bd9153" + } + } ], + "meta" : { + "globalKey" : "b0bd9153" + } + } + }, + "meta" : { + "globalKey" : "b0bd9153" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 4500000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "9d55c0ab" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,214 +217,6 @@ "globalKey" : "3e8a10" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-08", - "meta" : { - "globalKey" : "3e9088" - } - }, - "meta" : { - "globalKey" : "3e9088" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-02-06", - "meta" : { - "globalKey" : "3e9086" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.9, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.8935 - } - } - }, - "meta" : { - "globalKey" : "73183755" - } - } ], - "meta" : { - "globalKey" : "73183755" - } - } - }, - "meta" : { - "globalKey" : "73183755" - } - }, - "meta" : { - "globalKey" : "73183755" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 4500000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency1PerCurrency2" - } - } - } - }, - "meta" : { - "globalKey" : "3183a584" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -283,7 +253,7 @@ } } ], "meta" : { - "globalKey" : "87990f7a" + "globalKey" : "77916507" } }, "transferHistory" : [ { @@ -334,6 +304,6 @@ } } ], "meta" : { - "globalKey" : "370fe29a" + "globalKey" : "9733a127" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json index 40a9f3aef2..36b855dfd8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex13-fx-dbl-barrier-option.json @@ -1,5 +1,193 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "DOUBLEBARRIER", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-03-06", + "meta" : { + "globalKey" : "3e90c6" + } + }, + "meta" : { + "globalKey" : "3e90c6" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-03-04", + "meta" : { + "globalKey" : "3e90c4" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 105.05, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 106 + } + } + }, + "meta" : { + "globalKey" : "e144aa52" + } + } ], + "meta" : { + "globalKey" : "e144aa52" + } + } + }, + "meta" : { + "globalKey" : "5d4748dc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 2500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 23798191.34, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "215fde06" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,224 +227,6 @@ "globalKey" : "3e9043" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "DOUBLEBARRIER", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-03-06", - "meta" : { - "globalKey" : "3e90c6" - } - }, - "meta" : { - "globalKey" : "3e90c6" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-03-04", - "meta" : { - "globalKey" : "3e90c4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 105.05, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 106 - } - } - }, - "meta" : { - "globalKey" : "584cd5d4" - } - } ], - "meta" : { - "globalKey" : "584cd5d4" - } - } - }, - "meta" : { - "globalKey" : "41f2f28a" - } - }, - "meta" : { - "globalKey" : "41f2f28a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 2500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 23798191.34, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "JPY" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" - } - } - } - }, - "meta" : { - "globalKey" : "b368fc" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -293,7 +263,7 @@ } } ], "meta" : { - "globalKey" : "33f1fa95" + "globalKey" : "4430b379" } }, "transferHistory" : [ { @@ -344,6 +314,6 @@ } } ], "meta" : { - "globalKey" : "55a62ecb" + "globalKey" : "7e417baf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json index 0ef2d9b3e0..46ac8e9241 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex14-euro-digital-option.json @@ -1,5 +1,93 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EuroBinary", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-28", + "meta" : { + "globalKey" : "3e8adc" + } + }, + "meta" : { + "globalKey" : "3e8adc" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "cf307203" + } + }, + "meta" : { + "globalKey" : "e26c1087" + } + } ], + "meta" : { + "globalKey" : "e26c1087" + } + } + }, + "meta" : { + "globalKey" : "fa9a9605" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,101 +127,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EuroBinary", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-28", - "meta" : { - "globalKey" : "3e8adc" - } - }, - "meta" : { - "globalKey" : "3e8adc" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "cf307203" - } - }, - "meta" : { - "globalKey" : "e26c1087" - } - } ], - "meta" : { - "globalKey" : "e26c1087" - } - } - }, - "meta" : { - "globalKey" : "fa9a9605" - } - }, - "meta" : { - "globalKey" : "fa9a9605" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -170,7 +163,7 @@ } } ], "meta" : { - "globalKey" : "20adece4" + "globalKey" : "5d218a64" } }, "transferHistory" : [ { @@ -221,6 +214,6 @@ } } ], "meta" : { - "globalKey" : "f7520aaf" + "globalKey" : "8225282f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json index 65604e613c..1603441e65 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex15-euro-range-digital-option.json @@ -1,5 +1,93 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EuroRangeBinary", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "cf307203" + } + }, + "meta" : { + "globalKey" : "d308c5c9" + } + } ], + "meta" : { + "globalKey" : "d308c5c9" + } + } + }, + "meta" : { + "globalKey" : "b842b8aa" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,101 +127,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EuroRangeBinary", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "cf307203" - } - }, - "meta" : { - "globalKey" : "d308c5c9" - } - } ], - "meta" : { - "globalKey" : "d308c5c9" - } - } - }, - "meta" : { - "globalKey" : "b842b8aa" - } - }, - "meta" : { - "globalKey" : "b842b8aa" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -170,7 +163,7 @@ } } ], "meta" : { - "globalKey" : "977550e9" + "globalKey" : "9fe1cee9" } }, "transferHistory" : [ { @@ -221,6 +214,6 @@ } } ], "meta" : { - "globalKey" : "37eea2b3" + "globalKey" : "824120b3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json index 2ea1833752..4dd46e51b6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex16-one-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "OneTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "c4d8584" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "OneTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "c4d8584" - } - }, - "meta" : { - "globalKey" : "c4d8584" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "50cdb1e3" + "globalKey" : "8ab0b2e3" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "15eae70b" + "globalKey" : "c71ae80b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json index 6ccf7f3281..3d3dc4cddf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex17-no-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "NoTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "b4f0d149" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "NoTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "b4f0d149" - } - }, - "meta" : { - "globalKey" : "b4f0d149" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "be1dec49" + "globalKey" : "93c1b49" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "2febcf71" + "globalKey" : "5f2cfe71" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json index f0c5d1ddfd..0cf835ff79 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex18-double-one-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "DoubleOneTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "8fc088f5" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "DoubleOneTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "8fc088f5" - } - }, - "meta" : { - "globalKey" : "8fc088f5" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "238b5c54" + "globalKey" : "a4e9fbd4" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "2e1c8e7c" + "globalKey" : "d74adfc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json index 1726dbf0ae..72cc5c2ac8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex19-double-no-touch-option.json @@ -1,5 +1,118 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "DoubleNoTouch", + "meta" : { + "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" + } + } + } + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "3e8ada" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-12", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "meta" : { + "globalKey" : "7082b841" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-26", + "meta" : { + "globalKey" : "3e8ada" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "9de7795" + } + }, + "meta" : { + "globalKey" : "92a1a55b" + } + } ], + "meta" : { + "globalKey" : "92a1a55b" + } + } + }, + "meta" : { + "globalKey" : "1c471bb8" + } + }, + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,126 +152,6 @@ "globalKey" : "3e8acc" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "DoubleNoTouch", - "meta" : { - "scheme" : "http://www.sample.com/coding-scheme/product-type-simple" - } - } - } - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "3e8ada" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-12", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "meta" : { - "globalKey" : "7082b841" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-26", - "meta" : { - "globalKey" : "3e8ada" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "9de7795" - } - }, - "meta" : { - "globalKey" : "92a1a55b" - } - } ], - "meta" : { - "globalKey" : "92a1a55b" - } - } - }, - "meta" : { - "globalKey" : "1c471bb8" - } - }, - "meta" : { - "globalKey" : "1c471bb8" - } - }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -195,7 +188,7 @@ } } ], "meta" : { - "globalKey" : "de7204f7" + "globalKey" : "28ec27f7" } }, "transferHistory" : [ { @@ -246,6 +239,6 @@ } } ], "meta" : { - "globalKey" : "f44c3e1f" + "globalKey" : "8b4d611f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json index 8eadbe7051..80c8913726 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/fx-derivatives/fx-ex32-forward-volatility-agreement.json @@ -1,5 +1,22 @@ { "trade" : { + "product" : { + "economicTerms" : { + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "4c4be8ea" + } + }, + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "bc0f2fa8", + "externalReference" : "party1" + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "bc0f2fa8", @@ -24,30 +41,6 @@ "externalKey" : "TradeDate" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "meta" : { - "globalKey" : "4c4be8ea" - } - }, - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "bc0f2fa8", - "externalReference" : "party1" - } ] - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -84,10 +77,10 @@ } } ], "meta" : { - "globalKey" : "ef964474" + "globalKey" : "ef070b34" } }, "meta" : { - "globalKey" : "ef964474" + "globalKey" : "ef070b34" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.json index 6cb4f645b9..55c0b5ffe5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex01-variance-swap-index.json @@ -1,235 +1,157 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "d989" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25690940" } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SP500", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "290478" - } - } ], - "name" : "SP 500 Index", - "assetClass" : "Equity" - } }, "meta" : { - "globalKey" : "6a2c4dd2" + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "varianceStrikePrice" : { - "value" : 950, - "priceType" : "Variance" - }, - "exchangeTradedContractNearest" : { - "asset" : { - "Instrument" : { - "ListedDerivative" : { - "identifier" : [ { - "identifier" : { - "value" : ".SP500", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "25690940" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "varianceStrikePrice" : { + "value" : 950, + "priceType" : "Variance" + }, + "exchangeTradedContractNearest" : { + "value" : { + "Asset" : { + "Instrument" : { + "ListedDerivative" : { + "identifier" : [ { + "identifier" : { + "value" : ".SP500", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS", "meta" : { - "globalKey" : "293090" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "293090" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XCBO", "meta" : { - "globalKey" : "290478" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } - } ] - } + }, + "meta" : { + "globalKey" : "290478" + } + } ] } } } } - }, - "meta" : { - "globalKey" : "7173cde3" } - } ], - "meta" : { - "globalKey" : "7173cde3" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "67d9fa2d" } - }, + } ], "meta" : { - "globalKey" : "3003ca0d" + "globalKey" : "67d9fa2d" } }, - "meta" : { - "globalKey" : "3003ca0d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "25900bd7" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 350000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -263,42 +185,84 @@ "globalKey" : "290478" } } ], - "name" : "SP 500 Index", + "name" : { + "value" : "SP 500 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "fa3d9141" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "6f6e4974" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "d989" + } }, "party" : [ { "partyId" : [ { @@ -384,10 +348,10 @@ } }, "meta" : { - "globalKey" : "91b0eed2" + "globalKey" : "1516ea49" } }, "meta" : { - "globalKey" : "91b0eed2" + "globalKey" : "1516ea49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.json index 6e14d33b01..f7faaa4505 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/incomplete-products/variance-swaps/eqvs-ex03-conditional-variance-swap.json @@ -1,243 +1,174 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2007-01-05", - "meta" : { - "globalKey" : "3eb845", - "externalKey" : "d989" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25690940" } - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "IBM ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "securityType" : "Equity" }, "meta" : { - "globalKey" : "71a2381b" + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "optionsPriceValuation" : true - }, - "dividendApplicability" : { - "optionsExchangeDividends" : true, - "additionalDividends" : false - }, - "varianceStrikePrice" : { - "value" : 18.135, - "priceType" : "Variance" - }, - "varianceCapFloor" : { - "boundedVariance" : { - "realisedVarianceMethod" : "Previous", - "daysInRangeAdjustment" : true, - "upperBarrier" : 101.00, - "lowerBarrier" : 94.00 - } - }, - "vegaNotionalAmount" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "exchangeTradedContractNearest" : { - "asset" : { - "Instrument" : { - "ListedDerivative" : { - "identifier" : [ { - "identifier" : { - "value" : ".IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "25690940" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "optionsPriceValuation" : true + }, + "dividendApplicability" : { + "optionsExchangeDividends" : true, + "additionalDividends" : false + }, + "varianceStrikePrice" : { + "value" : 18.135, + "priceType" : "Variance" + }, + "varianceCapFloor" : { + "boundedVariance" : { + "realisedVarianceMethod" : "Previous", + "daysInRangeAdjustment" : true, + "upperBarrier" : 101.00, + "lowerBarrier" : 94.00 + } + }, + "vegaNotionalAmount" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "exchangeTradedContractNearest" : { + "value" : { + "Asset" : { + "Instrument" : { + "ListedDerivative" : { + "identifier" : [ { + "identifier" : { + "value" : ".IBM", "meta" : { - "globalKey" : "293090" + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" } }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "identifierType" : "Other" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS", "meta" : { - "globalKey" : "290478" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } - } ] - } + }, + "meta" : { + "globalKey" : "293090" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XCBO", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + } + }, + "meta" : { + "globalKey" : "290478" + } + } ] } } } } - }, - "meta" : { - "globalKey" : "6368a998" } - } ], - "meta" : { - "globalKey" : "6368a998" } + }, + "meta" : { + "globalKey" : "1071b75d" } - }, + } ], "meta" : { - "globalKey" : "6368a998" + "globalKey" : "1071b75d" } - }, - "meta" : { - "globalKey" : "6368a998" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1388.889, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "1071b75d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1388.889, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -271,30 +202,70 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "bfb5a267" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f0465d1e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2007-01-05", + "meta" : { + "globalKey" : "3eb845", + "externalKey" : "d989" + } }, "party" : [ { "partyId" : [ { @@ -330,10 +301,10 @@ } } ], "meta" : { - "globalKey" : "a1a461c6" + "globalKey" : "39449a42" } }, "meta" : { - "globalKey" : "a1a461c6" + "globalKey" : "39449a42" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.json index 1d9d446cc7..c46a5d5728 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex51-execution-advice-trade-initiation-C01-00.json @@ -30,296 +30,289 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "98d05603" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - 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"value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98d05603" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -414,7 +407,7 @@ } } ], "meta" : { - "globalKey" : "9e0d5c64" + "globalKey" : "4ffa6f60" } }, "transferHistory" : [ { @@ -456,7 +449,7 @@ } } ], "meta" : { - "globalKey" : "5f379914" + "globalKey" : "795610" } } } @@ -492,6 +485,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : 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- }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : 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"globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "de6e400c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "de6e400c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "de6e400c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98d05603" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -552,7 +545,7 @@ } } ], "meta" : { - "globalKey" : "33833a85" + "globalKey" : "bcd7ee09" } }, "transferHistory" : [ { @@ -594,7 +587,7 @@ } } ], "meta" : { - "globalKey" : "ecca1cb5" + "globalKey" : "f6a5e639" } } } @@ -630,6 +623,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "adbcaef" + "globalKey" : "3498d22b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json index 2b3e67a167..160363a008 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex53-execution-advice-trade-partial-novation-correction-C02-10.json @@ -122,296 +122,289 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR2345", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-09", + "meta" : { + "globalKey" : "3ec989" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3ec989" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "98d05603" - } - } ], - "tradeDate" : { - "value" : "2009-06-08", - "meta" : { - "globalKey" : "3ec988" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:SingleName:Corporate:StandardNorthAmericanCorporate" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-09", - "meta" : { - "globalKey" : "3ec989" - } - }, - "meta" : { - "globalKey" : "3ec989" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" 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"protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true + } ], + "name" : { + "value" : "ARW" }, "meta" : { - "globalKey" : "4cf" + "globalKey" : "3bb830c" } - }, - "meta" : { - "globalKey" : "4cf" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "36e273c5" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "84f91cc9" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "36e273c5" } }, "meta" : { - "globalKey" : "de6e400c" + "globalKey" : "84f91cc9" } - }, - "meta" : { - "globalKey" : "de6e400c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "de6e400c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + 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70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR2345", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98d05603" + } + } ], + "tradeDate" : { + "value" : "2009-06-08", + "meta" : { + "globalKey" : "3ec988" + } }, "party" : [ { "partyId" : [ { @@ -552,7 +545,7 @@ } } ], "meta" : { - "globalKey" : "33833a85" + "globalKey" : "bcd7ee09" } }, "transferHistory" : [ { @@ -594,7 +587,7 @@ } } ], "meta" : { - "globalKey" : "ecca1cb5" + "globalKey" : "f6a5e639" } } } @@ -630,6 +623,6 @@ } ], "action" : "Correct", "meta" : { - "globalKey" : "b37e5c49" + "globalKey" : "4f11185" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.json index 7431f5186a..bd9378dd38 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex58-execution-advice-trade-initiation-F01-00.json @@ -30,269 +30,271 @@ "before" : { 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: "Credit:Index:CDX:CDXIG" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-01", - "meta" : { - "globalKey" : "3eca41" - } - }, - "meta" : { - "globalKey" : "3eca41" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - 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"meta" : { - "globalKey" : "b1757383" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6bda8462" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "98dee5c3" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -387,7 +389,7 @@ } } ], "meta" : { - "globalKey" : "2a4383db" + "globalKey" : "7519eb8a" } }, "transferHistory" : [ { @@ -429,7 +431,7 @@ } } ], "meta" : { - "globalKey" : "dcee5f0b" + "globalKey" : "881b193a" } } } @@ -465,6 +467,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "ad3abe23" + "globalKey" : "5f6cbd04" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.json index b91265dab9..e6a51e979d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex59-execution-advice-trade-amendment-F02-00.json @@ -49,269 +49,271 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CONTR3456", + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Credit:Index:CDX:CDXHY" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } + }, "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" + "globalKey" : "3eca48" } }, - "version" : 2 - } ], - "meta" : { - "globalKey" : "98dee5c4" - } - } ], - "tradeDate" : { - "value" : "2009-09-08", - "meta" : { - "globalKey" : "3eca48" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Credit:Index:CDX:CDXHY" - } + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-06-20", + "meta" : { + "globalKey" : "3ee194" } - }, { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-08", - "meta" : { - "globalKey" : "3eca48" - } - }, - "meta" : { - "globalKey" : "3eca48" - } + }, + "meta" : { + "globalKey" : "3ee194" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-06-20", - "meta" : { - "globalKey" : "3ee194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ee194" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : 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"payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "c9d95f07" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-09-20", + "meta" : { + "globalKey" : "3edeea" + } + }, + "meta" : { + "globalKey" : "9ca46f04" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "CDX-NAIGHVOLS10.5Y" + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "2I65B3BA0", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "CDX-NAIGHVOLS10.5Y" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "CDX-NAIGHVOLS10.5Y" - }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "16a21cc9" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "16a21cc9" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2b60005c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "98dee5c4" + } + } ], + "tradeDate" : { + "value" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } }, "party" : [ { "partyId" : [ { @@ -406,7 +408,7 @@ } } ], "meta" : { - "globalKey" : "bea4b280" + "globalKey" : "974f452f" } }, "transferHistory" : [ { @@ -448,7 +450,7 @@ } } ], "meta" : { - "globalKey" : "1182c930" + "globalKey" : "c9c02e5f" } } } @@ -484,6 +486,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "9cca6d16" + "globalKey" : "4858d2d5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json index c7a265beb0..c1dee942b3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex60-execution-advice-trade-amendment-correction-F02-10.json @@ -49,269 +49,271 @@ "before" : { "value" : { "trade" : { 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- }, - "indexId" : [ { - "value" : "2I65B3BA0", + "assetClass" : "Credit", + "indexSeries" : 10, + "indexAnnexVersion" : 2, + "indexAnnexDate" : "2007-03-06", + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "entityId" : [ { + "value" : "ABC1234567", "meta" : { "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" } } ], - "indexSeries" : 10, - "indexAnnexVersion" : 2, - "indexAnnexDate" : "2007-03-06", - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "entityId" : [ { - "value" : "ABC1234567", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2003/instrument-id-RED-1-0" - } - } ], - "meta" : { - "globalKey" : "e883dbb2" - } - } - } ], "meta" : { - "globalKey" : "16d002e4" + "globalKey" : "e883dbb2" } } - }, + } ], "meta" : { - "globalKey" : "e13bcc25" + "globalKey" : "51a315e1" } - }, - "meta" : { - "globalKey" : "33ec0229" } + }, + "meta" : { + "globalKey" : "353f9180" } }, "meta" : { - "globalKey" : "5ec551c" + "globalKey" : "9b8b4efc" } - }, - "meta" : { - "globalKey" : "5ec551c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "44a854a9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "4fca0be" - } - }, { - "quantity" : [ { - "value" : { - "value" : 70000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e6be80f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a2b7933d", - "externalReference" : "_fund" + } ], + "meta" : { + "globalKey" : "4fca0be" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90c956c2", - "externalReference" : "_broker" + "quantity" : [ { + "value" : { + "value" : 70000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "e6be80f3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90c956c2", + "externalReference" : "_broker" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "a2b7933d", + "externalReference" : "_fund" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CONTR3456", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "98dee5c4" + } + } ], + "tradeDate" : { + "value" : "2009-09-08", + "meta" : { + "globalKey" : "3eca48" + } }, "party" : [ { "partyId" : [ { @@ -406,7 +408,7 @@ } } ], "meta" : { - "globalKey" : "c22df453" + "globalKey" : "fceb59c2" } }, "transferHistory" : [ { @@ -448,7 +450,7 @@ } } ], "meta" : { - "globalKey" : "2ef3e383" + "globalKey" : "785f3b72" } } } @@ -484,6 +486,6 @@ } ], "action" : "Correct", "meta" : { - "globalKey" : "fa7b3484" + "globalKey" : "65fcf83" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex63-execution-advice-trade-initiation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex63-execution-advice-trade-initiation.json index 179abd159a..29f7180a48 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex63-execution-advice-trade-initiation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex63-execution-advice-trade-initiation.json @@ -5,131 +5,52 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS2", - "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "afb2105a" - } - } ], - "tradeDate" : { - "value" : "2007-07-27", - "meta" : { - "globalKey" : "3eb9db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "99ecd50c", - "externalKey" : "BCT1" - } - }, - "meta" : { - "globalKey" : "706f885d" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -144,137 +65,141 @@ "globalKey" : "365a0a2f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "b4c01db4", - "externalKey" : "CALC1" + "globalKey" : "d83acb11" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d83acb11" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "1f065e" + "globalKey" : "99ecd50c", + "externalKey" : "BCT1" } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "706f885d" } }, "meta" : { - "globalKey" : "3fe2ea5c" + "globalKey" : "9a6e183f" } }, "meta" : { - "globalKey" : "493035cb" + "globalKey" : "9a6e183f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "1f065e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "b4c01db4", + "externalKey" : "CALC1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "3fe2ea5c" + } + }, + "meta" : { + "globalKey" : "493035cb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "211c224d" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "99ecd50c", @@ -285,32 +210,21 @@ } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "211c224d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "81e1e301", - "externalKey" : "CALC2" + "globalKey" : "c2fce32f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c2fce32f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -326,172 +240,270 @@ } }, "meta" : { - "globalKey" : "b347d10d" + "globalKey" : "634fdb11" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "81e1e301", - "externalReference" : "CALC2" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "536cd230" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "cda103d8", - "externalReference" : "RES2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } + "meta" : { + "globalKey" : "634fdb11" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "cda103d8", - "externalKey" : "RES2" + "globalKey" : "1f065e" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "45e87af8" + "globalKey" : "365a0a2f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "e373b7cd" + "globalKey" : "81e1e301", + "externalKey" : "CALC2" } - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0987, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b347d10d" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "81e1e301", + "externalReference" : "CALC2" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "536cd230" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "cda103d8", + "externalReference" : "RES2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "cda103d8", + "externalKey" : "RES2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "45e87af8" } } ], "meta" : { - "globalKey" : "83890fee" + "globalKey" : "e373b7cd" } - }, { - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } + }, + "meta" : { + "globalKey" : "e373b7cd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0987, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "JPY-BBSF-Bloomberg-15:00" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "83890fee" + } + }, { + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7ce2984e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "add77cf8", - "externalReference" : "SKY" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "98985a5b", - "externalReference" : "FIRST" + }, + "meta" : { + "globalKey" : "45b8ec09" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "98985a5b", + "externalReference" : "FIRST" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "add77cf8", + "externalReference" : "SKY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS2", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "afb2105a" + } + } ], + "tradeDate" : { + "value" : "2007-07-27", + "meta" : { + "globalKey" : "3eb9db" + } }, "party" : [ { "partyId" : [ { @@ -606,11 +618,11 @@ } } ], "meta" : { - "globalKey" : "1bca20fd" + "globalKey" : "98be33e6" } }, "meta" : { - "globalKey" : "1bca20fd" + "globalKey" : "98be33e6" } } } @@ -646,6 +658,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "b2882ce3" + "globalKey" : "fff64712" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex64-execution-advice-trade-initiation-correction.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex64-execution-advice-trade-initiation-correction.json index 7a99760c5d..ddaa00c416 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex64-execution-advice-trade-initiation-correction.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex64-execution-advice-trade-initiation-correction.json @@ -49,131 +49,52 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "15e81583", - "externalReference" : "SKY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IRS2", - "meta" : { - "scheme" : "http://www.swift.com/coding-scheme/contract-id" - } - }, - "version" : 2 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "afb2105b" - } - } ], - "tradeDate" : { - "value" : "2007-07-27", - "meta" : { - "globalKey" : "3eb9db" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "meta" : { - "globalKey" : "d83acb11" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "99ecd50c", - "externalKey" : "BCT1" - } - }, - "meta" : { - "globalKey" : "706f885d" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "meta" : { - "globalKey" : "9a6e183f" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -188,137 +109,141 @@ "globalKey" : "365a0a2f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "b4c01db4", - "externalKey" : "CALC1" + "globalKey" : "d83acb11" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d83acb11" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "1f065e" + "globalKey" : "99ecd50c", + "externalKey" : "BCT1" } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "706f885d" } }, "meta" : { - "globalKey" : "3fe2ea5c" + "globalKey" : "9a6e183f" } }, "meta" : { - "globalKey" : "493035cb" + "globalKey" : "9a6e183f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "1f065e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "b4c01db4", + "externalKey" : "CALC1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "3fe2ea5c" + } + }, + "meta" : { + "globalKey" : "493035cb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-07-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "211c224d" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "meta" : { - "globalKey" : "c2fce32f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-07-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "meta" : { - "globalKey" : "634fdb11" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-07-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { "globalReference" : "99ecd50c", @@ -329,32 +254,21 @@ } }, "meta" : { - "globalKey" : "365a0a2f" + "globalKey" : "211c224d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "81e1e301", - "externalKey" : "CALC2" + "globalKey" : "c2fce32f" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c2fce32f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2037-07-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -370,172 +284,270 @@ } }, "meta" : { - "globalKey" : "b347d10d" + "globalKey" : "634fdb11" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "81e1e301", - "externalReference" : "CALC2" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "536cd230" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "cda103d8", - "externalReference" : "RES2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "99ecd50c", - "externalReference" : "BCT1" - }, - "meta" : { - "globalKey" : "1f065e" - } - }, - "meta" : { - "globalKey" : "365a0a2f" - } + "meta" : { + "globalKey" : "634fdb11" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" }, "meta" : { - "globalKey" : "cda103d8", - "externalKey" : "RES2" + "globalKey" : "1f065e" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "45e87af8" + "globalKey" : "365a0a2f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "e373b7cd" + "globalKey" : "81e1e301", + "externalKey" : "CALC2" } - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "meta" : { - "globalKey" : "e373b7cd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0987, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b347d10d" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "81e1e301", + "externalReference" : "CALC2" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "536cd230" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "cda103d8", + "externalReference" : "RES2" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "99ecd50c", + "externalReference" : "BCT1" + }, + "meta" : { + "globalKey" : "1f065e" + } + }, + "meta" : { + "globalKey" : "365a0a2f" + } + }, + "meta" : { + "globalKey" : "cda103d8", + "externalKey" : "RES2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "45e87af8" } } ], "meta" : { - "globalKey" : "83890fee" + "globalKey" : "e373b7cd" } - }, { - "quantity" : [ { - "value" : { - "value" : 12300000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + } + }, + "meta" : { + "globalKey" : "e373b7cd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0987, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "JPY-BBSF-Bloomberg-15:00" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "83890fee" + } + }, { + "quantity" : [ { + "value" : { + "value" : 12300000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-BBSF-Bloomberg-15:00" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7ce2984e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "15e81583", - "externalReference" : "SKY" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "98985a5b", - "externalReference" : "FIRST" + }, + "meta" : { + "globalKey" : "45b8ec09" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "15e81583", + "externalReference" : "SKY" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "98985a5b", + "externalReference" : "FIRST" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "15e81583", + "externalReference" : "SKY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IRS2", + "meta" : { + "scheme" : "http://www.swift.com/coding-scheme/contract-id" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "afb2105b" + } + } ], + "tradeDate" : { + "value" : "2007-07-27", + "meta" : { + "globalKey" : "3eb9db" + } }, "party" : [ { "partyId" : [ { @@ -650,11 +662,11 @@ } } ], "meta" : { - "globalKey" : "bb54a409" + "globalKey" : "33065372" } }, "meta" : { - "globalKey" : "bb54a409" + "globalKey" : "33065372" } } } @@ -690,6 +702,6 @@ } ], "action" : "Correct", "meta" : { - "globalKey" : "6a923b13" + "globalKey" : "3ad94dd0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-coal-physical-leg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-coal-physical-leg.json index d1f37647a8..1b0c21d91f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-coal-physical-leg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-coal-physical-leg.json @@ -48,271 +48,263 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "1234", + "value" : "QZ17F5PN51JM", "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4914" } + }, + "source" : "UPI", + "meta" : { + "globalKey" : "43db6c13" } } ], - "meta" : { - "globalKey" : 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"partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2009-01-28", + "meta" : { + "globalKey" : "3ec85c" + } }, "party" : [ { "partyId" : [ { @@ -366,11 +358,11 @@ } } ], "meta" : { - 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"partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2009-01-28", + "meta" : { + "globalKey" : "3ec85c" + } }, "party" : [ { "partyId" : [ { @@ -378,11 +364,11 @@ } } ], "meta" : { - "globalKey" : "5fcea69a" + "globalKey" : "30d725ae" } }, "meta" : { - "globalKey" : "5fcea69a" + "globalKey" : "30d725ae" } } } @@ -415,6 +401,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "aacd570f" + "globalKey" : "486b467b" } } \ No newline at end of file diff --git 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} + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2009-01-28", + "meta" : { + "globalKey" : "3ec85c" + } }, "party" : [ { "partyId" : [ { @@ -413,11 +399,11 @@ } } ], "meta" : { - "globalKey" : "1aea6afb" + "globalKey" : "5e960de8" } }, "meta" : { - "globalKey" : "1aea6afb" + "globalKey" : "5e960de8" } } } @@ -450,6 +436,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "296e4e4e" + "globalKey" : "62396281" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-commodity-swap-gas-physical-leg.json 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: { + }, + "meta" : { + "globalKey" : "49ac1f61" + } + }, { + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } ] + } } } }, "meta" : { - "globalKey" : "b14a72a8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "887868a8" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2009-01-28", + "meta" : { + "globalKey" : "3ec85c" + } }, "party" : [ { "partyId" : [ { @@ -378,11 +364,11 @@ } } ], "meta" : { - "globalKey" : "87ec66e8" + "globalKey" : "7acdf2f5" } }, "meta" : { - "globalKey" : "87ec66e8" + "globalKey" : "7acdf2f5" } } } @@ -415,6 +401,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "829b0581" + "globalKey" : "9d2c8494" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.json index 23911daed2..d8026efcd6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex69-execution-advice-commodity-swap-classification-new-trade-esma-emir-refit.json @@ -48,283 +48,269 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "1234", + "value" : "QZ17F5PN51JM", "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4914" } + }, + "source" : "UPI", + "meta" : { + "globalKey" : "43db6c13" } } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", - "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "SWAP", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Forward" } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2009-01-28", - "meta" : { - "globalKey" : "3ec85c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "SWAP", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25fdf5ec" } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Forward" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf5ec" - } - }, + }, + "meta" : { + "globalKey" : "25fdf5ec" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25fdf5ec" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fe62c9" - } + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "meta" : { + "globalKey" : "25fe62c9" + } + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25fe62c9" + "globalKey" : "14966" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - }, - "meta" : { - "globalKey" : "b14a72a8" - } - }, - "meta" : { - "globalKey" : "b75425e2" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "underlier" : { - "commodity" : { - "taxonomy" : [ { - "source" : "ISDA", - "value" : { - "classification" : [ { - "value" : "Energy", - "ordinal" : 1 - }, { - "value" : "Oil", - "ordinal" : 2 - }, { - "value" : "OilWTI", - "ordinal" : 3 - } ] - } - }, { - "source" : "EMIR", - "value" : { - "classification" : [ { - "value" : "NRGY", - "ordinal" : 1 - }, { - "value" : "OILP", - "ordinal" : 2 - }, { - "value" : "WTIO", - "ordinal" : 3 - } ] - } - } ] - }, - "meta" : { - "globalKey" : "cfc1e807" - } - }, - "meta" : { - "globalKey" : "788cce66" - } - } ], - "meta" : { - "globalKey" : "bf52fcc8" + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All" } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } + }, + "meta" : { + "globalKey" : "5a4c1a06" } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "QZ17F5PN51JM", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4914" + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "source" : "UPI", "meta" : { - "globalKey" : "43db6c13" + "globalKey" : "b14144c1" } } ], "meta" : { - "globalKey" : "c875c941" + "globalKey" : "4eb27e7b" } - }, - "meta" : { - "globalKey" : "c875c941" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "9088602e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "taxonomy" : [ { - "source" : "ISDA", - "value" : { - "classification" : [ { - "value" : "Energy", - "ordinal" : 1 - }, { - "value" : "Oil", - "ordinal" : 2 - }, { - "value" : "OilWTI", - "ordinal" : 3 - } ] - } - }, { - "source" : "EMIR", - "value" : { - "classification" : [ { - "value" : "NRGY", - "ordinal" : 1 - }, { - "value" : "OILP", - "ordinal" : 2 - }, { - "value" : "WTIO", - "ordinal" : 3 - } ] - } - } ] + "value" : { + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "classification" : [ { + "value" : "Energy", + "ordinal" : 1 + }, { + "value" : "Oil", + "ordinal" : 2 + }, { + "value" : "OilWTI", + "ordinal" : 3 + } ] + } + }, { + "source" : "EMIR", + "value" : { + "classification" : [ { + "value" : "NRGY", + "ordinal" : 1 + }, { + "value" : "OILP", + "ordinal" : 2 + }, { + "value" : "WTIO", + "ordinal" : 3 + } ] + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "cfc1e807" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "observable" : { - "asset" : { + }, + "meta" : { + "globalKey" : "e6e80247" + } + }, { + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } ] + } } } }, "meta" : { - "globalKey" : "b14a72a8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "887868a8" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2009-01-28", + "meta" : { + "globalKey" : "3ec85c" + } }, "party" : [ { "partyId" : [ { @@ -378,11 +364,11 @@ } } ], "meta" : { - "globalKey" : "c440941c" + "globalKey" : "ba95824f" } }, "meta" : { - "globalKey" : "c440941c" + "globalKey" : "ba95824f" } } } @@ -415,6 +401,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "cc44eccd" + "globalKey" : "c45e377a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.json index f7055681b3..af9d771610 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/processes/execution-advice/msg-ex70-execution-advice-commodity-swap-classification-termination-esma-emir-refit.json @@ -60,283 +60,269 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "1234", + "value" : "QZ17F5PN51JM", "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4914" } + }, + "source" : "UPI", + "meta" : { + "globalKey" : "43db6c13" } } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", - "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "SWAP", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Forward" } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2009-01-28", - "meta" : { - "globalKey" : "3ec85c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "SWAP", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/esma-emir-refit-contract-type" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25fdf5ec" } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Forward" - } ], - "economicTerms" : { - 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+ "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25fe62c9" + "globalKey" : "14966" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "14966" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" - }, - "meta" : { - "globalKey" : "b14a72a8" - } - }, - "meta" : { - "globalKey" : "b75425e2" - } - } ], - "forwardPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "underlier" : { - "commodity" : { - "taxonomy" : [ { - "source" : "ISDA", - "value" : { - "classification" : [ { - "value" : "Energy", - "ordinal" : 1 - }, { - "value" : "Oil", - "ordinal" : 2 - }, { - "value" : "OilWTI", - "ordinal" : 3 - } ] - } - }, { - "source" : "EMIR", - "value" : { - "classification" : [ { - "value" : "NRGY", - "ordinal" : 1 - }, { - "value" : "OILP", - "ordinal" : 2 - }, { - "value" : "WTIO", - "ordinal" : 3 - } ] - } - } ] - }, - "meta" : { - "globalKey" : "cfc1e807" - } - }, - "meta" : { - "globalKey" : "788cce66" - } - } ], - "meta" : { - "globalKey" : "bf52fcc8" + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-2" } + }, + "meta" : { + "globalKey" : "5a4c1a06" } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "QZ17F5PN51JM", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4914" + } ], + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "source" : "UPI", "meta" : { - "globalKey" : "43db6c13" + "globalKey" : "b14144c1" } } ], "meta" : { - "globalKey" : "c875c941" + "globalKey" : "4eb27e7b" } - }, - "meta" : { - "globalKey" : "c875c941" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "9088602e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "taxonomy" : [ { - "source" : "ISDA", - "value" : { - "classification" : [ { - "value" : "Energy", - "ordinal" : 1 - }, { - "value" : "Oil", - "ordinal" : 2 - }, { - "value" : "OilWTI", - "ordinal" : 3 - } ] - } - }, { - "source" : "EMIR", - "value" : { - "classification" : [ { - "value" : "NRGY", - "ordinal" : 1 - }, { - "value" : "OILP", - "ordinal" : 2 - }, { - "value" : "WTIO", - "ordinal" : 3 - } ] - } - } ] + "value" : { + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "classification" : [ { + "value" : "Energy", + "ordinal" : 1 + }, { + "value" : "Oil", + "ordinal" : 2 + }, { + "value" : "OilWTI", + "ordinal" : 3 + } ] + } + }, { + "source" : "EMIR", + "value" : { + "classification" : [ { + "value" : "NRGY", + "ordinal" : 1 + }, { + "value" : "OILP", + "ordinal" : 2 + }, { + "value" : "WTIO", + "ordinal" : 3 + } ] + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "cfc1e807" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "observable" : { - "asset" : { + }, + "meta" : { + "globalKey" : "e6e80247" + } + }, { + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-WTI-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-WTI-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/spec/2008/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } ] + } } } }, "meta" : { - "globalKey" : "b14a72a8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "887868a8" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2009-01-28", + "meta" : { + "globalKey" : "3ec85c" + } }, "party" : [ { "partyId" : [ { @@ -434,11 +420,11 @@ } }, "meta" : { - "globalKey" : "5318c2bb" + "globalKey" : "7968c268" } }, "meta" : { - "globalKey" : "5318c2bb" + "globalKey" : "7968c268" } } } @@ -471,6 +457,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "919a52a6" + "globalKey" : "d14eb019" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/bond-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/bond-option.json index c86c00a3b6..a0b8ee1cf4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/bond-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/bond-option.json @@ -1,240 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-05-10", - "meta" : { - "globalKey" : "3eb14a", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2006-06-22", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "unadjustedDate" : "2006-06-22", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "a15ed25a" + "globalKey" : "211ff630" } - }, - "meta" : { - "globalKey" : "35f85f44" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP1", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "39e279be" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-06-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "211ff630" - } - }, + "meta" : { + "globalKey" : "a15ed25a" + } + }, + "meta" : { + "globalKey" : "35f85f44" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-06-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "9c40487d" + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "9c40487d" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "JPTO" + "globalKey" : "211ff630" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Buyer", - "businessCenter" : { - "value" : "JPTO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : false - }, "meta" : { - "globalKey" : "4f51319d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 99.7, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "AssetPrice" + "globalKey" : "9c40487d" } }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "9c40487d" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "JPTO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", + "businessCenter" : { + "value" : "JPTO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : false + }, "meta" : { - "globalKey" : "bd3216f2" + "globalKey" : "4f51319d" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 99.7, + "unit" : { + "currency" : { + "value" : "JPY" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "27706b4" } - }, + } ], "meta" : { - "globalKey" : "85540b5c" + "globalKey" : "27706b4" } }, - "meta" : { - "globalKey" : "85540b5c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { + "meta" : { + "globalKey" : "8d1c129e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { "value" : 10000000000, "unit" : { "currency" : { "value" : "JPY" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -251,37 +213,61 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "6ba88276" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + }, + "meta" : { + "globalKey" : "2f386d63" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-05-10", + "meta" : { + "globalKey" : "3eb14a", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -317,7 +303,7 @@ } } ], "meta" : { - "globalKey" : "2ed413ee" + "globalKey" : "b8d465e1" } }, "transferHistory" : [ { @@ -376,6 +362,6 @@ } } ], "meta" : { - "globalKey" : "2aa9e0ab" + "globalKey" : "1a68eed8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-2.json index ca3f77350b..4c3a438558 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-2.json @@ -1,266 +1,229 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "PartyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Bond1", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "10ca1193" - } - } ], - "tradeDate" : { - "value" : "2004-12-24", - "meta" : { - "globalKey" : "3ea318" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "bfe34747" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd0515f1", - "externalReference" : "EXERCISE" - } - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "JPY" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", "meta" : { "globalKey" : "bfe34747" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "42a8663" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd0515f1", + "externalReference" : "EXERCISE" } - }, - "meta" : { - "globalKey" : "95fcb1" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN2", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276b39d" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-29", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "meta" : { - "globalKey" : "da506292" - } - }, + "meta" : { + "globalKey" : "bfe34747" + } + }, + "meta" : { + "globalKey" : "95fcb1" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-29", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "dc6674d5" + "globalKey" : "42a8663" } }, "meta" : { - "globalKey" : "dc6674d5" + "globalKey" : "da506292" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2009-06-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "42a8663" - } - }, - "meta" : { - "globalKey" : "da506292" - } - }, + "meta" : { + "globalKey" : "dc6674d5" + } + }, + "meta" : { + "globalKey" : "dc6674d5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2009-06-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "dd0515f1" + "globalKey" : "42a8663" } }, "meta" : { - "globalKey" : "dd0515f1", - "externalKey" : "EXERCISE" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da506292" } }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 20, - "maximumNumberOfOptions" : 200 - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, "meta" : { - "globalKey" : "cb57346b" - } - }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "JPY-LIBOR-BBA", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 27 - } + "globalKey" : "dd0515f1" } }, "meta" : { - "globalKey" : "f029c577" + "globalKey" : "dd0515f1", + "externalKey" : "EXERCISE" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 20, + "maximumNumberOfOptions" : 200 + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, "meta" : { - "globalKey" : "f029c577" + "globalKey" : "cb57346b" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "JPY-LIBOR-BBA", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "spread" : 27 + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e028571a" } - }, + } ], "meta" : { - "globalKey" : "d91a2ca1" + "globalKey" : "e028571a" } }, - "meta" : { - "globalKey" : "d91a2ca1" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 200, + "meta" : { + "globalKey" : "c3bae184" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 200, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 10000000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "currency" : { + "value" : "JPY" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -277,37 +240,60 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "25784004" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "1e8deed3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "PartyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "PartyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Bond1", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "PartyA" - } ] - } ] + "meta" : { + "globalKey" : "10ca1193" + } + } ], + "tradeDate" : { + "value" : "2004-12-24", + "meta" : { + "globalKey" : "3ea318" + } }, "party" : [ { "partyId" : [ { @@ -343,10 +329,10 @@ } } ], "meta" : { - "globalKey" : "388f9d3e" + "globalKey" : "e10cedf0" } }, "meta" : { - "globalKey" : "388f9d3e" + "globalKey" : "e10cedf0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-ois.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-ois.json index 2475cd65ea..af7321dc16 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-ois.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option-ois.json @@ -1,275 +1,237 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2021-08-18", - "meta" : { - "globalKey" : "3f2a12", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", + "meta" : { + "globalKey" : "b3836fa6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" + } + }, + "dateRelativeTo" : { + "globalReference" : "49fbb45f", + "externalReference" : "EXERCISE" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "b3836fa6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "dateRelativeTo" : { - "globalReference" : "49fbb45f", - "externalReference" : "EXERCISE" - } + "meta" : { + "globalKey" : "b3836fa6" + } + }, + "meta" : { + "globalKey" : "7b9413e" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "b3836fa6" + "globalKey" : "da4d16b1" } }, "meta" : { - "globalKey" : "7b9413e" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN1", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276afdc" + "globalKey" : "2bc5b4ba" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, + "meta" : { + "globalKey" : "2bc5b4ba" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2025-08-18", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "2bc5b4ba" + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "2bc5b4ba" + "globalKey" : "da4d16b1" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2025-08-18", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, - "meta" : { - "globalKey" : "49fbb45f" - } - }, - "meta" : { - "globalKey" : "49fbb45f", - "externalKey" : "EXERCISE" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", + "meta" : { + "globalKey" : "49fbb45f" + } + }, + "meta" : { + "globalKey" : "49fbb45f", + "externalKey" : "EXERCISE" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", "businessCenter" : { "value" : "GBLO" } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, + "meta" : { + "globalKey" : "838b7c3d" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "EUR-EONIA-OIS Compound", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, - "meta" : { - "globalKey" : "838b7c3d" - } + "spread" : 115, + "side" : "Bid" }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "EUR-EONIA-OIS Compound", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 115, - "side" : "Bid" - }, - "makeWholeAmount" : { - "floatingRateIndex" : "EUR-EONIA-OIS Compound", - "spread" : 115, - "side" : "Bid", - "interpolationMethod" : "LinearZeroYield", - "earlyCallDate" : { - "value" : "2022-02-18", - "meta" : { - "globalKey" : "3f3092" - } - } + "makeWholeAmount" : { + "floatingRateIndex" : "EUR-EONIA-OIS Compound", + "spread" : 115, + "side" : "Bid", + "interpolationMethod" : "LinearZeroYield", + "earlyCallDate" : { + "value" : "2022-02-18", + "meta" : { + "globalKey" : "3f3092" } } - }, - "meta" : { - "globalKey" : "5167ab32" } - } ], - "meta" : { - "globalKey" : "5167ab32" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "80c16d6" } - }, + } ], "meta" : { - "globalKey" : "e2758f9c" + "globalKey" : "80c16d6" } }, - "meta" : { - "globalKey" : "e2758f9c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1, + "meta" : { + "globalKey" : "81ada240" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1100000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1100000, - "unit" : { - "currency" : { - "value" : "CHF" - } + "currency" : { + "value" : "CHF" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -286,37 +248,61 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "92382e01" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + }, + "meta" : { + "globalKey" : "8b5b7ff2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2021-08-18", + "meta" : { + "globalKey" : "3f2a12", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -352,10 +338,10 @@ } } ], "meta" : { - "globalKey" : "c3cfd7" + "globalKey" : "d738cbac" } }, "meta" : { - "globalKey" : "c3cfd7" + "globalKey" : "d738cbac" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option.json index e9a401da99..d31b92d89e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/bond-options/cb-option.json @@ -1,275 +1,237 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_DebtOption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_DebtOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "CHF" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 8, + "period" : "D", + "meta" : { + "globalKey" : "b3836fa6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" + } + }, + "dateRelativeTo" : { + "globalReference" : "7683e50c", + "externalReference" : "EXERCISE" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "CHF" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 8, - "period" : "D", - "meta" : { - "globalKey" : "b3836fa6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "dateRelativeTo" : { - "globalReference" : "7683e50c", - "externalReference" : "EXERCISE" - } + "meta" : { + "globalKey" : "b3836fa6" + } + }, + "meta" : { + "globalKey" : "7b9413e" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], + "meta" : { + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "b3836fa6" + "globalKey" : "da4d16b1" } }, "meta" : { - "globalKey" : "7b9413e" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleISIN1", - "meta" : { - "scheme" : "ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "meta" : { - "globalKey" : "1276afdc" + "globalKey" : "3529f2fe" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, + "meta" : { + "globalKey" : "3529f2fe" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2010-08-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "3529f2fe" + "globalKey" : "4273a82" } }, "meta" : { - "globalKey" : "3529f2fe" + "globalKey" : "da4d16b1" } }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2010-08-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "4273a82" - } - }, - "meta" : { - "globalKey" : "da4d16b1" - } - }, - "meta" : { - "globalKey" : "7683e50c" - } - }, - "meta" : { - "globalKey" : "7683e50c", - "externalKey" : "EXERCISE" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", + "meta" : { + "globalKey" : "7683e50c" + } + }, + "meta" : { + "globalKey" : "7683e50c", + "externalKey" : "EXERCISE" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", "businessCenter" : { "value" : "GBLO" } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "limitedRightToConfirm" : false, + "splitTicket" : true + }, + "meta" : { + "globalKey" : "f86a126c" + } + }, + "strike" : { + "referenceSwapCurve" : { + "swapUnwindValue" : { + "floatingRateIndex" : "EUR-LIBOR-BBA", + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true, - "limitedRightToConfirm" : false, - "splitTicket" : true - }, - "meta" : { - "globalKey" : "f86a126c" - } + "spread" : 85, + "side" : "Bid" }, - "strike" : { - "referenceSwapCurve" : { - "swapUnwindValue" : { - "floatingRateIndex" : "EUR-LIBOR-BBA", - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "spread" : 85, - "side" : "Bid" - }, - "makeWholeAmount" : { - "floatingRateIndex" : "EUR-LIBOR-BBA", - "spread" : 85, - "side" : "Bid", - "interpolationMethod" : "LinearZeroYield", - "earlyCallDate" : { - "value" : "2006-07-19", - "meta" : { - "globalKey" : "3eb1d3" - } - } + "makeWholeAmount" : { + "floatingRateIndex" : "EUR-LIBOR-BBA", + "spread" : 85, + "side" : "Bid", + "interpolationMethod" : "LinearZeroYield", + "earlyCallDate" : { + "value" : "2006-07-19", + "meta" : { + "globalKey" : "3eb1d3" } } - }, - "meta" : { - "globalKey" : "f83f7031" } - } ], - "meta" : { - "globalKey" : "f83f7031" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "aee3dbd5" } - }, + } ], "meta" : { - "globalKey" : "327010db" + "globalKey" : "aee3dbd5" } }, - "meta" : { - "globalKey" : "327010db" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1, + "meta" : { + "globalKey" : "d1a8237f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1100000, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1100000, - "unit" : { - "currency" : { - "value" : "CHF" - } + "currency" : { + "value" : "CHF" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -286,37 +248,61 @@ } } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, "meta" : { - "globalKey" : "92382e01" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + }, + "meta" : { + "globalKey" : "8b5b7ff2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -352,10 +338,10 @@ } } ], "meta" : { - "globalKey" : "d150ae96" + "globalKey" : "2ded5f2b" } }, "meta" : { - "globalKey" : "d150ae96" + "globalKey" : "2ded5f2b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.json index 40b3ce4291..8b4df0b2aa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex1-gas-swap-daily-delivery-prices-last.json @@ -1,392 +1,396 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a4ce2c" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25a4ce2c" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a53eca" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25a53eca" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2006-06-01", - "meta" : { - "globalKey" : "3eb181" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_FixedFloat" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a4ce2c" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25a4ce2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a53eca" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25a53eca" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" + } ], "meta" : { - "globalKey" : "7610bbd9" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" + "globalKey" : "acc66859" } + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "ff6175f6" - } + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "18b966e5" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "4145602d" + "globalKey" : "a98752b1" } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "meta" : { + "globalKey" : "ff6175f6" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "a63303b8" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "ff6175f6" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6310740b" + "globalKey" : "a98752b1" } - } ], + }, "meta" : { - "globalKey" : "76dbd37e" + "globalKey" : "ff6175f6" } - } - }, - "meta" : { - "globalKey" : "1f1dfc20" - } - }, - "meta" : { - "globalKey" : "1f1dfc20" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 6.295, - "unit" : { - "currency" : { - "value" : "USD" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "6310740b" } } ], - "quantity" : [ { - "value" : { - "value" : 2500.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } + "meta" : { + "globalKey" : "87be5753" + } + } + }, + "meta" : { + "globalKey" : "d4ff3ff1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 6.295, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - }, { - "value" : { - "value" : 77500.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 2500.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], + }, "meta" : { - "globalKey" : "3d8960be" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 2500.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "value" : { + "value" : 77500.0, + "unit" : { + "capacityUnit" : "USMMBTU" } - }, { - "value" : { - "value" : 77500.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "4bf9210f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 2500.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 77500.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "e292fcf0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "ef40e0e6" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-06-01", + "meta" : { + "globalKey" : "3eb181" + } }, "party" : [ { "partyId" : [ { @@ -474,10 +478,10 @@ } }, "meta" : { - "globalKey" : "50e04f1b" + "globalKey" : "bd389287" } }, "meta" : { - "globalKey" : "50e04f1b" + "globalKey" : "bd389287" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.json index aeeca8af27..13d5b09a2f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex2-gas-swap-prices-first-day.json @@ -1,366 +1,376 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a6aeac" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25a6aeac" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25a71b89" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25a71b89" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2006-06-26", - "meta" : { - "globalKey" : "3eb19a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_FixedFloat" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a6aeac" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25a6aeac" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a71b89" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25a71b89" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "First" - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "First" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodStartDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "4ae9e73d" - } + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodStartDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-AECO C/NIT (US$/MMBTU)-CANADIAN GAS REPORTER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "81cddbda" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "1fe0425e" + "globalKey" : "a98752b1" } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "meta" : { + "globalKey" : "4ae9e73d" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "3ed225fc" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodStartDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodStartDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "4ae9e73d" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "88962ba4" + "globalKey" : "a98752b1" } - } ], + }, "meta" : { - "globalKey" : "ee933106" + "globalKey" : "4ae9e73d" } - } - }, - "meta" : { - "globalKey" : "2d7ae1a3" - } - }, - "meta" : { - "globalKey" : "2d7ae1a3" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 5.55, - "unit" : { - "currency" : { - "value" : "USD" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "88962ba4" } } ], - "quantity" : [ { - "value" : { - "value" : 5000.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } + "meta" : { + "globalKey" : "1d4d3d28" + } + } + }, + "meta" : { + "globalKey" : "c404532b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 5.55, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - }, { - "value" : { - "value" : 5000.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" + } } - } ], + }, "meta" : { - "globalKey" : "f07c402" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 5000.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "value" : { + "value" : 5000.0, + "unit" : { + "capacityUnit" : "USMMBTU" } - }, { - "value" : { - "value" : 5000.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "2e7d4d78" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 5000.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-AECO C/NIT (US$/MMBTU)-CANADIAN GAS REPORTER", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "MeanOfHighAndLow" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-AECO C/NIT (US$/MMBTU)-CANADIAN GAS REPORTER", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "MeanOfHighAndLow" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "35e04a86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "8e8ea97c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-06-26", + "meta" : { + "globalKey" : "3eb19a" + } }, "party" : [ { "partyId" : [ { @@ -448,10 +458,10 @@ } }, "meta" : { - "globalKey" : "1dba0a2a" + "globalKey" : "3ddbeb54" } }, "meta" : { - "globalKey" : "1dba0a2a" + "globalKey" : "3ddbeb54" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.json index dbf51c780c..437f5c42c7 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex3-gas-swap-prices-last-three-days.json @@ -1,398 +1,399 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_FixedFloat" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25f944ac" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25f944ac" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2604080a" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "2604080a" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2006-08-24", - "meta" : { - "globalKey" : "3eb218" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_FixedFloat" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25f944ac" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25f944ac" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2604080a" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "2604080a" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "averagingFeature" : { - "averagingMethod" : { - "isWeighted" : false, - "calculationMethod" : "Arithmetic" - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLegCalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, + "averagingFeature" : { + "averagingMethod" : { + "isWeighted" : false, + "calculationMethod" : "Arithmetic" + } + }, + "pricingDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" + } ], "meta" : { - "globalKey" : "11e9" + "globalKey" : "acc66859" } + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" : "floatingLegCalculationPeriods" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "ff6175f6" - } + "balanceOfFirstPeriod" : false + }, + "meta" : { + "globalKey" : "11e9" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "18b966e5" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "873bc162" + "globalKey" : "a98752b1" } - } ], - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "meta" : { + "globalKey" : "ff6175f6" + } + }, + "underlier" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } + }, + "meta" : { + "globalKey" : "dacd51a3" + } + } ], + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "ea4acac1" }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "ff6175f6" - } - }, - "fixedPrice" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6310740b" + "globalKey" : "a98752b1" } - } ], + }, "meta" : { - "globalKey" : "148762e9" + "globalKey" : "ff6175f6" } - } - }, - "meta" : { - "globalKey" : "6d525fcb" - } - }, - "meta" : { - "globalKey" : "6d525fcb" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 9.64, - "unit" : { - "currency" : { - "value" : "USD" + }, + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "6310740b" } } ], - "quantity" : [ { - "value" : { - "value" : 5000.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } + "meta" : { + "globalKey" : "2d523cc8" + } + } + }, + "meta" : { + "globalKey" : "ff447926" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 9.64, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" } - }, { - "value" : { - "value" : 1825000.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], + }, "meta" : { - "globalKey" : "ced1692" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 5000.0, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "value" : { + "value" : 1825000.0, + "unit" : { + "capacityUnit" : "USMMBTU" } - }, { - "value" : { - "value" : 182500.0 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "979a7d88" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000.0, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 182500.0, + "unit" : { + "capacityUnit" : "USMMBTU" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "af6865a3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "e42d59" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-08-24", + "meta" : { + "globalKey" : "3eb218" + } }, "party" : [ { "partyId" : [ { @@ -480,10 +481,10 @@ } }, "meta" : { - "globalKey" : "d7b268c7" + "globalKey" : "e30226a2" } }, "meta" : { - "globalKey" : "d7b268c7" + "globalKey" : "e30226a2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json index e4b9c8f79a..2e21466911 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex34-gas-put-option-european-floating-strike.json @@ -1,303 +1,309 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COA1234567", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec33fd39" + } + }, "meta" : { - "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + "globalKey" : "ec33fd39" } - } - } ], - "meta" : { - "globalKey" : "1e4fcb44" - } - }, { - "issuerReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COB7654321", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec346a16" + } + }, "meta" : { - "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + "globalKey" : "ec346a16" } - } - } ], - "meta" : { - "globalKey" : "ca865982" - } - } ], - "tradeDate" : { - "value" : "2012-04-10", - "meta" : { - "globalKey" : "3ee10a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec33fd39" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec33fd39" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "249651e1" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "externalReference" : "exerciseDate" + } } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "249651e1" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "e577103a" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "249651e1" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "externalReference" : "exerciseDate" - } - } - }, - "meta" : { - "globalKey" : "249651e1" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "e577103a" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "12bc", - "externalKey" : "calculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : true - }, - "meta" : { - "globalKey" : "12bc" - } + "globalKey" : "12bc", + "externalKey" : "calculationPeriodsSchedule" }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "All" - } - } + "balanceOfFirstPeriod" : true }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" - }, + "meta" : { + "globalKey" : "12bc" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "All" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc389813" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "6d55c53c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "12bc", - "externalReference" : "calculationPeriodsSchedule" - } - }, - "meta" : { - "globalKey" : "6d55c53c" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "6d55c53c" }, - "meta" : { - "globalKey" : "72b9fd64" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "12bc", + "externalReference" : "calculationPeriodsSchedule" } }, "meta" : { - "globalKey" : "d5acf865" + "globalKey" : "6d55c53c" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "d5acf865" + "globalKey" : "72b9fd64" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "3bb38f52" } - }, + } ], "meta" : { - "globalKey" : "2121e4c" + "globalKey" : "3bb38f52" } }, - "meta" : { - "globalKey" : "2121e4c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "b3e85fb9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - }, { - "value" : { - "value" : 300000 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "capacityUnit" : "USMMBTU" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", + "meta" : { + "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Mid" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "883104e8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "cccfe45e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COA1234567", + "meta" : { + "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "1e4fcb44" + } + }, { + "issuerReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COB7654321", + "meta" : { + "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ca865982" + } + } ], + "tradeDate" : { + "value" : "2012-04-10", + "meta" : { + "globalKey" : "3ee10a" + } }, "party" : [ { "partyId" : [ { @@ -385,7 +391,7 @@ } }, "meta" : { - "globalKey" : "660ede0a" + "globalKey" : "d8dccc05" } }, "transferHistory" : [ { @@ -436,6 +442,6 @@ } } ], "meta" : { - "globalKey" : "5013d9b3" + "globalKey" : "be8646ae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json index b2d094f03e..318d112683 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex35-call-option-gas-power-heat-rate-daily.json @@ -1,281 +1,281 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec321cb9" + } + }, "meta" : { - "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + "globalKey" : "ec321cb9" } - } - } ], - "meta" : { - "globalKey" : "ec3028aa" - } - }, { - "issuerReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec346a16" + } + }, "meta" : { - "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + "globalKey" : "ec346a16" } - } - } ], - "meta" : { - "globalKey" : "ec309d09" - } - } ], - "tradeDate" : { - "value" : "2012-04-10", - "meta" : { - "globalKey" : "3ee10a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec321cb9" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec321cb9" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 10, + "period" : "D", + "meta" : { + "globalKey" : "5f357a72" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "5f357a72" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "80cb6879" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "globalKey" : "10cc", + "externalKey" : "calculationPeriodsSchedule" }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 10, - "period" : "D", - "meta" : { - "globalKey" : "5f357a72" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE" - } - }, - "meta" : { - "globalKey" : "5f357a72" - } - }, - "meta" : { - "globalKey" : "80cb6879" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "10cc", - "externalKey" : "calculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : true - }, - "meta" : { - "globalKey" : "10cc" - } - } + "balanceOfFirstPeriod" : true }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-CAISO-SP 15 GEN HUB-DAY AHEAD", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "LocationalMarginal" - }, + "meta" : { + "globalKey" : "10cc" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "565d1898" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "94ce921b" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "externalReference" : "pricingDates" - } - }, - "meta" : { - "globalKey" : "94ce921b" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "94ce921b" }, - "meta" : { - "globalKey" : "d5631025" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "externalReference" : "pricingDates" } }, "meta" : { - "globalKey" : "35391b4a" + "globalKey" : "94ce921b" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "35391b4a" + "globalKey" : "d5631025" } + }, + "meta" : { + "globalKey" : "cc3da8f2" } - }, + } ], "meta" : { - "globalKey" : "9afbbcad" + "globalKey" : "cc3da8f2" } - }, - "meta" : { - "globalKey" : "9afbbcad" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25.00, - "unit" : { - "capacityUnit" : "MW" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "5b61d095" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25.00, + "unit" : { + "capacityUnit" : "MW" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 2300, - "unit" : { - "capacityUnit" : "MW" + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2300, + "unit" : { + "capacityUnit" : "MW" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-CAISO-SP 15 GEN HUB-DAY AHEAD", - "meta" : { - "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "LocationalMarginal" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ELECTRICITY-CAISO-SP 15 GEN HUB-DAY AHEAD", + "meta" : { + "scheme" : "http://www.companyA.com/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "LocationalMarginal" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "ae151f23" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "4b651ba3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.companyA.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec3028aa" + } + }, { + "issuerReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.companyB.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec309d09" + } + } ], + "tradeDate" : { + "value" : "2012-04-10", + "meta" : { + "globalKey" : "3ee10a" + } }, "party" : [ { "partyId" : [ { @@ -364,7 +364,7 @@ } }, "meta" : { - "globalKey" : "fa75f45a" + "globalKey" : "eabf30b2" } }, "transferHistory" : [ { @@ -415,6 +415,6 @@ } } ], "meta" : { - "globalKey" : "38250a22" + "globalKey" : "e014be7a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json index 760652b5d4..7184ebf780 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex36-gas-call-option-european-spread-negative-premium-floating-strike.json @@ -1,323 +1,313 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COA24680", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec33fd39" + } + }, "meta" : { - "scheme" : "http://www.companyA.com/spec/2012/trade-id-1-0" + "globalKey" : "ec33fd39" } - } - } ], - "meta" : { - "globalKey" : "8a40d7fc" - } - }, { - "issuerReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "COB13579", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec346a16" + } + }, "meta" : { - "scheme" : "http://www.companyB.com/spec/2012/trade-id-1-0" + "globalKey" : "ec346a16" } - } - } ], - "meta" : { - "globalKey" : "8be79543" - } - } ], - "tradeDate" : { - "value" : "2012-06-06", - "meta" : { - "globalKey" : "3ee186" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec33fd39" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec33fd39" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5951832e" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "5951832e" } }, "meta" : { - "globalKey" : "ec346a16" + "globalKey" : "7ae77135" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5951832e" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING" - } - }, - "meta" : { - "globalKey" : "5951832e" - } + "globalKey" : "12bc", + "externalKey" : "calculationPeriodsSchedule" }, - "meta" : { - "globalKey" : "7ae77135" - } + "balanceOfFirstPeriod" : true }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "12bc", - "externalKey" : "calculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : true - }, - "meta" : { - "globalKey" : "12bc" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "First" - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.companyB.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "82" - } - } - } - }, + "meta" : { + "globalKey" : "12bc" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "First" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", "meta" : { - "globalKey" : "53f9191d" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "8c67b250" - }, - "businessDayConvention" : "MODFOLLOWING", - "dateRelativeTo" : { - "globalReference" : "12bc", - "externalReference" : "calculationPeriodsSchedule" - } - }, - "meta" : { - "globalKey" : "8c67b250" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "8c67b250" }, - "meta" : { - "globalKey" : "6d82b0e" + "businessDayConvention" : "MODFOLLOWING", + "dateRelativeTo" : { + "globalReference" : "12bc", + "externalReference" : "calculationPeriodsSchedule" } }, "meta" : { - "globalKey" : "66e4e2d6" + "globalKey" : "8c67b250" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "66e4e2d6" + "globalKey" : "6d82b0e" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "4c2260a5" } - }, + } ], "meta" : { - "globalKey" : "e4c5f3a3" + "globalKey" : "4c2260a5" } }, - "meta" : { - "globalKey" : "e4c5f3a3" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "119a2a0c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - }, { - "value" : { - "value" : 1000000 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "capacityUnit" : "USMMBTU" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-NYMEX", - "meta" : { - "scheme" : "http://www.companyB.com/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "82" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-NYMEX", + "meta" : { + "scheme" : "http://www.companyB.com/coding-scheme/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "deliveryDateRollConvention" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "82" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "c461b5fc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "597f3b73", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "25a082c6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "597f3b73", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COA24680", + "meta" : { + "scheme" : "http://www.companyA.com/spec/2012/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "a4b3cd74", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "8a40d7fc" + } + }, { + "issuerReference" : { + "globalReference" : "a4b3cd74", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "COB13579", + "meta" : { + "scheme" : "http://www.companyB.com/spec/2012/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "8be79543" + } + } ], + "tradeDate" : { + "value" : "2012-06-06", + "meta" : { + "globalKey" : "3ee186" + } }, "party" : [ { "partyId" : [ { @@ -405,7 +395,7 @@ } }, "meta" : { - "globalKey" : "d42fe030" + "globalKey" : "8b3b9daf" } }, "transferHistory" : [ { @@ -456,6 +446,6 @@ } } ], "meta" : { - "globalKey" : "beb1e7fd" + "globalKey" : "18cd87c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json index 4fddf62420..8585af8367 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex37-gold-forward-offered-rate.json @@ -1,181 +1,91 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b1cc3da", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "BankA1234", + "value" : "Commodity:Metals:Precious:LoanLease:Cash", "meta" : { - "scheme" : "http://www.bankB.com/swaps/com-trade-id" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "54a3d798" } } ], - "meta" : { - "globalKey" : "a0a01d3c" - } - }, { - "issuerReference" : { - "globalReference" : "b1cc77c", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "BankB5678", - "meta" : { - "scheme" : "http://www.bankA.com/swaps/com-trade-id" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "a0b08a1c" - } - } ], - "tradeDate" : { - "value" : "2012-01-01", - "meta" : { - "globalKey" : "3ee041" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "595b0919" - } - }, - "meta" : { - "globalKey" : "595b0919" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, "meta" : { - "globalKey" : "5b4f46f0", - "externalKey" : "gofoperioddates1" + "globalKey" : "595b0919" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2012-04-01", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "595b0919" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -191,150 +101,168 @@ } }, "meta" : { - "globalKey" : "b690310a" + "globalKey" : "eb0b20ac" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "5b4f46f0", - "externalReference" : "gofoperioddates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c55408f5" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "dateRelativeTo" : { - "globalReference" : "850a7d83", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb0b20ac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "850a7d83", - "externalKey" : "resetDates1" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "2d41d182" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "5b4f46f0", + "externalKey" : "gofoperioddates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2012-04-01", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "floatingRate" : { - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "b690310a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "5b4f46f0", + "externalReference" : "gofoperioddates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "c55408f5" }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "444628ac" - } - }, - "meta" : { - "globalKey" : "444628ac" - } + "dateRelativeTo" : { + "globalReference" : "850a7d83", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-01-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" - } - }, - "meta" : { - "globalKey" : "eb0b20ac" + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "850a7d83", + 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"globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, "meta" : { - "globalKey" : "cdeadfbd", - "externalKey" : "gofoperioddates2" + "globalKey" : "444628ac" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2012-04-01", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "444628ac" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-01-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -388,189 +304,322 @@ } }, "meta" : { - "globalKey" : "b690310a" + "globalKey" : "eb0b20ac" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "cdeadfbd", - "externalReference" : "gofoperioddates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c55408f6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "dateRelativeTo" : { - "globalReference" : "e6f94e45", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "eb0b20ac" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" 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"externalKey" : "resetDates2" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "75816951" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "7784208f" + "globalKey" : "b690310a" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "Commodity:Metals:Precious:LoanLease:Cash", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "cdeadfbd", + "externalReference" : "gofoperioddates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "c55408f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "dateRelativeTo" : { + "globalReference" : "e6f94e45", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "e6f94e45", + "externalKey" : "resetDates2" } }, - "source" : "Other", "meta" : { - "globalKey" : "54a3d798" + "globalKey" : "75816951" } } ], "meta" : { - "globalKey" : "c9b95eba" + "globalKey" : "7784208f" } - }, - "meta" : { - "globalKey" : "c9b95eba" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100.00, - "unit" : { - "currency" : { - "value" : "XAU" - } + "meta" : { + "globalKey" : "323e1bba" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100.00, + "unit" : { + "currency" : { + "value" : "XAU" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "4339ec02" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.0001, - "unit" : { - "currency" : { - "value" : "XAU" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "XAU" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "70958344" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0001, + "unit" : { + "currency" : { + "value" : "XAU" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "XAU" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100.00, + "unit" : { + "currency" : { + "value" : "XAU" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 100.00, - "unit" : { - "currency" : { - "value" : "XAU" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GOFO" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "e852509d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b1cc3da", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b1cc77c", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "b153d059" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b1cc3da", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b1cc77c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b1cc3da", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BankA1234", + "meta" : { + "scheme" : "http://www.bankB.com/swaps/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "a0a01d3c" + } + }, { + "issuerReference" : { + "globalReference" : "b1cc77c", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BankB5678", + "meta" : { + "scheme" : "http://www.bankA.com/swaps/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "a0b08a1c" + } + } ], + "tradeDate" : { + "value" : "2012-01-01", + "meta" : { + "globalKey" : "3ee041" + } }, "party" : [ { "partyId" : [ { @@ -612,10 +661,10 @@ } } ], "meta" : { - "globalKey" : "a0e55b79" + "globalKey" : "fcc397b" } }, "meta" : { - "globalKey" : "a0e55b79" + "globalKey" : "fcc397b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.json index e1f2212df6..01c4f48827 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex4-electricity-swap-hourly-off-peak.json @@ -1,395 +1,393 @@ { 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+ } + }, + "meta" : { + "globalKey" : "a98752b1" } + }, + "meta" : { + "globalKey" : "ff6175f6" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 83776.0, - "unit" : { - "capacityUnit" : "MWH" + "fixedPrice" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "globalKey" : "6310740b" } } ], "meta" : { - "globalKey" : "b21b693" + "globalKey" : "93f50fc8" } - }, { - "quantity" : [ { - "value" : { - "value" : 17.0, - "unit" : { - "capacityUnit" : "MWH" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } + } + }, + "meta" : { + "globalKey" : "65e74c26" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 120.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - 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"location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" + } } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 83776.0, + "unit" : { + "capacityUnit" : "MWH" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ELECTRICITY-MID-COLUMBIA FIRM (ON-PEAK)-DOW JONES POWER", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Index" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ELECTRICITY-MID-COLUMBIA FIRM (ON-PEAK)-DOW JONES POWER", + "meta" : { + "scheme" : 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{ + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.PartyB.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2006-07-28", + "meta" : { + "globalKey" : "3eb1dc" + } }, "party" : [ { "partyId" : [ { @@ -477,10 +475,10 @@ } }, "meta" : { - "globalKey" : "c74a8ce7" + "globalKey" : "e4d8e92f" } }, "meta" : { - "globalKey" : "c74a8ce7" + "globalKey" : "e4d8e92f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.json index e41fd3089a..13504c14d0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex41-oil-asian-barrier-option-strip.json @@ -1,333 +1,324 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7fd57548", - "externalReference" : "PartyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "UVXY54321", - "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "Commodity:Energy:Oil:Option:Cash" } } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "f758c676" - } - } ], - "tradeDate" : { - "value" : "2012-11-15", - "meta" : { - "globalKey" : "3ee2cf", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-01-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ec4a8339" } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "Commodity:Energy:Oil:Option:Cash" + }, + "meta" : { + "globalKey" : "ec4a8339" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec4cd096" } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-01-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec4a8339" + }, + "meta" : { + "globalKey" : "ec4cd096" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "ec4a8339" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "settlementTerms" : { 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+ "globalKey" : "2671d54a" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "135d", - "externalKey" : "CalculationPeriodsSchedule" - }, - "balanceOfFirstPeriod" : false - }, + "meta" : { + "globalKey" : "2671d54a" + } + }, { + "adjustableDate" : { + "unadjustedDate" : "2013-02-28", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "135d" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last" - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-BRENT-IPE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-3-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "266156ac" + "globalKey" : "2672ba47" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2013-01-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2671d54a" - } - }, - "meta" : { - "globalKey" : "2671d54a" - } - }, { - "adjustableDate" : { - "unadjustedDate" : "2013-02-28", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2672ba47" - } - }, - "meta" : { - "globalKey" : "2672ba47" - } - }, { - "adjustableDate" : { - "unadjustedDate" : "2013-03-31", - "dateAdjustments" : { - "businessDayConvention" : 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"value" : 10000, - "unit" : { - "capacityUnit" : "BBL" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "5bc8346d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "BBL" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 30000, - "unit" : { - "capacityUnit" : "BBL" + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 30000, + "unit" : { + "capacityUnit" : "BBL" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-BRENT-IPE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-3-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-BRENT-IPE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-3-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "7f8efb92" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4041c228", - "externalReference" : "PartyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7fd57548", - "externalReference" : "PartyA" + }, + "meta" : { + "globalKey" : "21cb1d92" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4041c228", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7fd57548", + "externalReference" : "PartyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7fd57548", + "externalReference" : "PartyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "UVXY54321", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f758c676" + } + } ], + "tradeDate" : { + "value" : "2012-11-15", + "meta" : { + "globalKey" : "3ee2cf", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -372,7 +363,7 @@ } } ], "meta" : { - "globalKey" : "5f80ddab" + "globalKey" : "cf01bbeb" } }, "transferHistory" : [ { @@ -437,6 +428,6 @@ } } ], "meta" : { - "globalKey" : "9aaac39e" + "globalKey" : "1e9e1d5e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.json index 728f7864d6..9c3efa95ad 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex46-simple-financial-put-option.json @@ -1,293 +1,302 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "1bf2f883", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "GHJK0987", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "265adeac" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "265adeac" } - } - } ], - "meta" : { - "globalKey" : "c8340faf" - } - } ], - "tradeDate" : { - "value" : "2012-04-10", - "meta" : { - "globalKey" : "3ee10a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "265adeac" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "265b4b89" + } + }, + "meta" : { + "globalKey" : "265b4b89" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "265adeac" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5951832e" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING" } }, "meta" : { - "globalKey" : "265b4b89" + "globalKey" : "5951832e" } }, "meta" : { - "globalKey" : "265b4b89" + "globalKey" : "7ae77135" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5951832e" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING" - } - }, - "meta" : { - "globalKey" : "5951832e" - } + "globalKey" : "11e9", + "externalKey" : "CalculationPeriods" }, - "meta" : { - "globalKey" : "7ae77135" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "balanceOfFirstPeriod" : false }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "Business", + "dayDistribution" : "Last", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "GAS-DAILY-PRICE-GUIDE" + } ], "meta" : { - "globalKey" : "11e9" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "GAS-DAILY-PRICE-GUIDE" - } ], - "meta" : { - "globalKey" : "3c9a52fa" - } - } + "globalKey" : "3c9a52fa" } } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc389813" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "95ec4b9b" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "externalReference" : "PricingDate" - } - }, - "meta" : { - "globalKey" : "95ec4b9b" - } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - } + "globalKey" : "95ec4b9b" }, - "meta" : { - "globalKey" : "a48309e3" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1.9500, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "PricingDate" } }, "meta" : { - "globalKey" : "73a84e40" + "globalKey" : "95ec4b9b" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "73a84e40" + "globalKey" : "a48309e3" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1.9500, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "13b9648" } - }, + } ], "meta" : { - "globalKey" : "d1e76ac7" + "globalKey" : "13b9648" } }, - "meta" : { - "globalKey" : "d1e76ac7" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "frequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } + "meta" : { + "globalKey" : "10cd274f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } } - }, { - "value" : { - "value" : 300000 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "capacityUnit" : "USMMBTU" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Mid" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-LOUISIANA (HENRY HUB)-GAS DAILY", + "meta" : { + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Mid" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] + } } } }, "meta" : { - "globalKey" : "883104e8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "fc9b469a", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "cccfe45e" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1bf2f883", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "fc9b469a", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1bf2f883", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "1bf2f883", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "1bf2f883", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "GHJK0987", + "meta" : { + "scheme" : "http://www.PartyA.com/com-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "1bf2f883", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "c8340faf" + } + } ], + "tradeDate" : { + "value" : "2012-04-10", + "meta" : { + "globalKey" : "3ee10a" + } }, "party" : [ { "partyId" : [ { @@ -378,7 +387,7 @@ } }, "meta" : { - "globalKey" : "4826be30" + "globalKey" : "96b9bf1c" } }, "transferHistory" : [ { @@ -429,6 +438,6 @@ } } ], "meta" : { - "globalKey" : "5f155b99" + "globalKey" : "c12f5885" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex48-gold-forward-offered-rate-ois.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex48-gold-forward-offered-rate-ois.json index 8ae07c00a1..a036017387 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex48-gold-forward-offered-rate-ois.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex48-gold-forward-offered-rate-ois.json @@ -1,181 +1,91 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b1cc3da", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "BankA1234", + "value" : "Commodity:Metals:Precious:LoanLease:Cash", "meta" : { - "scheme" : "http://www.bankB.com/swaps/com-trade-id" + "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "54a3d798" } } ], - "meta" : { - "globalKey" : "a0a01d3c" - } - }, { - "issuerReference" : { - "globalReference" : "b1cc77c", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "BankB5678", - "meta" : { - "scheme" : "http://www.bankA.com/swaps/com-trade-id" - } + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis_OIS" } ], - "meta" : { - "globalKey" : "a0b08a1c" - } - } ], - "tradeDate" : { - "value" : "2021-08-18", - "meta" : { - "globalKey" : "3f2a12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-18", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "4fc539e8" - } - }, - "meta" : { - "globalKey" : "4fc539e8" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-18", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "e175517b" - } - }, - "meta" : { - "globalKey" : "e175517b" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-18", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, "meta" : { - "globalKey" : "ffef3612", - "externalKey" : "gofoperioddates1" + "globalKey" : "4fc539e8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2021-11-18", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "4fc539e8" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-18", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -191,150 +101,168 @@ } }, "meta" : { - "globalKey" : "8d6c1a1b" + "globalKey" : "e175517b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ffef3612", - "externalReference" : "gofoperioddates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c55408f5" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "dateRelativeTo" : { - "globalReference" : "850a7d83", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "e175517b" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "850a7d83", - "externalKey" : "resetDates1" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "eacdd433" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "ffef3612", + "externalKey" : "gofoperioddates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-11-18", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "floatingRate" : { - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "8d6c1a1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ffef3612", + "externalReference" : "gofoperioddates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "c55408f5" }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-18", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "3ab0597b" - } - }, - "meta" : { - "globalKey" : "3ab0597b" - } + "dateRelativeTo" : { + "globalReference" : "850a7d83", + "externalReference" : "resetDates1" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-18", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "e175517b" - } - }, - "meta" : { - "globalKey" : "e175517b" + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "850a7d83", + "externalKey" : "resetDates1" + } + }, + "meta" : { + "globalKey" : "eacdd433" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-18", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -349,30 +277,18 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2048" - }, - "rollConvention" : "1" - }, "meta" : { - "globalKey" : "728acedf", - "externalKey" : "gofoperioddates2" + "globalKey" : "3ab0597b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2021-11-18", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "3ab0597b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-18", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -388,182 +304,315 @@ } }, "meta" : { - "globalKey" : "8d6c1a1b" + "globalKey" : "e175517b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "728acedf", - "externalReference" : "gofoperioddates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "c55408f6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "dateRelativeTo" : { - "globalReference" : "e6f94e45", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "e175517b" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2048" + }, + "rollConvention" : "1" + }, + "meta" : { + "globalKey" : "728acedf", + "externalKey" : "gofoperioddates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2021-11-18", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e6f94e45", - "externalKey" : "resetDates2" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "330d6c02" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "60085eef" + "globalKey" : "8d6c1a1b" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "Commodity:Metals:Precious:LoanLease:Cash", + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "728acedf", + "externalReference" : "gofoperioddates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "c55408f6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "dateRelativeTo" : { + "globalReference" : "e6f94e45", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/GTR-Product-Id" + "globalKey" : "e6f94e45", + "externalKey" : "resetDates2" } }, - "source" : "Other", "meta" : { - "globalKey" : "54a3d798" + "globalKey" : "330d6c02" } } ], "meta" : { - "globalKey" : "3f376d1a" + "globalKey" : "60085eef" } - }, - "meta" : { - "globalKey" : "3f376d1a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100.00, - "unit" : { - "currency" : { - "value" : "XAU" - } + "meta" : { + "globalKey" : "1ac25a1a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100.00, + "unit" : { + "currency" : { + "value" : "XAU" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-OIS Compound" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-OIS Compound" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-OIS Compound" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "ac3670f6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.0001, - "unit" : { - "currency" : { - "value" : "XAU" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "XAU" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "aa31bd5f" + } + }, { + "price" : [ { + "value" : { + "value" : -0.0001, + "unit" : { + "currency" : { + "value" : "XAU" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "XAU" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100.00, + "unit" : { + "currency" : { + "value" : "XAU" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 100.00, - "unit" : { - "currency" : { - "value" : "XAU" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GOFO" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "e852509d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b1cc3da", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b1cc77c", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "b153d059" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b1cc3da", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b1cc77c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b1cc3da", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BankA1234", + "meta" : { + "scheme" : "http://www.bankB.com/swaps/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "a0a01d3c" + } + }, { + "issuerReference" : { + "globalReference" : "b1cc77c", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BankB5678", + "meta" : { + "scheme" : "http://www.bankA.com/swaps/com-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "a0b08a1c" + } + } ], + "tradeDate" : { + "value" : "2021-08-18", + "meta" : { + "globalKey" : "3f2a12" + } }, "party" : [ { "partyId" : [ { @@ -605,10 +654,10 @@ } } ], "meta" : { - "globalKey" : "9249f831" + "globalKey" : "2467202" } }, "meta" : { - "globalKey" : "9249f831" + "globalKey" : "2467202" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.json index b6d5094d2b..eb8134c46d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex5-gas-v-electricity-spark-spread.json @@ -1,431 +1,440 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Swap_Basis" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e0de2c" + } + }, "meta" : { - "scheme" : "http://www.PartyA.com/com-trade-id" + "globalKey" : "25e0de2c" } - } - } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e14eca" + } + }, "meta" : { - "scheme" : "http://www.PartyB.com/com-trade-id" + "globalKey" : "25e14eca" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2008-06-11", - "meta" : { - "globalKey" : "3ec18b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Swap_Basis" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25e0de2c" + }, + "payout" : { + "commodityPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "25e0de2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25e14eca" - } + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, "meta" : { - "globalKey" : "25e14eca" + "globalKey" : "7610bbd9" } }, - "payout" : { - "commodityPayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "commodityPriceReturnTerms" : { - "spread" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - }, - "pricingDates" : { - "parametricDates" : { - "dayType" : "Business", - "dayDistribution" : "Last", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "floatingLeg1CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" + "commodityPriceReturnTerms" : { + "spread" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "paymentDates" : { - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "ea4acac1" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2c4cb386" - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { 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{ - "globalKey" : "ee50d1eb" + "globalKey" : "1eca70ae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.json index deadafcabf..cfa9bdf278 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex6-gas-call-option.json @@ -1,301 +1,301 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : 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"http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2004-05-17", + "meta" : { + "globalKey" : "3ea151" + } }, "party" : [ { "partyId" : [ { @@ -383,7 +383,7 @@ } }, "meta" : { - "globalKey" : "15bc6649" + "globalKey" : "ed0e2109" } }, "transferHistory" : [ { @@ -434,6 +434,6 @@ } } ], "meta" : { - "globalKey" : "1c9c575c" + "globalKey" : "8d19d21c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.json index 74a5d7c7c8..0098f8d076 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex7-gas-put-option.json @@ -1,295 +1,295 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c1e5ec" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "25c1e5ec" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2007-04-10", - "meta" : { - "globalKey" : "3eb90a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c1e5ec" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "25c1e5ec" + "globalKey" : "0" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "5f333497" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE" - } - }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", "meta" : { "globalKey" : "5f333497" - } - }, - "meta" : { - "globalKey" : "80c9229e" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } + "meta" : { + "globalKey" : "5f333497" + } + }, + "meta" : { + "globalKey" : "80c9229e" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "11e9", + "externalKey" 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- "value" : "USD" - } - }, - "priceType" : "AssetPrice" + "globalKey" : "25c252c9" } }, "meta" : { - "globalKey" : "69d4ab90" + "globalKey" : "25c252c9" } } ], "meta" : { - "globalKey" : "69d4ab90" + "globalKey" : "599cfada" } + }, + "strike" : { + "strikePrice" : { + "value" : 6.6, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "USMMBTU" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "3a77dbb0" } - }, + } ], "meta" : { - "globalKey" : "67df2224" + "globalKey" : "3a77dbb0" } - }, - "meta" : { - "globalKey" : "67df2224" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1500000, - "frequency" : { - "period" : "T", - "meta" : { - "globalKey" : "54" - } - } + "meta" : { + "globalKey" : "5cdc2644" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1500000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "frequency" : { + "period" : "T", + "meta" : { + "globalKey" : "54" + } } - }, { - "value" : { - "value" : 1500000 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 1500000, + "unit" : { + "capacityUnit" : "USMMBTU" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "eae777b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "c68a3419" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2007-04-10", + "meta" : { + "globalKey" : "3eb90a" + } }, "party" : [ { "partyId" : [ { @@ -377,7 +377,7 @@ } }, "meta" : { - "globalKey" : "ae90cdce" + "globalKey" : "5b589c4e" } }, "transferHistory" : [ { @@ -428,6 +428,6 @@ } } ], "meta" : { - "globalKey" : "752647a9" + "globalKey" : "f30a9629" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex8-oil-call-option-strip.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex8-oil-call-option-strip.json index c639299eb1..22d197ae0c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex8-oil-call-option-strip.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex8-oil-call-option-strip.json @@ -1,343 +1,327 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "9598cc47" - } - }, { - "issuerReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "2345", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-08-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25e1ce6c" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "25e1ce6c" } - } - } ], - "meta" : { - "globalKey" : "9599b8e6" - } - } ], - "tradeDate" : { - "value" : "2008-02-05", - "meta" : { - "globalKey" : "3ec085" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-08-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "5f333497" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE" } }, "meta" : { - 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"quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "capacityUnit" : "MT" + }, + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 30000, + "unit" : { + "capacityUnit" : "MT" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "GAS OIL-IPE", "meta" : { - "globalKey" : "25e23b49" + "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" } }, - "meta" : { - "globalKey" : "25e23b49" - } - }, { - "adjustableDate" : { - "unadjustedDate" : "2008-09-30", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "25e32b89" + "globalKey" : "6c" } }, - "meta" : { - "globalKey" : "25e32b89" - } - }, { - "adjustableDate" : { - "unadjustedDate" : "2008-10-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { - "globalKey" : "25e41f8a" + "globalKey" : "63" } - }, - "meta" : { - "globalKey" : "25e41f8a" } - } ], - "meta" : { - "globalKey" : "dc97c7ad" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1120, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "capacityUnit" : "MT" - }, - "priceType" : "AssetPrice" } }, "meta" : { - "globalKey" : "3587542" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } - } ], - "meta" : { - "globalKey" : "3587542" } } }, "meta" : { - "globalKey" : "4b673556" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "4b673556" + "globalKey" : "406d197c" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "10fb089c", + "externalReference" : "partyA" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "capacityUnit" : "MT" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 30000, - "unit" : { - "capacityUnit" : "MT" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "GAS OIL-IPE", - "meta" : { - "scheme" : "http://www.partyA.com/instrumentId/commodity-reference-price" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - } - } - } - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "3ce86c7c" + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "10fb089c", - "externalReference" : "partyA" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f0466d0f", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "9598cc47" + } + }, { + "issuerReference" : { + "globalReference" : "f0466d0f", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "2345", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "9599b8e6" + } + } ], + "tradeDate" : { + "value" : "2008-02-05", + "meta" : { + "globalKey" : "3ec085" + } }, "party" : [ { "partyId" : [ { @@ -425,7 +409,7 @@ } }, "meta" : { - "globalKey" : "af101039" + "globalKey" : "10ba6499" } }, "transferHistory" : [ { @@ -476,6 +460,6 @@ } } ], "meta" : { - "globalKey" : "a1aa689a" + "globalKey" : "90b59cfa" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex9-oil-put-option-american.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex9-oil-put-option-american.json index 7820ecc0e0..ce849a3866 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex9-oil-put-option-american.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-ex9-oil-put-option-american.json @@ -1,328 +1,303 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec3028aa" - } - }, { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "163476", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" } ], - "meta" : { - "globalKey" : "ec309d09" - } - } ], - "tradeDate" : { - "value" : "2008-10-27", - "meta" : { - "globalKey" : "3ec29b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - 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- "globalKey" : "2128d871" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-BRENT-IPE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "IFEU" - }, + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "223e8d" + "globalKey" : "27e4e9" } }, - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "period" : "M", - "meta" : { - "globalKey" : "4d" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - } + "dateRelativeTo" : { + "externalReference" : 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"a1df88ba" + "globalKey" : "25f96df7", + "externalKey" : "expirationDate" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + }, + "followUpConfirmation" : false + }, "meta" : { - "globalKey" : "a1df88ba" + "globalKey" : "514df6b7" } }, - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" + "strike" : { + "strikePrice" : { + "value" : 78.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "capacityUnit" : "BBL" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "ae56ee94" } - }, + } ], "meta" : { - "globalKey" : "172719e5" + "globalKey" : "ae56ee94" } }, - "meta" : { - "globalKey" : "172719e5" + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 12000, - "unit" : { - "capacityUnit" : "BBL" - }, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "e35c713f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 12000, + "unit" : { + "capacityUnit" : "BBL" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 12000, - "unit" : { - "capacityUnit" : "BBL" + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 12000, + "unit" : { + "capacityUnit" : "BBL" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "OIL-BRENT-IPE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "IFEU" - }, - "meta" : { - "globalKey" : "223e8d" - } - }, - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "period" : "M", + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "OIL-BRENT-IPE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "IFEU" + }, "meta" : { - "globalKey" : "4d" + "globalKey" : "223e8d" } }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "period" : "M", + "meta" : { + "globalKey" : "4d" + } }, - "dayType" : "Business" + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "a36ef17c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "467cbd7c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec3028aa" + } + }, { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "163476", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec309d09" + } + } ], + "tradeDate" : { + "value" : "2008-10-27", + "meta" : { + "globalKey" : "3ec29b" + } }, "party" : [ { "partyId" : [ { @@ -408,7 +383,7 @@ } }, "meta" : { - "globalKey" : "3ad2a486" + "globalKey" : "a019be0e" } }, "transferHistory" : [ { @@ -459,6 +434,6 @@ } } ], "meta" : { - "globalKey" : "890d8376" + "globalKey" : "3a8284fe" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.json index 67ac4780d1..a393a73f99 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex1-strikePricePerUnitSchedule.json @@ -1,376 +1,365 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "DUMMY0000000000LEI02", + "product" : { + "identifier" : [ { + "identifier" : { + "value" : "Commodity:Energy:NatGas:Option:Cash", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + }, + "source" : "Other", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + "globalKey" : "fbf1cdb5" } - }, - "assignedIdentifier" : [ { + }, { "identifier" : { - "value" : "MOCKUPSTRIKEPRICEE01", + "value" : "EN", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-base" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "4819367" + } + }, { + "identifier" : { + "value" : "NG", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-details" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "481b457" } } ], - "meta" : { - "globalKey" : "3706710e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2021-12-03", - "meta" : { - "globalKey" : "3f2b03" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" + } + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "HTOXVX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "HTOXVX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "27854e2c" } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27854e2c" + }, + "meta" : { + "globalKey" : "27854e2c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2786af0a" + } + }, + "meta" : { + "globalKey" : "2786af0a" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "27854e2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "32cd8fd0" + }, + "dayType" : "Business", + "businessDayConvention" : "FOLLOWING" } }, "meta" : { - "globalKey" : "2786af0a" + "globalKey" : "32cd8fd0" } }, "meta" : { - "globalKey" : "2786af0a" + "globalKey" : "54637dd7" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "32cd8fd0" - }, - "dayType" : "Business", - "businessDayConvention" : "FOLLOWING" - } - }, - "meta" : { - "globalKey" : "32cd8fd0" - } + "globalKey" : "11e9", + "externalKey" : "CalculationPeriods" }, - "meta" : { - "globalKey" : "54637dd7" - } + "balanceOfFirstPeriod" : false }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "11e9", - "externalKey" : "CalculationPeriods" - }, - "balanceOfFirstPeriod" : false - }, - "meta" : { - "globalKey" : "11e9" - } - }, - "observationDates" : { - "parametricDates" : { - "dayType" : "ScheduledTradingDay", - "dayDistribution" : "Penultimate", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" + "meta" : { + "globalKey" : "11e9" + } + }, + "observationDates" : { + "parametricDates" : { + "dayType" : "ScheduledTradingDay", + "dayDistribution" : "Penultimate", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "ea4abcd4" - }, - "dayType" : "Business" - } + "meta" : { + "globalKey" : "acc66859" } - }, - "meta" : { - "globalKey" : "a87c2939" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2022-07-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2785beca" - } - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2022-07-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2785beca" + "globalKey" : "3a4b88ab" } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - }, - "followUpConfirmation" : false }, "meta" : { - "globalKey" : "54cc1b41" - } - }, - "strike" : { - "strikePrice" : { - "datedValue" : [ { - "date" : "2022-07-01", - "value" : 2000, - "meta" : { - "globalKey" : "7be7b1d" - } - }, { - "date" : "2022-08-01", - "value" : 3000, - "meta" : { - "globalKey" : "7bef73c" - } - } ] + "globalKey" : "2785beca" } }, "meta" : { - "globalKey" : "6978cc2e" + "globalKey" : "2785beca" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + }, + "followUpConfirmation" : false + }, "meta" : { - "globalKey" : "6978cc2e" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "Commodity:Energy:NatGas:Option:Cash", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } - }, - "source" : "Other", - "meta" : { - "globalKey" : "fbf1cdb5" - } - }, { - "identifier" : { - "value" : "EN", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-base" + "globalKey" : "54cc1b41" } }, - "source" : "Other", - "meta" : { - "globalKey" : "4819367" - } - }, { - "identifier" : { - "value" : "NG", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-details" + "strike" : { + "strikePrice" : { + "datedValue" : [ { + "date" : "2022-07-01", + "value" : 2000, + "meta" : { + "globalKey" : "7be7b1d" + } + }, { + "date" : "2022-08-01", + "value" : 3000, + "meta" : { + "globalKey" : "7bef73c" + } + } ] } }, - "source" : "Other", "meta" : { - "globalKey" : "481b457" + "globalKey" : "1631a135" } } ], "meta" : { - "globalKey" : "2fd8c653" + "globalKey" : "1631a135" } - }, - "meta" : { - "globalKey" : "2fd8c653" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "55a43af0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" + } } - }, { - "value" : { - "value" : 2000000.00 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2000000.00, + "unit" : { + "capacityUnit" : "USMMBTU" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "ea4abcd4" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } }, - "dayType" : "Business" + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "ea4abcd4" + }, + "dayType" : "Business" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "348fc198" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "90d00cc3", - "externalReference" : "PartyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90cf9865", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "c710ba0e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "90d00cc3", + "externalReference" : "PartyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90cf9865", + "externalReference" : "PartyB" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "DUMMY0000000000LEI02", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MOCKUPSTRIKEPRICEE01", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "3706710e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2021-12-03", + "meta" : { + "globalKey" : "3f2b03" + } }, "party" : [ { "partyId" : [ { @@ -440,7 +429,7 @@ } }, "meta" : { - "globalKey" : "264b44ed" + "globalKey" : "8346e382" } }, "transferHistory" : [ { @@ -491,6 +480,6 @@ } } ], "meta" : { - "globalKey" : "4445a916" + "globalKey" : "dfe418ab" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.json index 346ad04403..02a7d0200b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/commodity-derivatives/com-mockup-ex2-strikePricePerUnitSchedule.json @@ -1,362 +1,351 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "DUMMY0000000000LEI02", + "product" : { + "identifier" : [ { + "identifier" : { + "value" : "Commodity:Energy:NatGas:Option:Cash", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } + }, + "source" : "Other", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + "globalKey" : "fbf1cdb5" } - }, - "assignedIdentifier" : [ { + }, { "identifier" : { - "value" : "MOCKUPSTRIKEPRICEE01", + "value" : "EN", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-base" + } + }, + "source" : "Other", + "meta" : { + "globalKey" : "4819367" + } + }, { + "identifier" : { + "value" : "NG", + "meta" : { + "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-details" } + }, + "source" : "Other", + "meta" : { + "globalKey" : "481b457" } } ], - "meta" : { - "globalKey" : "3706710e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2021-12-03", - "meta" : { - "globalKey" : "3f2b03" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "Commodity" + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "Commodity" + } + }, { + "source" : "CFI", + "value" : { + "name" : { + "value" : "HTOXVX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" } - }, { - "source" : "CFI", - "value" : { - "name" : { - "value" : "HTOXVX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/product-classification/iso10962" - } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "Commodity_Option" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-07-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "27854e2c" } - }, { - "source" : "ISDA", - "productQualifier" : "Commodity_Option" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-07-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27854e2c" + }, + "meta" : { + "globalKey" : "27854e2c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2786af0a" + } + }, + "meta" : { + "globalKey" : "2786af0a" + } + }, + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "27854e2c" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 5, + "period" : "D", + "meta" : { + "globalKey" : "32cd8fd0" + }, + "dayType" : "Business", + "businessDayConvention" : "FOLLOWING" } }, "meta" : { - "globalKey" : "2786af0a" + "globalKey" : "32cd8fd0" } }, "meta" : { - "globalKey" : "2786af0a" + "globalKey" : "54637dd7" } }, - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 5, - "period" : "D", - "meta" : { - "globalKey" : "32cd8fd0" - }, - "dayType" : "Business", - "businessDayConvention" : "FOLLOWING" - } - }, - "meta" : { - "globalKey" : "32cd8fd0" - } - }, - "meta" : { - "globalKey" : "54637dd7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationDates" : { - "parametricDates" : { - "dayType" : "ScheduledTradingDay", - "dayDistribution" : "Penultimate", - "businessCenters" : { - "commodityBusinessCalendar" : [ { - "value" : "NYMEX-NATURAL-GAS" - } ], - "meta" : { - "globalKey" : "acc66859" - } - } - } - } - }, - "underlier" : { - "commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationDates" : { + "parametricDates" : { + "dayType" : "ScheduledTradingDay", + "dayDistribution" : "Penultimate", + "businessCenters" : { + "commodityBusinessCalendar" : [ { + "value" : "NYMEX-NATURAL-GAS" } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "ea4abcd4" - }, - "dayType" : "Business" - } + "meta" : { + "globalKey" : "acc66859" } - }, - "meta" : { - "globalKey" : "a87c2939" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2022-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2786af0a" - } - }, + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2022-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2786af0a" + "globalKey" : "3a4b88ab" } - } ], - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true - }, - "followUpConfirmation" : false }, "meta" : { - "globalKey" : "8e5aeb81" - } - }, - "strike" : { - "strikePrice" : { - "datedValue" : [ { - "date" : "2022-07-01", - "value" : 2000, - "meta" : { - "globalKey" : "7be7b1d" - } - }, { - "date" : "2022-08-01", - "value" : 3000, - "meta" : { - "globalKey" : "7bef73c" - } - } ] + "globalKey" : "2786af0a" } }, "meta" : { - "globalKey" : "a181754f" + "globalKey" : "2786af0a" } } ], + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + }, + "followUpConfirmation" : false + }, "meta" : { - "globalKey" : "a181754f" - } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "Commodity:Energy:NatGas:Option:Cash", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" - } - }, - "source" : "Other", - "meta" : { - "globalKey" : "fbf1cdb5" - } - }, { - "identifier" : { - "value" : "EN", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-base" + "globalKey" : "8e5aeb81" } }, - "source" : "Other", - "meta" : { - "globalKey" : "4819367" - } - }, { - "identifier" : { - "value" : "NG", - "meta" : { - "scheme" : "http://www.dtcc.com/coding-scheme/external/commodity-details" + "strike" : { + "strikePrice" : { + "datedValue" : [ { + "date" : "2022-07-01", + "value" : 2000, + "meta" : { + "globalKey" : "7be7b1d" + } + }, { + "date" : "2022-08-01", + "value" : 3000, + "meta" : { + "globalKey" : "7bef73c" + } + } ] } }, - "source" : "Other", "meta" : { - "globalKey" : "481b457" + "globalKey" : "e28ef816" } } ], "meta" : { - "globalKey" : "d12eaeb4" + "globalKey" : "e28ef816" } - }, - "meta" : { - "globalKey" : "d12eaeb4" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "frequency" : { - "periodMultiplier" : 1, - "period" : "C", - "meta" : { - "globalKey" : "62" - } - } + "meta" : { + "globalKey" : "770bf57b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "capacityUnit" : "USMMBTU" }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "frequency" : { + "periodMultiplier" : 1, + "period" : "C", + "meta" : { + "globalKey" : "62" + } } - }, { - "value" : { - "value" : 2000000.00 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2000000.00, + "unit" : { + "capacityUnit" : "USMMBTU" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NATURAL GAS-HENRY HUB-NYMEX", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" - } - }, - "identifierType" : "ISDACRP" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "deliveryDateRollConvention" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "ea4abcd4" + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NATURAL GAS-HENRY HUB-NYMEX", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/commodity-reference-price-1-0" + } + }, + "identifierType" : "ISDACRP" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } }, - "dayType" : "Business" + "deliveryDateRollConvention" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "ea4abcd4" + }, + "dayType" : "Business" + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } } }, "meta" : { - "globalKey" : "348fc198" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "90d00cc3", - "externalReference" : "PartyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "90cf9865", - "externalReference" : "PartyB" + }, + "meta" : { + "globalKey" : "c710ba0e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "90d00cc3", + "externalReference" : "PartyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "90cf9865", + "externalReference" : "PartyB" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "DUMMY0000000000LEI02", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MOCKUPSTRIKEPRICEE01", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "3706710e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2021-12-03", + "meta" : { + "globalKey" : "3f2b03" + } }, "party" : [ { "partyId" : [ { @@ -426,7 +415,7 @@ } }, "meta" : { - "globalKey" : "59170dc8" + "globalKey" : "8403f6cd" } }, "transferHistory" : [ { @@ -477,6 +466,6 @@ } } ], "meta" : { - "globalKey" : "578b50f1" + "globalKey" : "97ebaf6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.json index fb527e93eb..715191949c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex01-correlation-swap.json @@ -1,342 +1,366 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ea0f3ecf" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" } ], - "meta" : { - "globalKey" : "ef1edd3e" - } - } ], - "tradeDate" : { - "value" : "2007-01-05", - "meta" : { - "globalKey" : "3eb845" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "51144452" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "2603dafe", + "externalReference" : "vd903" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", + "meta" : { + "globalKey" : "51144452" + } + }, + "meta" : { + "globalKey" : "7ab98305" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-01-05", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "51144452" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "2603dafe", - "externalReference" : "vd903" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25bd43b0" } }, "meta" : { - "globalKey" : "51144452" + "globalKey" : "25bd43b0" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-19", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2603dafe" } }, "meta" : { - "globalKey" : "7ab98305" + "globalKey" : "2603dafe", + "externalKey" : "vd903" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-01-05", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "2603dafe" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "correlationReturnTerms" : { + "dividendApplicability" : { + "allDividends" : false + }, + "expectedN" : 120, + "correlationStrikePrice" : { + "value" : 0.60123, + "priceType" : "Correlation" + }, + "boundedCorrelation" : { + "lowerBound" : { + "number" : 0.35123 + }, + "upperBound" : { + "number" : 0.85123 + } + }, + "numberOfDataSeries" : 1 + } + }, + "meta" : { + "globalKey" : "59b65713" + } + } ], + "meta" : { + "globalKey" : "59b65713" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "11c8c73d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 350000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Basket" : { + "basketConstituent" : [ { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "IBM.N", "meta" : { - "globalKey" : "3a4b88ab" + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" } }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "International Business Machines Common Share" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS" + }, "meta" : { - "globalKey" : "25bd43b0" + "globalKey" : "293090" } }, - "meta" : { - "globalKey" : "25bd43b0" - } + "securityType" : "Equity" } } } }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-19", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "MSFT.O", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Microsoft Common Share" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNAS" + }, "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "292da8" } }, - "meta" : { - "globalKey" : "2603dafe" - } - }, - "meta" : { - "globalKey" : "2603dafe", - "externalKey" : "vd903" + "securityType" : "Equity" } - }, - "meta" : { - "globalKey" : "2603dafe" } } }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "International Business Machines Common Share" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS" - }, - "meta" : { - "globalKey" : "293090" - } - }, - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "MSFT.O", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Microsoft Common Share" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNAS" - }, - "meta" : { - "globalKey" : "292da8" - } - }, - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "B.N", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Barnes and Noble Common Share" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS" - }, - "meta" : { - "globalKey" : "293090" - } - }, - "securityType" : "Equity" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "B.N", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Barnes and Noble Common Share" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS" + }, + "meta" : { + "globalKey" : "293090" } - } - } - } ] - }, - "meta" : { - "globalKey" : "cef69214" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "dividendApplicability" : { - "allDividends" : false - }, - "expectedN" : 120, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + }, + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "ff5e9727" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "ff5e9727" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "ee615251" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "ee615251" + "globalKey" : "7b1c2a58" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "f19667ef" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" + } ], + "meta" : { + "globalKey" : "ea0f3ecf" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "kom722" - } ] - } ] + "meta" : { + "globalKey" : "ef1edd3e" + } + } ], + "tradeDate" : { + "value" : "2007-01-05", + "meta" : { + "globalKey" : "3eb845" + } }, "party" : [ { "partyId" : [ { @@ -422,10 +446,10 @@ } }, "meta" : { - "globalKey" : "c542e901" + "globalKey" : "a2f8e816" } }, "meta" : { - "globalKey" : "c542e901" + "globalKey" : "a2f8e816" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json index abc0fd99b3..0004927e63 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex02-correlation-swap-confirmation.json @@ -1,354 +1,378 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" + } ], + "economicTerms" : { + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "538ca0c6" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "235d2240", + "externalReference" : "sd2344" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + "globalKey" : "538ca0c6" } - } - } ], - "meta" : { - "globalKey" : "fde00dd4" - } - } ], - "tradeDate" : { - "value" : "2007-05-01", - "meta" : { - "globalKey" : "3eb941", - "externalKey" : "td9202" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "538ca0c6" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "235d2240", - "externalReference" : "sd2344" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "538ca0c6" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "235d2240" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "eb9b0479", + "externalReference" : "vs8292" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "meta" : { + "globalKey" : "235d2240", + "externalKey" : "sd2344" + } + }, + "meta" : { + "globalKey" : "4d0260f3" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-01-05", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "235d2240" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "eb9b0479", - "externalReference" : "vs8292" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25bd43b0" } }, "meta" : { - "globalKey" : "235d2240", - "externalKey" : "sd2344" + "globalKey" : "25bd43b0" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-06-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb9b0479" } }, "meta" : { - "globalKey" : "4d0260f3" + "globalKey" : "eb9b0479", + "externalKey" : "vs8292" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-01-05", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "eb9b0479" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "correlationReturnTerms" : { + "dividendApplicability" : { + "allDividends" : false + }, + "expectedN" : 30, + "correlationStrikePrice" : { + "value" : 0.60123, + "priceType" : "Correlation" + }, + "boundedCorrelation" : { + "lowerBound" : { + "number" : 0.35123 + }, + "upperBound" : { + "number" : 0.85123 + } + }, + "numberOfDataSeries" : 1 + } + }, + "meta" : { + "globalKey" : "b89e2cc0" + } + } ], + "meta" : { + "globalKey" : "b89e2cc0" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "25f3cf70" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 350000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Basket" : { + "basketConstituent" : [ { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "IBM.N", "meta" : { - "globalKey" : "3a4b88ab" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Bloomberg" } }, + "identifierType" : "BBGID" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS" + }, "meta" : { - "globalKey" : "25bd43b0" + "globalKey" : "293090" } }, - "meta" : { - "globalKey" : "25bd43b0" - } + "relatedExchange" : [ { + "name" : { + "value" : "XNAS" + }, + "meta" : { + "globalKey" : "292da8" + } + } ], + "securityType" : "Equity" } } } }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-06-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "MSFT.O", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Bloomberg" + } + }, + "identifierType" : "BBGID" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNAS" + }, "meta" : { - "globalKey" : "24a738" + "globalKey" : "292da8" } }, - "meta" : { - "globalKey" : "eb9b0479" - } - }, - "meta" : { - "globalKey" : "eb9b0479", - "externalKey" : "vs8292" + "relatedExchange" : [ { + "name" : { + "value" : "XNYS" + }, + "meta" : { + "globalKey" : "293090" + } + } ], + "securityType" : "Equity" } - }, - "meta" : { - "globalKey" : "eb9b0479" } } }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Bloomberg" - } - }, - "identifierType" : "BBGID" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS" - }, - "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XNAS" - }, - "meta" : { - "globalKey" : "292da8" - } - } ], - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "MSFT.O", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Bloomberg" - } - }, - "identifierType" : "BBGID" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNAS" - }, - "meta" : { - "globalKey" : "292da8" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XNYS" - }, - "meta" : { - "globalKey" : "293090" - } - } ], - "securityType" : "Equity" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "B.N", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Bloomberg" + } + }, + "identifierType" : "BBGID" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS" + }, + "meta" : { + "globalKey" : "293090" } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "B.N", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Bloomberg" - } - }, - "identifierType" : "BBGID" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS" - }, - "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XNAS" - }, - "meta" : { - "globalKey" : "292da8" - } - } ], - "securityType" : "Equity" + }, + "relatedExchange" : [ { + "name" : { + "value" : "XNAS" + }, + "meta" : { + "globalKey" : "292da8" } - } - } - } ] - }, - "meta" : { - "globalKey" : "523238ef" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "dividendApplicability" : { - "allDividends" : false - }, - "expectedN" : 30, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + } ], + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "5ea67dbd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "5ea67dbd" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "fef19e61" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "fef19e61" + "globalKey" : "e5e3a6ab" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "f19667ef" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - } ] - } ] + "meta" : { + "globalKey" : "fde00dd4" + } + } ], + "tradeDate" : { + "value" : "2007-05-01", + "meta" : { + "globalKey" : "3eb941", + "externalKey" : "td9202" + } }, "party" : [ { "partyId" : [ { @@ -457,10 +481,10 @@ } } ], "meta" : { - "globalKey" : "6a308e0d" + "globalKey" : "1f4f1ac2" } }, "meta" : { - "globalKey" : "6a308e0d" + "globalKey" : "1f4f1ac2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json index 71a343d0e7..96f47fe48a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/correlation-swaps/eqcs-ex04-correlation-swap-confirmation.json @@ -1,365 +1,389 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" + } ], + "economicTerms" : { + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "538ca0c6" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "75ac6e3", + "externalReference" : "sd2344" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + "globalKey" : "538ca0c6" } - } - } ], - "meta" : { - "globalKey" : "fde00dd4" - } - } ], - "tradeDate" : { - "value" : "2006-11-07", - "meta" : { - "globalKey" : "3eb2c7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnCorrelation_Basket" - } ], - "economicTerms" : { - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "538ca0c6" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "75ac6e3", - "externalReference" : "sd2344" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "538ca0c6" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "75ac6e3" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "25c21a7a", + "externalReference" : "vd8290" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", + "meta" : { + "globalKey" : "75ac6e3", + "externalKey" : "sd2344" + } + }, + "meta" : { + "globalKey" : "31000596" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-11-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "75ac6e3" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "25c21a7a", - "externalReference" : "vd8290" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25a8a5b2" } }, "meta" : { - "globalKey" : "75ac6e3", - "externalKey" : "sd2344" + "globalKey" : "25a8a5b2" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + 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"numberOfDataSeries" : 1 + } + }, + "meta" : { + "globalKey" : "daf9d72f" + } + } ], + "meta" : { + "globalKey" : "daf9d72f" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "58ea539f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Basket" : { + "basketConstituent" : [ { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "IBM.N", "meta" : { - "globalKey" : "3a4b88ab" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "ABN AMRO HOLDING NV" + }, + "identifierType" : "Name" + } ], + 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"isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XAMS" + }, "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "28fe4f" } }, - "meta" : { - "globalKey" : "25c21a7a" - } - }, - "meta" : { - "globalKey" : "25c21a7a", - "externalKey" : "vd8290" + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" + } + } ], + "securityType" : "Equity" } - }, - "meta" : { - "globalKey" : "25c21a7a" } } }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM.N", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "ABN AMRO HOLDING NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" - } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "MSFT.O", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AEGON NV" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS" - }, - "meta" : { - "globalKey" : "28fe4f" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } + }, { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "B.N", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } + }, + "identifierType" : "ISIN" + }, { + "identifier" : { + "value" : "AIR LIQUIDE" + }, + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XPAR" + }, + "meta" : { + "globalKey" : "293529" } - } - } - }, { - "asset" : { - "Instrument" : { - "Security" : { - "identifier" : [ { - "identifier" : { - "value" : "B.N", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "AIR LIQUIDE" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF" - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "securityType" : "Equity" + }, + "relatedExchange" : [ { + "name" : { + "value" : "XLIF" + }, + "meta" : { + "globalKey" : "292711" } - } - } - } ] - }, - "meta" : { - "globalKey" : "27edba75" - } - }, - "returnTerms" : { - "correlationReturnTerms" : { - "expectedN" : 30, - "correlationStrikePrice" : { - "value" : 0.60123, - "priceType" : "Correlation" - }, - "boundedCorrelation" : { - "lowerBound" : { - "number" : 0.35123 - }, - "upperBound" : { - "number" : 0.85123 + } ], + "securityType" : "Equity" } - }, - "numberOfDataSeries" : 1 + } } }, "meta" : { - "globalKey" : "6cb9a26a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] } - } ], - "meta" : { - "globalKey" : "6cb9a26a" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + } ] } }, "meta" : { - "globalKey" : "1bae5b4e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "1bae5b4e" + "globalKey" : "b9e8ffb7" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b5fabdb", + "externalReference" : "ab9560" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "83102f24", + "externalReference" : "gh4903" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "83102f24", + "externalReference" : "gh4903" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", "meta" : { - "globalKey" : "7372ec75" + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b5fabdb", - "externalReference" : "ab9560" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "83102f24", - "externalReference" : "gh4903" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "83102f24", - "externalReference" : "gh4903" - } ] - } ] + "meta" : { + "globalKey" : "fde00dd4" + } + } ], + "tradeDate" : { + "value" : "2006-11-07", + "meta" : { + "globalKey" : "3eb2c7" + } }, "party" : [ { "partyId" : [ { @@ -468,10 +492,10 @@ } } ], "meta" : { - "globalKey" : "22b30986" + "globalKey" : "69437eff" } }, "meta" : { - "globalKey" : "22b30986" + "globalKey" : "69437eff" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json index 427d8d8df4..61dc257f0f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex01-long-asia-corp-fixreg.json @@ -1,98 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "9862eeec" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37209", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9863634b" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "meta" : { - "globalKey" : "eb0a8cfd" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "28faf882" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "28faf882" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "meta" : { + "globalKey" : "eb0a8cfd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -111,341 +44,401 @@ "globalKey" : "58681de7" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "28faf882" + } + }, + "meta" : { + "globalKey" : "28faf882" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "4f992e8e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + 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"notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4f992e8e" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "004CC9", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "ACOM CO., LTD." }, "meta" : { - "globalKey" : "0" + "globalKey" : "e414546d", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "b6b5f8e2" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - 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"specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "8f38683" + "defaultRequirement" : { + "value" : 1000000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true - }, "meta" : { - "globalKey" : "15515017" + "globalKey" : "57e64854" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e36d84e6" + "globalKey" : "8f38683" } }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true + }, "meta" : { - "globalKey" : "be99fbf4" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "15515017" } + } ], + "meta" : { + "globalKey" : "e36d84e6" } }, "meta" : { - "globalKey" : "8347d834" + "globalKey" : "be99fbf4" } }, - "meta" : { - "globalKey" : "8347d834" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "8347d834" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "790f635e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000.0, - "unit" : { - "currency" : { - "value" : "JPY" - } + } ], + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "790f635e" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 500000000.0, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eeec" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37209", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9863634b" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -543,10 +536,10 @@ } }, "meta" : { - "globalKey" : "ded71c64" + "globalKey" : "409dc242" } }, "meta" : { - "globalKey" : "ded71c64" + "globalKey" : "409dc242" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json index 4e30c9c130..44f4a33bba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-2003-short-asia-corp-fixreg.json @@ -1,283 +1,276 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "meta" : { + "globalKey" : "3e9305" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9305" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "meta" : { + "globalKey" : "3ebb05" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb05" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "meta" : { - "globalKey" : "3e9305" - } - }, - "meta" : { - "globalKey" : "3e9305" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "meta" : { - "globalKey" : "3ebb05" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb05" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } - }, "meta" : { - "globalKey" : "6f25196e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "6f25196e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008FAQ" + } ], + "name" : { + "value" : "Aiful Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7abf9ebb", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008FAQ" - } ], - "name" : { - "value" : "Aiful Corporation" - }, - "meta" : { - "globalKey" : "7abf9ebb", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310504B117", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310504B117", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" + } }, - "primaryObligorReference" : { - "globalReference" : "7abf9ebb", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true - }, - "meta" : { - "globalKey" : "4cf" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4cf" + "primaryObligorReference" : { + "globalReference" : "7abf9ebb", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "e1a9f247" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "5aa4b099" - } - }, - "calculationAgent" : { - "calculationAgentBusinessCenter" : { - "value" : "JPTO" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "e1a9f247" } }, "meta" : { - "globalKey" : "5062d28" + "globalKey" : "5aa4b099" } }, - "meta" : { - "globalKey" : "5062d28" + "calculationAgent" : { + "calculationAgentBusinessCenter" : { + "value" : "JPTO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "5062d28" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7b558f64" - } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "7b558f64" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -347,10 +340,10 @@ } }, "meta" : { - "globalKey" : "c0c06a5c" + "globalKey" : "3bd5d75c" } }, "meta" : { - "globalKey" : "c0c06a5c" + "globalKey" : "3bd5d75c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json index b11c045e75..eb39744670 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex02-short-asia-corp-fixreg.json @@ -1,284 +1,277 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-05", + "meta" : { + "globalKey" : "3e9305" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9305" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-05", + "meta" : { + "globalKey" : "3ebb05" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb05" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-05", - "meta" : { - "globalKey" : "3e9305" - } - }, - "meta" : { - "globalKey" : "3e9305" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-05", - "meta" : { - "globalKey" : "3ebb05" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb05" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204c" - }, - "rollConvention" : "5" - }, - "meta" : { - "globalKey" : "204c" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-05", - "meta" : { - "globalKey" : "3ead5b" - } - }, "meta" : { - "globalKey" : "6f25196e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "5" + }, + "meta" : { + "globalKey" : "204c" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-05", + "meta" : { + "globalKey" : "3ead5b" + } + }, + "meta" : { + "globalKey" : "6f25196e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008FAQ", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Aiful Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7abf9ebb", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008FAQ", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP310504B117", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } - } ], - "name" : { - "value" : "Aiful Corporation" - }, - "meta" : { - "globalKey" : "7abf9ebb", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP310504B117", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "7abf9ebb", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "meta" : { - "globalKey" : "120d61" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "120d61" + "primaryObligorReference" : { + "globalReference" : "7abf9ebb", + "externalReference" : "referenceEntity" + } + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } - } ], + }, "meta" : { - "globalKey" : "1ef67cd9" + "globalKey" : "120d61" } }, "meta" : { - "globalKey" : "443aeeab" + "globalKey" : "120d61" } + } ], + "meta" : { + "globalKey" : "1ef67cd9" } }, "meta" : { - "globalKey" : "6b83348b" + "globalKey" : "443aeeab" } - }, - "meta" : { - "globalKey" : "6b83348b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.007, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6b83348b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.007, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "7b558f64" - } - }, { - "quantity" : [ { - "value" : { - "value" : 500000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "11fe4b42" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "7b558f64" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 500000000, + "unit" : { + "currency" : { + "value" : "JPY" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "11fe4b42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } }, "party" : [ { "partyId" : [ { @@ -348,10 +341,10 @@ } }, "meta" : { - "globalKey" : "ff528cbf" + "globalKey" : "7e74448f" } }, "meta" : { - "globalKey" : "ff528cbf" + "globalKey" : "7e74448f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json index 38750ba5f2..ab21d2651a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex03-long-aussie-corp-fixreg.json @@ -1,98 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37258", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "9862ef86" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37258", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "986363e5" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "AUSY" - } ], - "meta" : { - "globalKey" : "81e165ef" - } - }, - "meta" : { - "globalKey" : "58641940" - } - }, - "meta" : { - "globalKey" : "34ad82bc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "34ad82bc" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-04", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -111,348 +44,408 @@ "globalKey" : "58641940" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "34ad82bc" + } + }, + "meta" : { + "globalKey" : "34ad82bc" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "AUSY" + } ], + "meta" : { + "globalKey" : "81e165ef" + } + }, + "meta" : { + "globalKey" : "58641940" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204b" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "4" + }, + "meta" : { + "globalKey" : "204b" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-04", + "meta" : { + "globalKey" : "3ead5a" + } + }, + "meta" : { + "globalKey" : "4de455ee" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "f0badb65" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204b" - }, - "rollConvention" : "4" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true, + "currency" : { + "value" : "AUD" + } }, - "meta" : { - "globalKey" : "204b" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-03-04", - "meta" : { - "globalKey" : "3ead5a" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "4de455ee" + "globalKey" : "2f30c6a8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "GG3682", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "AMP Group Holdings Limited" }, "meta" : { - "globalKey" : "0" + "globalKey" : "d14d4364", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "f0badb65" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true, - "currency" : { - "value" : "AUD" - } - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0092202836", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "name" : { + "value" : "AMP (UK) Financial Services Plc" }, - "escrow" : true, "meta" : { - "globalKey" : "2f30c6a8" + "globalKey" : "50746d95" } } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "GG3682", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "AMP Group Holdings Limited" - }, - "meta" : { - "globalKey" : "d14d4364", - "externalKey" : "referenceEntity" + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS0092202836", - "meta" : { - "scheme" : 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"meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "publicSource" : [ "The Australian Financial Review" ], - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "98a09cd2" + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "69f4ea47" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "publicSource" : [ "The Australian Financial Review" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "b0c3e17a" + "globalKey" : "98a09cd2" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "206a9c4c" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "69f4ea47" } + } ], + "meta" : { + "globalKey" : "b0c3e17a" } }, "meta" : { - "globalKey" : "17bef49c" + "globalKey" : "206a9c4c" } }, - "meta" : { - "globalKey" : "17bef49c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0056, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "17bef49c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0056, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "f4b5a0cf" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "f4b5a0cf" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37258", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef86" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37258", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363e5" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -554,10 +547,10 @@ } }, "meta" : { - "globalKey" : "f4cfe624" + "globalKey" : "6548c824" } }, "meta" : { - "globalKey" : "f4cfe624" + "globalKey" : "6548c824" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json index 5f54ebcd1d..4ebbaac1ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex04-short-aussie-corp-fixreg.json @@ -1,288 +1,281 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-04", + "meta" : { + "globalKey" : "3ebb04" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ebb04" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-04", - "meta" : { - "globalKey" : "3ebb04" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ebb04" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204b" - }, - "rollConvention" : "4" - }, - "meta" : { - "globalKey" : "204b" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-04", - "meta" : { - "globalKey" : "3ead5a" } }, "meta" : { - "globalKey" : "6d7040ce" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204b" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "4" + }, + "meta" : { + "globalKey" : "204b" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-04", + "meta" : { + "globalKey" : "3ead5a" + } + }, + "meta" : { + "globalKey" : "6d7040ce" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "0C575S", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Amcor Ltd" }, "meta" : { - "globalKey" : "0" + "globalKey" : "c9147109", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "0C575S", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US867211AA21", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } - } ], - "name" : { - "value" : "Amcor Ltd" }, - "meta" : { - "globalKey" : "c9147109", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US867211AA21", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Sunclipse, Inc." - }, - "meta" : { - "globalKey" : "890343f2" - } - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "name" : { + "value" : "Sunclipse, Inc." }, "meta" : { - "globalKey" : "4741344" + "globalKey" : "890343f2" } - }, - "meta" : { - "globalKey" : "4741344" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, "meta" : { - "globalKey" : "9fdf87a6" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "bcb9a774" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "9fdf87a6" } }, "meta" : { - "globalKey" : "1245df4" + "globalKey" : "bcb9a774" } - }, - "meta" : { - "globalKey" : "1245df4" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0056, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1245df4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0056, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "2a994caa" - } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "2a994caa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -352,10 +345,10 @@ } }, "meta" : { - "globalKey" : "836a5216" + "globalKey" : "dd4d8f96" } }, "meta" : { - "globalKey" : "836a5216" + "globalKey" : "dd4d8f96" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json index 44669d3de4..bf88f9db69 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex05-long-emasia-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37260", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862ef9d" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37260", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "986363fc" - } - } ], - "tradeDate" : { - "value" : "2002-08-22", - "meta" : { - "globalKey" : "3e9216" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-08-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-08-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "6cf5d300" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-08-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "6cf5d300" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-08-28", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,349 +42,407 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "6cf5d300" + } + }, + "meta" : { + "globalKey" : "6cf5d300" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7b" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "17f7b" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2002-11-28", + "meta" : { + "globalKey" : "3ea772" + } + }, + "meta" : { + "globalKey" : "94ceeed6" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "6584aa9f" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7b" - }, - "rollConvention" : "28" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f7b" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notSovereignLender" : true, + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "assignableLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2002-11-28", - "meta" : { - "globalKey" : "3ea772" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "94ceeed6" + "globalKey" : "90d2cafc" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : 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"globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37260", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9d" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37260", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fc" + } + } ], + "tradeDate" : { + "value" : "2002-08-22", + "meta" : { + "globalKey" : "3e9216" + } }, "party" : [ { "partyId" : [ { @@ -547,10 +540,10 @@ } }, "meta" : { - "globalKey" : "5961c304" + "globalKey" : "18f12aa2" } }, "meta" : { - "globalKey" : "5961c304" + "globalKey" : "18f12aa2" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json index 749e3524a8..d3e0858939 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex06-long-emeur-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37261", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862ef9e" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37261", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "986363fd" - } - } ], - "tradeDate" : { - "value" : "2002-07-10", - "meta" : { - "globalKey" : "3e91ca" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb05f243" - } - }, - "meta" : { - "globalKey" : "eb05f243" - } - }, - "terminationDate" : { - 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"Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "854fa871" + } + }, + "meta" : { + "globalKey" : "854fa871" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - 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{ - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "53c0bb41" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "53c0bb41" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37261", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9e" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37261", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fd" + } + } ], + "tradeDate" : { + "value" : "2002-07-10", + "meta" : { + "globalKey" : "3e91ca" + } }, "party" : [ { "partyId" : [ { @@ -530,10 +523,10 @@ } }, "meta" : { - "globalKey" : "4ae140df" + "globalKey" : "808bffc1" } }, "meta" : { - "globalKey" : "4ae140df" + "globalKey" : "808bffc1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json index 063a2b30b9..bad9a3244c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-2003-long-euro-corp-fixreg.json @@ -1,440 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "eb0a857b" } - } - } ], - "meta" : { - "globalKey" : "9862ef9f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebb48fc7" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "globalKey" : "ebb48fc7" } - } - } ], - "meta" : { - "globalKey" : "986363fe" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "da4e2f6e" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb0a857b" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebb48fc7" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" + }, + "rollConvention" : "15" }, "meta" : { - "globalKey" : "ebb48fc7" + "globalKey" : "17f59" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "428533f" + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "5aca2f2b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "da4e2f6e" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "f95141be" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } + "notBearer" : true }, + "escrow" : true, + "sixtyBusinessDaySettlementCap" : true, "meta" : { - "globalKey" : "5aca2f2b" + "globalKey" : "f504e8d7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4A7324", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Invensys plc" }, "meta" : { - "globalKey" : "0" + "globalKey" : "68c6dc05", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "f95141be" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true - }, - "escrow" : true, - "sixtyBusinessDaySettlementCap" : true, - "meta" : { - "globalKey" : "f504e8d7" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4A7324", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US826166AA89", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } - } ], - "name" : { - "value" : "Invensys plc" }, - "meta" : { - "globalKey" : "68c6dc05", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US826166AA89", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "68c6dc05", - "externalReference" : "referenceEntity" - } + "identifierType" : "ISIN" } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "AssetPrice" - } + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "68c6dc05", + "externalReference" : "referenceEntity" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModModR" - }, - "multipleHolderObligation" : true, - "multipleCreditEventNotices" : true - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "a40177fd" + "globalKey" : "48eb1e55" } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModModR" }, - "obligations" : { - "category" : "BorrowedMoney" + "multipleHolderObligation" : true, + "multipleCreditEventNotices" : true + }, + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, "meta" : { - "globalKey" : "208ba6b2" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "85ae3db8" + "globalKey" : "a40177fd" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "4a759f6d" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "208ba6b2" } + } ], + "meta" : { + "globalKey" : "85ae3db8" } }, "meta" : { - "globalKey" : "c1e3f237" + "globalKey" : "4a759f6d" } }, - "meta" : { - "globalKey" : "c1e3f237" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "c1e3f237" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "88ace8cd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "88ace8cd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fe" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -528,10 +521,10 @@ } }, "meta" : { - "globalKey" : "96ec54fb" + "globalKey" : "2584545d" } }, "meta" : { - "globalKey" : "96ec54fb" + "globalKey" : "2584545d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json index 2c562c92e9..d6e8f056cb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex07-long-euro-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862ef9f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37262", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "986363fe" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "65d7bfa1" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "65d7bfa1" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,340 +42,398 @@ "globalKey" : "97b1a6d0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "65d7bfa1" + } + }, + "meta" : { + "globalKey" : "65d7bfa1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "97b1a6d0" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "17f59" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "5aca2f2b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "8c2be931" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "5aca2f2b" + "globalKey" : "944a7af8" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4A7324", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Invensys plc" }, "meta" : { - "globalKey" : "0" + "globalKey" : "68c6dc05", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "8c2be931" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US826166AA89", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "68c6dc05", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "944a7af8" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4A7324", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Invensys plc" - }, - "meta" : { - "globalKey" : "68c6dc05", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US826166AA89", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "68c6dc05", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "768f5863" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "87230598" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "e89e1ea0" + "globalKey" : "768f5863" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "f55ca2d5" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "87230598" } + } ], + "meta" : { + "globalKey" : "e89e1ea0" } }, "meta" : { - "globalKey" : "a262fd51" + "globalKey" : "f55ca2d5" } }, - "meta" : { - "globalKey" : "a262fd51" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a262fd51" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "88ace8cd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "88ace8cd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862ef9f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37262", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363fe" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -538,10 +531,10 @@ } }, "meta" : { - "globalKey" : "6b5ad781" + "globalKey" : "40198501" } }, "meta" : { - "globalKey" : "6b5ad781" + "globalKey" : "40198501" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json index eeb8ba3ce1..5946e00fba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-2003-short-euro-corp-fixreg.json @@ -1,278 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9303" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", + "meta" : { + "globalKey" : "3ec04f" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ec04f" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "meta" : { - "globalKey" : "3e9303" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "meta" : { - "globalKey" : "3ec04f" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec04f" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } - }, "meta" : { - "globalKey" : "7a561a0b" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "17f59" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "7a561a0b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "002BB2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Abbey National PLC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "9d5d9084", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "002BB2", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS009316049", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } - } ], - "name" : { - "value" : "Abbey National PLC" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "GLEECI", "meta" : { - "globalKey" : "9d5d9084", - "externalKey" : "referenceEntity" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Abbey National Treasury Services plc" }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS009316049", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "GLEECI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Abbey National Treasury Services plc" - }, - "meta" : { - "globalKey" : "8b95e30a" - } - } - } ] + "meta" : { + "globalKey" : "8b95e30a" + } } - }, - "meta" : { - "globalKey" : "9d1e7090" - } - }, - "meta" : { - "globalKey" : "8b59d99b" + } ] } + }, + "meta" : { + "globalKey" : "9d1e7090" } }, "meta" : { - "globalKey" : "4e7b63af" + "globalKey" : "8b59d99b" } - }, - "meta" : { - "globalKey" : "4e7b63af" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4e7b63af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "98c17f06" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "98c17f06" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -342,10 +335,10 @@ } }, "meta" : { - "globalKey" : "1f3b54cd" + "globalKey" : "3adb81cd" } }, "meta" : { - "globalKey" : "1f3b54cd" + "globalKey" : "3adb81cd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json index ac0a6d79db..3eb865d213 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex08-short-euro-corp-fixreg.json @@ -1,278 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9303" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-01-15", + "meta" : { + "globalKey" : "3ec04f" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ec04f" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "meta" : { - "globalKey" : "3e9303" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-01-15", - "meta" : { - "globalKey" : "3ec04f" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec04f" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "17f59" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-01-15", - "meta" : { - "globalKey" : "3eace5" - } - }, "meta" : { - "globalKey" : "7a561a0b" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "17f59" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-01-15", + "meta" : { + "globalKey" : "3eace5" + } + }, + "meta" : { + "globalKey" : "7a561a0b" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "002BB2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Abbey National PLC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "9d5d9084", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "002BB2", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "XS009316049", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } - } ], - "name" : { - "value" : "Abbey National PLC" }, + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { + "entityId" : [ { + "value" : "GLEECI", "meta" : { - "globalKey" : "9d5d9084", - "externalKey" : "referenceEntity" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Abbey National Treasury Services plc" }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XS009316049", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "entityId" : [ { - "value" : "GLEECI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Abbey National Treasury Services plc" - }, - "meta" : { - "globalKey" : "8b95e30a" - } - } - } ] + "meta" : { + "globalKey" : "8b95e30a" + } } - }, - "meta" : { - "globalKey" : "9d1e7090" - } - }, - "meta" : { - "globalKey" : "8b59d99b" + } ] } + }, + "meta" : { + "globalKey" : "9d1e7090" } }, "meta" : { - "globalKey" : "4e7b63af" + "globalKey" : "8b59d99b" } - }, - "meta" : { - "globalKey" : "4e7b63af" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.009, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4e7b63af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.009, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "98c17f06" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28043a93" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "98c17f06" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "28043a93" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -342,10 +335,10 @@ } }, "meta" : { - "globalKey" : "2ec09279" + "globalKey" : "4a60bf79" } }, "meta" : { - "globalKey" : "2ec09279" + "globalKey" : "4a60bf79" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json index 74cf603110..86cf731ba8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex09-long-euro-sov-fixreg.json @@ -1,437 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37263", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-14", + 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"externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37263", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862efa0" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37263", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "986363ff" + } + } ], + "tradeDate" : { + "value" : "2002-11-13", + "meta" : { + "globalKey" : "3e92cd" + } }, "party" : [ { "partyId" : [ { @@ -525,10 +518,10 @@ } }, "meta" : { - "globalKey" : "7c3592da" + "globalKey" : "1cc78eda" } }, "meta" : { - "globalKey" : "7c3592da" + "globalKey" : "1cc78eda" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-2003-long-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-2003-long-us-corp-fixreg.json index d208377a8f..e952772142 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-2003-long-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-2003-long-us-corp-fixreg.json @@ -1,439 +1,432 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37264", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : 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"value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "715d5b80" + "globalKey" : "48eb1e55" } + } + }, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" }, - "obligations" : { - "category" : "BorrowedMoney" + "multipleHolderObligation" : true, + "multipleCreditEventNotices" : true + }, + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, "meta" : { - "globalKey" : "67cb575" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "c22dc248" + "globalKey" : "715d5b80" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "73f5f676" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "67cb575" } + } ], + "meta" : { + "globalKey" : "c22dc248" } }, "meta" : { - "globalKey" : "d1da1711" + "globalKey" : "73f5f676" } }, - "meta" : { - "globalKey" : "d1da1711" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "d1da1711" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e41b7a85" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862efa1" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636400" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -527,10 +520,10 @@ } }, "meta" : { - "globalKey" : "bd43fd3f" + "globalKey" : "e269f17f" } }, "meta" : { - "globalKey" : "bd43fd3f" + "globalKey" : "e269f17f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json index 8b96bb739a..b7ad44b055 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex10-long-us-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37264", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862efa1" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37264", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636400" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "meta" : { - "globalKey" : "eb0a893c" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "77e72f96" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "77e72f96" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "meta" : { + "globalKey" : "eb0a893c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,340 +42,398 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "77e72f96" + } + }, + "meta" : { + "globalKey" : "77e72f96" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : 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"settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "71dc9af5" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : 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"primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", 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"e8d1aed4" + "globalKey" : "455c2cf7" } }, - "meta" : { - "globalKey" : "e8d1aed4" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e8d1aed4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e41b7a85" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e41b7a85" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 5000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862efa1" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37264", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636400" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -542,10 +535,10 @@ } }, "meta" : { - "globalKey" : "3e98d2ec" + "globalKey" : "ffdbd7ec" } }, "meta" : { - "globalKey" : "3e98d2ec" + "globalKey" : "ffdbd7ec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json index 4faee74166..06a193654a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-2003-short-us-corp-fixreg.json @@ -1,281 +1,274 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } - }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true - }, - "meta" : { - "globalKey" : "4cf" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4cf" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true + }, "meta" : { - "globalKey" : "6d6a894d" + "globalKey" : "4cf" } }, "meta" : { - "globalKey" : "fd2762ff" + "globalKey" : "4cf" } + } ], + "meta" : { + "globalKey" : "6d6a894d" } }, "meta" : { - "globalKey" : "a3cbe0c1" + "globalKey" : "fd2762ff" } - }, - "meta" : { - "globalKey" : "a3cbe0c1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a3cbe0c1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -345,10 +338,10 @@ } }, "meta" : { - "globalKey" : "b2cfe24e" + "globalKey" : "422fc29e" } }, "meta" : { - "globalKey" : "b2cfe24e" + "globalKey" : "422fc29e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json index cac7b80282..4a6c1c8ba8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex11-short-us-corp-fixreg.json @@ -1,284 +1,277 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" - } - }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + 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"globalKey" : "c14f7042" } }, "meta" : { - "globalKey" : "e4b8bab6" + "globalKey" : "553ca574" } - }, - "meta" : { - "globalKey" : "e4b8bab6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e4b8bab6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -348,10 +341,10 @@ } }, "meta" : { - "globalKey" : "88f76219" + "globalKey" : "dd77afe9" } }, "meta" : { - "globalKey" : "88f76219" + "globalKey" : "dd77afe9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json index 03a2579ee8..1092e647ba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex12-long-emasia-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee8" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37205", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636347" - } - } ], - "tradeDate" : { - "value" : "2002-12-02", - "meta" : { - "globalKey" : "3e9302" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "meta" : { - "globalKey" : "eb0a857b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-03", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "29255039" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "29255039" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "meta" : { + "globalKey" : "eb0a857b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-03", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,347 +42,405 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { 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{ + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.012, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 20000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "ab937ba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 20000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 20000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "c0464618" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "ab937ba" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 20000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "c0464618" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee8" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37205", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636347" + } + } ], + "tradeDate" : { + "value" : "2002-12-02", + "meta" : { + "globalKey" : "3e9302" + } }, "party" : [ { "partyId" : [ { @@ -541,10 +534,10 @@ } }, "meta" : { - "globalKey" : "2bce2bcc" + "globalKey" : "5f12dee" } }, "meta" : { - "globalKey" : "2bce2bcc" + "globalKey" : "5f12dee" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json index c74866820b..4e637f90d2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex13-long-asia-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37206", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee9" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37206", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636348" - } - } ], - "tradeDate" : { - "value" : "2002-11-29", - "meta" : { - "globalKey" : "3e92dd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "meta" : { - "globalKey" : "eb09fa96" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-11-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "12cbe3fe" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "12cbe3fe" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "meta" : { + "globalKey" : "eb09fa96" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-11-30", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,340 +42,398 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "meta" : { + "globalKey" : "12cbe3fe" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "17f92" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-02-28", + "meta" : { + "globalKey" : "3ead32" + } + }, + "meta" : { + "globalKey" : "bc0e6adf" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "5d79fb30" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f92" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "notContingent" : true, + "assignableLoan" : { + "applicable" : true + }, + "consentRequiredLoan" : { + "applicable" : true + }, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-02-28", - "meta" : { - "globalKey" : "3ead32" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "bc0e6adf" + "globalKey" : "7f9e8ecd" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "4B818G", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Japan" }, "meta" : { - "globalKey" : "0" + "globalKey" : "23b559bc", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "5d79fb30" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "specifiedCurrency" : { - "applicable" : true - }, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "JP1200551248", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "23b559bc", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "7f9e8ecd" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "4B818G", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Japan" - }, - "meta" : { - "globalKey" : "23b559bc", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "JP1200551248", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "23b559bc", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "b6882474" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "BorrowedMoney" - }, "meta" : { - "globalKey" : "ac191169" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "c2686f9f" + "globalKey" : "b6882474" } }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "7696b6a0" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "GBLO" + "globalKey" : "ac191169" } + } ], + "meta" : { + "globalKey" : "c2686f9f" } }, "meta" : { - "globalKey" : "524065b0" + "globalKey" : "7696b6a0" } }, - "meta" : { - "globalKey" : "524065b0" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "GBLO" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0015, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "524065b0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0015, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "d07c4aec" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d07c4aec" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37206", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee9" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37206", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636348" + } + } ], + "tradeDate" : { + "value" : "2002-11-29", + "meta" : { + "globalKey" : "3e92dd" + } }, "party" : [ { "partyId" : [ { @@ -529,10 +522,10 @@ } }, "meta" : { - "globalKey" : "e9f98b99" + "globalKey" : "73966019" } }, "meta" : { - "globalKey" : "e9f98b99" + "globalKey" : "73966019" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json index e734215b7d..b38be52942 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex14-long-emlatin-corp-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37203", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee6" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37203", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636345" - } - } ], - "tradeDate" : { - "value" : "2002-08-23", - "meta" : { - "globalKey" : "3e9217" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-08-28", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "meta" : { - "globalKey" : "eb072254" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-08-28", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "50c0eb00" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-08-28", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "50c0eb00" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "meta" : { + "globalKey" : "eb072254" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-08-28", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,347 +42,405 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "50c0eb00" + } + }, + "meta" : { + "globalKey" : "50c0eb00" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abe" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "28" + }, + "meta" : { + "globalKey" : "18abe" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2003-02-28", + "meta" : { + "globalKey" : "3eb875" + } + }, + "meta" : { + "globalKey" : "cc728676" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "cf6d1159" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "businessDaysNotSpecified" : true }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abe" - }, - "rollConvention" : "28" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond", + "notSubordinated" : true, + "specifiedCurrency" : { + "applicable" : true }, - "meta" : { - "globalKey" : "18abe" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "notDomesticLaw" : true, + "notContingent" : true, + "notDomesticIssuance" : true, + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "107" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2003-02-28", - "meta" : { - "globalKey" : "3eb875" - } + "notBearer" : true }, + "escrow" : true, "meta" : { - "globalKey" : "cc728676" + "globalKey" : "d8c9161c" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "05EF75", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Banco Nacional de Desenvolvimento Economico E Social - BNDES" }, "meta" : { - "globalKey" : "0" + "globalKey" : "7b58e286", + "externalKey" : "referenceEntity" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "cf6d1159" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "businessDaysNotSpecified" : true - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Bond", - "notSubordinated" : true, - "specifiedCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notContingent" : true, - "notDomesticIssuance" : true, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "US059614AG22", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "notBearer" : true + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "7b58e286", + "externalReference" : "referenceEntity" + } + } ], + "referencePrice" : { + "value" : 1.0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true + }, + "paymentRequirement" : { + "value" : 1000000.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "escrow" : true, "meta" : { - "globalKey" : "d8c9161c" + "globalKey" : "48eb1e55" } } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "05EF75", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Banco Nacional de Desenvolvimento Economico E Social - BNDES" - }, - "meta" : { - "globalKey" : "7b58e286", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "US059614AG22", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "7b58e286", - "externalReference" : "referenceEntity" - } - } ], - "referencePrice" : { - "value" : 1.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" - } + "obligationAcceleration" : true, + "repudiationMoratorium" : true, + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "R" } }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true - }, - "paymentRequirement" : { - "value" : 1000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "obligationAcceleration" : true, - "repudiationMoratorium" : true, - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "R" - } - }, - "defaultRequirement" : { - "value" : 10000000.0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "f799fc52" + "defaultRequirement" : { + "value" : 10000000.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "obligations" : { - "category" : "Bond", - "notSubordinated" : true, - "notDomesticCurrency" : { - "applicable" : true - }, - "notDomesticLaw" : true, - "notDomesticIssuance" : true - }, "meta" : { - "globalKey" : "6b99ec9" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5f611825" + "globalKey" : "f799fc52" } }, + "obligations" : { + "category" : "Bond", + "notSubordinated" : true, + "notDomesticCurrency" : { + "applicable" : true + }, + "notDomesticLaw" : true, + "notDomesticIssuance" : true + }, "meta" : { - "globalKey" : "60866c9b" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "6b99ec9" } + } ], + "meta" : { + "globalKey" : "5f611825" } }, "meta" : { - "globalKey" : "e5421a6" + "globalKey" : "60866c9b" } }, - "meta" : { - "globalKey" : "e5421a6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.365, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e5421a6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.365, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1800000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "46f3bce4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1800000.0, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 1800000.0, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "76c43543" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "46f3bce4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 1800000.0, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "76c43543" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37203", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "9862eee6" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37203", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636345" + } + } ], + "tradeDate" : { + "value" : "2002-08-23", + "meta" : { + "globalKey" : "3e9217" + } }, "party" : [ { "partyId" : [ { @@ -545,10 +538,10 @@ } }, "meta" : { - "globalKey" : "1236e051" + "globalKey" : "f2bb976f" } }, "meta" : { - "globalKey" : "1236e051" + "globalKey" : "f2bb976f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json index 485d91fb19..834db55385 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex15-long-emlatin-sov-fixreg.json @@ -1,96 +1,31 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37204", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "9862eee7" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "37204", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "98636346" - } - } ], - "tradeDate" : { - "value" : "2002-11-22", - "meta" : { - "globalKey" : "3e92d6" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-11-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb09e04f" - } - }, - "meta" : { - "globalKey" : "eb09e04f" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-23", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "4e7199e5" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-11-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "4e7199e5" + "globalKey" : "24a738" } }, + "meta" : { + "globalKey" : "eb09e04f" + } + }, + "meta" : { + "globalKey" : "eb09e04f" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-23", "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { @@ -107,339 +42,397 @@ "globalKey" : "97b8e49c" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "4e7199e5" + } + }, + "meta" : { + "globalKey" : "4e7199e5" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "payout" : { + "interestRatePayout" : [ { + 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"issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "37204", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "98636346" + } + } ], + "tradeDate" : { + "value" : "2002-11-22", + "meta" : { + "globalKey" : "3e92d6" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +526,10 @@ } }, "meta" : { - "globalKey" : "3b71059b" + "globalKey" : "2ff7defd" } }, "meta" : { - "globalKey" : "3b71059b" + "globalKey" : "2ff7defd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json index 1351c1f54c..55c24c7033 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex16-short-us-corp-fixreg-recovery-factor.json @@ -1,296 +1,289 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - 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"partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -360,10 +353,10 @@ } }, "meta" : { - "globalKey" : "c5fbf90e" + "globalKey" : "c2a96b5e" } }, "meta" : { - "globalKey" : "c5fbf90e" + "globalKey" : "c2a96b5e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json index 3af1fddac5..b8ec4c4b15 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex17-short-us-corp-portfolio-compression.json @@ -1,284 +1,277 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" - }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" + } + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" } - } ], + }, "meta" : { - "globalKey" : "c14f7042" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "553ca574" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "c14f7042" } }, "meta" : { - "globalKey" : "e4b8bab6" + "globalKey" : "553ca574" } - }, - "meta" : { - "globalKey" : "e4b8bab6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e4b8bab6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -379,10 +372,10 @@ } }, "meta" : { - "globalKey" : "b285d4f7" + "globalKey" : "40dc4ec7" } }, "meta" : { - "globalKey" : "b285d4f7" + "globalKey" : "40dc4ec7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex18-standard-north-american-corp.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex18-standard-north-american-corp.json index ff4b7aafe4..aebc225f02 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex18-standard-north-american-corp.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex18-standard-north-american-corp.json @@ -1,278 +1,271 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-26", + "meta" : { + "globalKey" : "3ec8da" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3ec8da" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-06-20", + "meta" : { + "globalKey" : "3ef194" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3ef194" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2009-03-25", - "meta" : { - "globalKey" : "3ec8d9" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-26", - "meta" : { - "globalKey" : "3ec8da" - } - }, - "meta" : { - "globalKey" : "3ec8da" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-06-20", - "meta" : { - "globalKey" : "3ef194" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ef194" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" - } - }, - "meta" : { - "globalKey" : "3ec8d4" + "value" : "price-1" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, - "meta" : { - "globalKey" : "bf47be47" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", "meta" : { - "globalKey" : "3ede2a" + "globalKey" : "3ec8d4" } }, "meta" : { - "globalKey" : "658f9704" + "globalKey" : "3ec8d4" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "bf47be47" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2009-06-20", + "meta" : { + "globalKey" : "3ede2a" + } + }, + "meta" : { + "globalKey" : "658f9704" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "TENET HEALTHCARE CORPORATION" }, "meta" : { - "globalKey" : "0" + "globalKey" : "54140007", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "8G836JAF2", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-RED-pair" } - } ], - "name" : { - "value" : "TENET HEALTHCARE CORPORATION" }, - "meta" : { - "globalKey" : "54140007", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "8G836JAF2", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-RED-pair" - } - }, - "identifierType" : "Other" - } ], - "securityType" : "Debt" - } - } ] + "identifierType" : "Other" + } ], + "securityType" : "Debt" } - }, - "transactedPrice" : { - "marketFixedRate" : 0.02 - }, - "meta" : { - "globalKey" : "c847dc2a" - } - }, - "meta" : { - "globalKey" : "bd438fa6" + } ] } + }, + "transactedPrice" : { + "marketFixedRate" : 0.02 + }, + "meta" : { + "globalKey" : "c847dc2a" } }, "meta" : { - "globalKey" : "3dca44ec" + "globalKey" : "bd438fa6" } - }, - "meta" : { - "globalKey" : "3dca44ec" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3dca44ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2009-03-25", + "meta" : { + "globalKey" : "3ec8d9" + } }, "party" : [ { "partyId" : [ { @@ -346,7 +339,7 @@ } }, "meta" : { - "globalKey" : "8e36e462" + "globalKey" : "2ac700e2" } }, "transferHistory" : [ { @@ -397,6 +390,6 @@ } } ], "meta" : { - "globalKey" : "cae7a47" + "globalKey" : "62ce36c7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json index b70f276d60..f56dd72b1f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-ex19-cdx-index-option-pred-clearing.json @@ -1,382 +1,381 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "5ec52713" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", - "meta" : { - "globalKey" : "5d273b4a" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-21", - "meta" : { - "globalKey" : "3eb0d5" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "5ec52713" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", + "meta" : { + "globalKey" : "5d273b4a" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-21", "meta" : { "globalKey" : "3eb0d5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "meta" : { - "globalKey" : "3ed994" - } - }, + "meta" : { + "globalKey" : "3eb0d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", "meta" : { "globalKey" : "3ed994" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3ed994" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2006-06-20", - "lastRegularPaymentDate" : "2011-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d8d7ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-06-20", + "lastRegularPaymentDate" : "2011-03-20", "meta" : { - "globalKey" : "5507235c" + "globalKey" : "7d8d7ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "5507235c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "Dow Jones CDX NA IG.2" }, - "indexSeries" : 2, - "indexAnnexDate" : "2005-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "5598e89" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2005-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "d197a909" } - }, - "meta" : { - "globalKey" : "daae824a" } }, "meta" : { - "globalKey" : "a74cb46e" + "globalKey" : "23b9e5e8" } + }, + "meta" : { + "globalKey" : "19996a44" } - }, - "meta" : { - "globalKey" : "e32c3b6f" } }, "meta" : { - "globalKey" : "e32c3b6f" + "globalKey" : "d10b1be3" } - }, - "optionType" : "Payer", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a605bf" - } - }, + } + } + }, + "optionType" : "Payer", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25a605bf" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3a4b88ab" } }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, - "partialExercise" : { - "notionaReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "integralMultipleAmount" : 1, - "minimumNotionalAmount" : 1 - }, "meta" : { - "globalKey" : "7b5d7149" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0225, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "25a605bf" } }, "meta" : { - "globalKey" : "1e2ee3cf" + "globalKey" : "25a605bf" } } ], - "meta" : { - "globalKey" : "1e2ee3cf" - } - } - }, - "meta" : { - "globalKey" : "1e2ee3cf" - } - }, - "meta" : { - "globalKey" : "1e2ee3cf" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.019, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, + "partialExercise" : { + "notionaReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "integralMultipleAmount" : 1, + "minimumNotionalAmount" : 1 + }, + "meta" : { + "globalKey" : "7b5d7149" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "strike" : { + "strikePrice" : { + "value" : 0.0225, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "cbb04303" } } ], "meta" : { - "globalKey" : "4ccb38f0" + "globalKey" : "cbb04303" } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "cbb04303" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.019, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "4ccb38f0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } - } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -500,7 +499,7 @@ } }, "meta" : { - "globalKey" : "a523697" + "globalKey" : "2e6db3a3" } }, "transferHistory" : [ { @@ -567,6 +566,6 @@ } } ], "meta" : { - "globalKey" : "7f498cc3" + "globalKey" : "eacee137" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json index 8ccff914af..35143bceee 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-indamt-ex01-short-us-corp-fixreg.json @@ -1,286 +1,279 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-12-04", + "meta" : { + "globalKey" : "3e9304" + } + }, "meta" : { - "scheme" : "http://www.xyzbank.com/cd-trade-id" + "globalKey" : "3e9304" } - } - } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-09-06", + "meta" : { + "globalKey" : "3eba46" + } + }, "meta" : { - "scheme" : "http://www.abcbank.com/cd-trade-id" + "globalKey" : "3eba46" } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2002-12-03", - "meta" : { - "globalKey" : "3e9303" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-12-04", - "meta" : { - "globalKey" : "3e9304" - } - }, - "meta" : { - "globalKey" : "3e9304" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-09-06", - "meta" : { - "globalKey" : "3eba46" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3eba46" + "globalKey" : "0", + "externalKey" : "notional" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notional" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "204d" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "value" : "price-1" } - }, - "firstPaymentDate" : "2003-03-06", - "meta" : { - "globalKey" : "3ead5c" } }, "meta" : { - "globalKey" : "70d9f20e" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "204d" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2003-03-06", + "meta" : { + "globalKey" : "3ead5c" + } + }, + "meta" : { + "globalKey" : "70d9f20e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notional" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" }, "meta" : { - "globalKey" : "0", - "externalKey" : "notional" + "globalKey" : "92cc27", + "externalKey" : "referenceEntity" } }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "referenceEntity" - } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "referenceEntity" - } - } ] - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "restructuring" : { - "applicable" : true, - "restructuringType" : { - "value" : "ModR" - } - }, - "meta" : { - "globalKey" : "4741344" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "4741344" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "referenceEntity" } - } ], + } ] + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "restructuring" : { + "applicable" : true, + "restructuringType" : { + "value" : "ModR" + } + }, "meta" : { - "globalKey" : "c14f7042" + "globalKey" : "4741344" } }, "meta" : { - "globalKey" : "553ca574" + "globalKey" : "4741344" } + } ], + "meta" : { + "globalKey" : "c14f7042" } }, "meta" : { - "globalKey" : "e4b8bab6" + "globalKey" : "553ca574" } - }, - "meta" : { - "globalKey" : "e4b8bab6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e4b8bab6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "20e98d8a" - } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "20e98d8a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "http://www.xyzbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "http://www.abcbank.com/cd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2002-12-03", + "meta" : { + "globalKey" : "3e9303" + } }, "party" : [ { "partyId" : [ { @@ -379,10 +372,10 @@ } }, "meta" : { - "globalKey" : "be8e40d0" + "globalKey" : "867856a0" } }, "meta" : { - "globalKey" : "be8e40d0" + "globalKey" : "867856a0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-1.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-1.json index 340b73d825..918b5f914a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-1.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-1.json @@ -1,287 +1,247 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade123", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba463" - } - } ], - "tradeDate" : { - "value" : "2006-12-05", - "meta" : { - "globalKey" : "3eb305", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "1333467d", - "externalReference" : "CREDITEVENT" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "1333467d", + "externalReference" : "CREDITEVENT" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-06", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-06", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a3e7e" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a3e7e" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a3e7e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec2ea6cd" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec2ea6cd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "ec2ea6cd" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "SPREAD" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "SPREAD" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2012-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d9c0aa" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2012-03-20", "meta" : { - "globalKey" : "55080c1c" + "globalKey" : "7d9c0aa" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "55080c1c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "eb40ee68" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Bond" + }, + "escrow" : true, "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + "globalKey" : "5800f1f" } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "eb40ee68" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Bond" + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "Entity3" }, - "escrow" : true, "meta" : { - "globalKey" : "5800f1f" + "globalKey" : "4573090" } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { + }, + "referenceObligation" : [ { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "ExampleCUSIP2", + "meta" : { + "scheme" : "CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligor" : { "name" : { "value" : "Entity3" }, "meta" : { "globalKey" : "4573090" } - }, - "referenceObligation" : [ { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "ExampleCUSIP2", - "meta" : { - "scheme" : "CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligor" : { - "name" : { - "value" : "Entity3" - }, - "meta" : { - "globalKey" : "4573090" - } - } - } ], - "allGuarantees" : true, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" } - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } + } ], + "allGuarantees" : true, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "restructuring" : { - "applicable" : true + "perUnitOf" : { + "currency" : { + "value" : "USD" + } }, - "defaultRequirement" : { + "priceType" : "AssetPrice" + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { "value" : 1000000, "unit" : { "currency" : { @@ -291,206 +251,238 @@ "meta" : { "globalKey" : "48eb1e55" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party1", "Party2" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + } + }, + "restructuring" : { + "applicable" : true + }, + "defaultRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "1333467d", - "externalKey" : "CREDITEVENT" + "globalKey" : "48eb1e55" } }, - "obligations" : { - "category" : "Bond" + "creditEventNotice" : { + "notifyingParty" : [ "Party1", "Party2" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "139ace00" + "globalKey" : "1333467d", + "externalKey" : "CREDITEVENT" } - } ], + }, + "obligations" : { + "category" : "Bond" + }, "meta" : { - "globalKey" : "afc3b294" + "globalKey" : "139ace00" } - }, + } ], "meta" : { - "globalKey" : "388692f8" + "globalKey" : "afc3b294" } + }, + "meta" : { + "globalKey" : "388692f8" } - }, - "meta" : { - "globalKey" : "45761349" } }, "meta" : { "globalKey" : "45761349" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2007-03-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2007-03-05", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "80df3cd5" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "80df3cd5" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da556d3a" } }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "1f046114" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "SPREAD" + "globalKey" : "80df3cd5" } }, "meta" : { - "globalKey" : "b72d9114" + "globalKey" : "80df3cd5" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "b72d9114" + "globalKey" : "1f046114" + } + }, + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "SPREAD" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "842b540" } - }, + } ], "meta" : { - "globalKey" : "ee5984fe" + "globalKey" : "842b540" } }, - "meta" : { - "globalKey" : "ee5984fe" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0186, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "4eb64e2a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0186, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "9b6e4015" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "9b6e4015" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade123", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba463" + } + } ], + "tradeDate" : { + "value" : "2006-12-05", + "meta" : { + "globalKey" : "3eb305", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -574,7 +566,7 @@ } }, "meta" : { - "globalKey" : "2739117d" + "globalKey" : "1dfa2eab" } }, "transferHistory" : [ { @@ -641,6 +633,6 @@ } } ], "meta" : { - "globalKey" : "22289d8f" + "globalKey" : "5c745e21" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-2.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-2.json index e9b8c1ed98..3998dd72eb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-2.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cd-swaption-2.json @@ -1,544 +1,536 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-06-27", - "meta" : { - "globalKey" : "3eb19b", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "knock" : { - "knockOut" : { - "trigger" : { - "creditEventsReference" : { - "globalReference" : "594a6d92", - "externalReference" : "CREDITEVENT" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "knock" : { + "knockOut" : { + "trigger" : { + "creditEventsReference" : { + "globalReference" : "594a6d92", + "externalReference" : "CREDITEVENT" } } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb80184d" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb80184d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb80184d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec16404d" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec16404d" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "ec16404d" + } + }, + "dateAdjustments" : 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"FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "SPREAD" } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" }, "meta" : { - "globalKey" : "17f73" + "globalKey" : "0", + "externalKey" : "SPREAD" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" }, - "firstPaymentDate" : "2006-12-20", - "lastRegularPaymentDate" : "2011-09-20", + "rollConvention" : "20" + }, + "meta" : { + 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"hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "da556d3a" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "5e8e3c1c" - } - }, - "strike" : { - "strikeReference" : { - "globalReference" : "0", - "externalReference" : "SPREAD" + "globalKey" : "5f6d3466" } }, "meta" : { - "globalKey" : "d817f43b" + "globalKey" : "5f6d3466" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "d817f43b" + "globalKey" : "5e8e3c1c" + } + }, + "strike" : { + "strikeReference" : { + "globalReference" : "0", + "externalReference" : "SPREAD" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2a988367" } - }, + } ], "meta" : { - "globalKey" : "7e37ba65" + "globalKey" : "2a988367" } }, - "meta" : { - "globalKey" : "7e37ba65" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.085, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "32d12e91" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.085, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "dc623dff" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + } ], + "meta" : { + "globalKey" : "dc623dff" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-06-27", + "meta" : { + "globalKey" : "3eb19b", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -622,7 +614,7 @@ } }, "meta" : { - "globalKey" : "23cab6c3" + "globalKey" : "8b7d1c8f" } }, "transferHistory" : [ { @@ -689,6 +681,6 @@ } } ], "meta" : { - "globalKey" : "6f964615" + "globalKey" : "83d4c9c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex01-cdx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex01-cdx.json index 863dd0c734..6477c16396 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex01-cdx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex01-cdx.json @@ -1,220 +1,220 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "meta" : { + "globalKey" : "3ea0d7" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3ea0d7" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "meta" : { + "globalKey" : "3ec8d4" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3ec8d4" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "meta" : { - "globalKey" : "3ea0d7" - } - }, - "meta" : { - "globalKey" : "3ea0d7" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "meta" : { - "globalKey" : "3ec8d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3ec8d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "53b8689" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, "meta" : { - "globalKey" : "39f538a8" + "globalKey" : "d179a109" } - }, - "meta" : { - "globalKey" : "383edb69" } + }, + "meta" : { + "globalKey" : "9be56a4a" } }, "meta" : { - "globalKey" : "9c4bc46" + "globalKey" : "dda85829" } - }, - "meta" : { - "globalKey" : "9c4bc46" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "eded796c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -284,7 +284,7 @@ } }, "meta" : { - "globalKey" : "9fb68874" + "globalKey" : "11f24f28" } }, "transferHistory" : [ { @@ -326,6 +326,6 @@ } } ], "meta" : { - "globalKey" : "7e3df049" + "globalKey" : "ae6754fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex02-iTraxx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex02-iTraxx.json index 3cc5386111..05ebabdf05 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex02-iTraxx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex02-iTraxx.json @@ -1,5 +1,117 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" + } + } + } ], + "meta" : { + "globalKey" : "df6c52dd" + } + } + }, + "meta" : { + "globalKey" : "be0acfde" + } + }, + "meta" : { + "globalKey" : "be0acfde" + } + } + }, + "meta" : { + "globalKey" : "feec8b8a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c1910382", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "20c13e66", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "20c13e66", @@ -39,118 +151,6 @@ "globalKey" : "3ea2c3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], - "meta" : { - "globalKey" : "ae1d399e" - } - } - }, - "meta" : { - "globalKey" : "9b32dffd" - } - }, - "meta" : { - "globalKey" : "9b32dffd" - } - } - }, - "meta" : { - "globalKey" : "307d88d1" - } - }, - "meta" : { - "globalKey" : "307d88d1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c1910382", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20c13e66", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -217,7 +217,7 @@ } }, "meta" : { - "globalKey" : "cc4575d4" + "globalKey" : "16ddbfbb" } }, "transferHistory" : [ { @@ -259,6 +259,6 @@ } } ], "meta" : { - "globalKey" : "bed20988" + "globalKey" : "c97159ef" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json index 26a21a8800..d16177a6b2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex03-iTraxx-contractual-supplement.json @@ -1,5 +1,121 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "indexAnnexDate" : "2005-11-01", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" + } + } + } ], + "meta" : { + "globalKey" : "cf6dff2a" + } + } + }, + "meta" : { + "globalKey" : "3ce2d689" + } + }, + "meta" : { + "globalKey" : "3ce2d689" + } + } + }, + "meta" : { + "globalKey" : "99b16b5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8b68721" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "67920033", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a735be4", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a735be4", @@ -39,122 +155,6 @@ "globalKey" : "3eaac3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "indexAnnexDate" : "2005-11-01", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } - } - } ], - "meta" : { - "globalKey" : "aba314c9" - } - } - }, - "meta" : { - "globalKey" : "760ede0a" - } - }, - "meta" : { - "globalKey" : "760ede0a" - } - } - }, - "meta" : { - "globalKey" : "b14394b6" - } - }, - "meta" : { - "globalKey" : "b14394b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8b68721" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "67920033", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a735be4", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -280,7 +280,7 @@ } } ], "meta" : { - "globalKey" : "9fbdf931" + "globalKey" : "fd64e882" } }, "transferHistory" : [ { @@ -322,6 +322,6 @@ } } ], "meta" : { - "globalKey" : "ff8a5025" + "globalKey" : "d7c96cf6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex04-iBoxx.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex04-iBoxx.json index 76fba228e1..1337564da1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex04-iBoxx.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex04-iBoxx.json @@ -1,296 +1,317 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-03-23", + "meta" : { + "globalKey" : "3ef0d7" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3ef0d7" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-03-20", + "meta" : { + "globalKey" : "3f18d4" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3f18d4" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-03-23", - "meta" : { - "globalKey" : "3ef0d7" - } - }, - "meta" : { - "globalKey" : "3ef0d7" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-03-20", - "meta" : { - "globalKey" : "3f18d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "3f18d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "e06fa940" - }, - "initialRate" : { - "value" : 0.025, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } - } + "meta" : { + "globalKey" : "e06fa940" }, - "resetDates" : { - "initialFixingDate" : { - "initialFixingDate" : "2014-03-23" + "initialRate" : { + "value" : 0.025, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "finalFixingDate" : { - "unadjustedDate" : "2019-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2727bc7f" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, + "priceType" : "InterestRate" + } + } + }, + "resetDates" : { + "initialFixingDate" : { + "initialFixingDate" : "2014-03-23" + }, + "finalFixingDate" : { + "unadjustedDate" : "2019-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "1a4469d6" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "8f2b235" + "globalKey" : "2727bc7f" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "meta" : { + "globalKey" : "1a4469d6" + } + }, + "meta" : { + "globalKey" : "8f2b235" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "iBoxx EUR Corporates" }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "iBoxx EUR Corporates" - }, - "indexId" : [ { - "value" : "DE0006301161", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - } ], + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "DE0006301161", "meta" : { - "globalKey" : "8b0e5955" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" } - } + }, + "identifierType" : "ISIN" + } ], + "name" : { + "value" : "iBoxx EUR Corporates" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "647c0734" + "globalKey" : "451af30d" } - }, - "meta" : { - "globalKey" : "cd0d51df" } + }, + "meta" : { + "globalKey" : "f86bc4e" } }, "meta" : { - "globalKey" : "6e93ebfc" + "globalKey" : "8c372b43" } - }, - "meta" : { - "globalKey" : "6e93ebfc" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "81716686" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } } }, "meta" : { - "globalKey" : "8feabf86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e9be61f4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -379,7 +400,7 @@ } }, "meta" : { - "globalKey" : "f805e06" + "globalKey" : "febee374" } }, "transferHistory" : [ { @@ -421,6 +442,6 @@ } } ], "meta" : { - "globalKey" : "a30748db" + "globalKey" : "688acb49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.json index b584409ed2..a9b057c7d0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex05-SP.json @@ -1,253 +1,255 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", - "meta" : { - "scheme" : "http://www.newbank.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2014-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "269374ff" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "269374ff" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2005-01-24", - "meta" : { - "globalKey" : "3ea858" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2014-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "269374ff" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-05-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "269374ff" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-05-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26b17cff" + "meta" : { + "globalKey" : "26b17cff" + } + }, + "meta" : { + "globalKey" : "26b17cff" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "26b17cff" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" - } - }, - "indexId" : [ { - "value" : "7FC48VAA0", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" - } - } ], + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "calculationAmount" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1", "meta" : { - "globalKey" : "5dd0ec47" + "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" } }, - "additionalTerm" : [ { - "value" : "Y", + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "7FC48VAA0", "meta" : { - "scheme" : "http://derivserv.dtcc.com/coding-scheme/additional-term" + "scheme" : "http://www.fpml.org/coding-scheme/external/standard-and-poors" } - } ] + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "S&P/ISDA U.S. 150 Credit Spread Index Series 1" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "6200a8ff" + "globalKey" : "1996bc01" } }, - "meta" : { - "globalKey" : "604a4bc0" - } + "additionalTerm" : [ { + "value" : "Y", + "meta" : { + "scheme" : "http://derivserv.dtcc.com/coding-scheme/additional-term" + } + } ] + }, + "meta" : { + "globalKey" : "ed763d1b" } }, "meta" : { - "globalKey" : "d6f8d320" + "globalKey" : "ca352f3a" } - }, - "meta" : { - "globalKey" : "d6f8d320" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0085, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + "meta" : { + "globalKey" : "c6e19bda" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0085, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "73313106" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/ext/iso4217" - } + } ], + "meta" : { + "globalKey" : "73313106" + } + }, { + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/ext/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "280b774f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2005-01-24", + "meta" : { + "globalKey" : "3ea858" + } }, "party" : [ { "partyId" : [ { @@ -338,7 +340,7 @@ } }, "meta" : { - "globalKey" : "15f470ef" + "globalKey" : "23d9ad4f" } }, "transferHistory" : [ { @@ -386,6 +388,6 @@ } } ], "meta" : { - "globalKey" : "bec3bc8b" + "globalKey" : "7b0f08eb" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex06-iBoxx-ois.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex06-iBoxx-ois.json index 5ae57d4350..5e1c9f0cbf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex06-iBoxx-ois.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdindex-ex06-iBoxx-ois.json @@ -1,296 +1,317 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CDX1234", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-18", + "meta" : { + "globalKey" : "3f2a12" + } + }, "meta" : { - "scheme" : "http://www.newbank.com/trade-id" + "globalKey" : "3f2a12" } - } - } ], - "meta" : { - "globalKey" : "e6b4a6ee" - } - }, { - "issuerReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234A6", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-08-18", + "meta" : { + "globalKey" : "3f4a12" + } + }, "meta" : { - "scheme" : "http://www.massivebank.com/trade-id" + "globalKey" : "3f4a12" } - } - } ], - "meta" : { - "globalKey" : "ebf0fa4b" - } - } ], - "tradeDate" : { - "value" : "2021-08-18", - "meta" : { - "globalKey" : "3f2a12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-18", - "meta" : { - "globalKey" : "3f2a12" - } - }, - "meta" : { - "globalKey" : "3f2a12" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-08-18", - "meta" : { - "globalKey" : "3f4a12" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "3f4a12" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "e06fa940" - }, - "initialRate" : { - "value" : 0.025, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } - } + "meta" : { + "globalKey" : "e06fa940" }, - "resetDates" : { - "initialFixingDate" : { - "initialFixingDate" : "2021-08-18" + "initialRate" : { + "value" : 0.025, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "finalFixingDate" : { - "unadjustedDate" : "2025-08-18", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "27e0963d" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, + "priceType" : "InterestRate" + } + } + }, + "resetDates" : { + "initialFixingDate" : { + "initialFixingDate" : "2021-08-18" + }, + "finalFixingDate" : { + "unadjustedDate" : "2025-08-18", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "4178674f" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "3026afae" + "globalKey" : "27e0963d" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "meta" : { + "globalKey" : "4178674f" + } + }, + "meta" : { + "globalKey" : "3026afae" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "iBoxx EUR Corporates" }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "iBoxx EUR Corporates" - }, - "indexId" : [ { - "value" : "DE0006301161", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" - } - } ], + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "DE0006301161", "meta" : { - "globalKey" : "8b0e5955" + "scheme" : "http://www.fpml.org/spec/2002/instrument-id-ISIN" } - } + }, + "identifierType" : "ISIN" + } ], + "name" : { + "value" : "iBoxx EUR Corporates" }, + "assetClass" : "Credit", "meta" : { - "globalKey" : "647c0734" + "globalKey" : "451af30d" } - }, - "meta" : { - "globalKey" : "6b605ec6" } + }, + "meta" : { + "globalKey" : "f86bc4e" } }, "meta" : { - "globalKey" : "ad900d86" + "globalKey" : "4ce1c7c" } - }, - "meta" : { - "globalKey" : "ad900d86" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.02, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "b52055bc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.02, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-OIS Compound", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } } }, "meta" : { - "globalKey" : "399f068" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-OIS Compound" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-OIS Compound", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8ce119df", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2a017e2d" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "e57f0887", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8ce119df", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CDX1234", + "meta" : { + "scheme" : "http://www.newbank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e6b4a6ee" + } + }, { + "issuerReference" : { + "globalReference" : "e57f0887", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234A6", + "meta" : { + "scheme" : "http://www.massivebank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf0fa4b" + } + } ], + "tradeDate" : { + "value" : "2021-08-18", + "meta" : { + "globalKey" : "3f2a12" + } }, "party" : [ { "partyId" : [ { @@ -357,7 +378,7 @@ } }, "meta" : { - "globalKey" : "23bf5718" + "globalKey" : "108aaf4f" } }, "transferHistory" : [ { @@ -399,6 +420,6 @@ } } ], "meta" : { - "globalKey" : "d5d104ed" + "globalKey" : "b85d1ba4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.json index 2ac18d97cc..7b0bcca194 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-ELCDS-ReferenceObligation.json @@ -1,336 +1,329 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25c6972c" + } + }, "meta" : { - "scheme" : "TradeRefNbr" + "globalKey" : "25c6972c" } - } - } ], - "meta" : { - "globalKey" : "9b902fd3" - } - } ], - "tradeDate" : { - "value" : "2007-10-31", - "meta" : { - "globalKey" : "3eba9f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25c6972c" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-17", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25c6972c" + "globalKey" : "3a4b88ab" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-17", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c39fc" + "meta" : { + "globalKey" : "261c39fc" + } + }, + "meta" : { + "globalKey" : "261c39fc" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "261c39fc" + "globalKey" : "0", + "externalKey" : "calculationAmount" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "calculationAmount" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f78" - }, - "rollConvention" : "25" - }, - "meta" : { - "globalKey" : "17f78" - } - }, - "paymentDates" : { - 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: "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } ], + "meta" : { + "globalKey" : "10b32f9f" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" + } ], + "meta" : { + "globalKey" : "b894a0b9" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e102e2c", - "externalReference" : "DTCCPty2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e102e2c", + "externalReference" : "DTCCPty2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8e102e2b", + "externalReference" : "DTCCPty1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "TradeRefNbr" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "8e102e2b", - "externalReference" : "DTCCPty1" - } ] - } ] + "meta" : { + "globalKey" : "9b902fd3" + } + } ], + "tradeDate" : { + "value" : "2007-10-31", + "meta" : { + "globalKey" : "3eba9f" + } }, "party" : [ { "partyId" : [ { @@ -444,10 +437,10 @@ } }, "meta" : { - "globalKey" : "95149fc8" + "globalKey" : "89711242" } }, "meta" : { - "globalKey" : "95149fc8" + "globalKey" : "89711242" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket-tranche.json index 409636fd85..ef9f6bbed3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket-tranche.json @@ -1,375 +1,368 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - 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"notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + } + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5a8f0b85" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "d028765" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "5a8f0b85" } }, "meta" : { - "globalKey" : "35fa63e8" + "globalKey" : "d028765" } - }, - "meta" : { - "globalKey" : "35fa63e8" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "35fa63e8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -443,10 +436,10 @@ } }, "meta" : { - "globalKey" : "49bacc4e" + "globalKey" : "fa1b0656" } }, "meta" : { - "globalKey" : "49bacc4e" + "globalKey" : "fa1b0656" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket.json index 3a9680a998..c83808d3d8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-basket.json @@ -1,366 +1,359 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, "meta" : { - "globalKey" : "28d6c3e0" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "generalTerms" : { - "basketReferenceInformation" : { - "referencePool" : { - "referencePoolItem" : [ { - "constituentWeight" : { - "basketPercentage" : 0.60 - }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "008HA7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" - } - } ], - "name" : { - "value" : "Agrium Inc." - }, - "meta" : { - "globalKey" : "6b99b4c1", - "externalKey" : "agriumEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "008916AB4", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "6b99b4c1", - "externalReference" : "agriumEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "meta" : { + "globalKey" : "28d6c3e0" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "generalTerms" : { + "basketReferenceInformation" : { + "referencePool" : { + "referencePoolItem" : [ { + "constituentWeight" : { + "basketPercentage" : 0.60 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "008HA7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } - } - }, { - "constituentWeight" : { - "basketPercentage" : 0.40 + } ], + "name" : { + "value" : "Agrium Inc." }, - "referencePair" : { - "referenceEntity" : { - "entityId" : [ { - "value" : "8G836J", + "meta" : { + "globalKey" : "6b99b4c1", + "externalKey" : "agriumEntity" + } + }, + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "008916AB4", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" } - } ], - "name" : { - "value" : "Tenet Healthcare Corporation" }, - "meta" : { - "globalKey" : "92cc27", - "externalKey" : "tenetEntity" - } - }, - "referenceObligation" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "88033GAT7", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - } ], - "securityType" : "Debt" - }, - "primaryObligorReference" : { - "globalReference" : "92cc27", - "externalReference" : "tenetEntity" - } - }, - "entityType" : { - "value" : "NorthAmericanInvestmentGrade" - } + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" + }, + "primaryObligorReference" : { + "globalReference" : "6b99b4c1", + "externalReference" : "agriumEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.40 }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G836J", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Tenet Healthcare Corporation" + }, + "meta" : { + "globalKey" : "92cc27", + "externalKey" : "tenetEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "2bdf39cb" + "globalKey" : "f8d2401" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "12c02dab" + "globalKey" : "90a9b011" } + } ], + "meta" : { + "globalKey" : "2bdf39cb" } }, "meta" : { - "globalKey" : "1dfb4eee" + "globalKey" : "12c02dab" } - }, - "meta" : { - "globalKey" : "1dfb4eee" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1dfb4eee" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "96d36572", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "28ce4efa" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "96d36572", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -434,10 +427,10 @@ } }, "meta" : { - "globalKey" : "9d22b8de" + "globalKey" : "c47b8f66" } }, "meta" : { - "globalKey" : "9d22b8de" + "globalKey" : "c47b8f66" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.json index c7ee91a553..ad1243adc7 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-custom-basket.json @@ -1,517 +1,510 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DJITRAXXUSDMS5Y", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Basket" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-03-23", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb3e6e4f" + } + }, "meta" : { - "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + "globalKey" : "eb3e6e4f" } - } - } ], - "meta" : { - "globalKey" : "ce5186a4" - } - } ], - "tradeDate" : { - "value" : "2004-01-24", - "meta" : { - "globalKey" : "3ea058" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-03-23", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb3e6e4f" - } - }, + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb3e6e4f" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd48b0c" + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "meta" : { + "globalKey" : "ebd48b0c" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" } }, "meta" : { - "globalKey" : "ebd48b0c" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" 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"externalReference" : "tenetEntity" } - } ] + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" + } }, - "nthToDefault" : 1 - } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 0, - "period" : "D", + "protectionTermsReference" : { + "globalReference" : "90a9b011", + "externalReference" : "protectionTermsOne" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsOne" + } + }, { + "constituentWeight" : { + "basketPercentage" : 0.30 + }, + "referencePair" : { + "referenceEntity" : { + "entityId" : [ { + "value" : "8G8KT", "meta" : { - "globalKey" : "44" + "scheme" : "http://www.fpml.org/coding-scheme/external/entity-id-RED" } + } ], + "name" : { + "value" : "Teleco Corporation Europe" + }, + "meta" : { + "globalKey" : "2c781556", + "externalKey" : "telecoEntity" } }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } + "referenceObligation" : { + "security" : { + "identifier" : [ { + "identifier" : { + "value" : "88033GAT7", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" + } + }, + "identifierType" : "CUSIP" + } ], + "securityType" : "Debt" }, - "meta" : { - "globalKey" : "48eae7c4" + "primaryObligorReference" : { + "globalReference" : "92cc27", + "externalReference" : "tenetEntity" } + }, + "entityType" : { + "value" : "NorthAmericanInvestmentGrade" } }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "protectionTermsReference" : { + "globalReference" : "71d88c7e", + "externalReference" : "protectionTermsTwo" + }, + "cashSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + }, + "physicalSettlementTermsReference" : { + "externalReference" : "settlementTermsTwo" + } + } ] + }, + "nthToDefault" : 1 + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "44" + } + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "f8d2401" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "90a9b011", - "externalKey" : "protectionTermsOne" } - }, { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "gracePeriodExtension" : { - "applicable" : true, - "gracePeriod" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - } + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, + "meta" : { + "globalKey" : "f8d2401" + } + }, + "obligations" : { + "category" : "BondOrLoan" + }, + "meta" : { + "globalKey" : "90a9b011", + "externalKey" : "protectionTermsOne" + } + }, { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "gracePeriodExtension" : { + "applicable" : true, + "gracePeriod" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" }, - "paymentRequirement" : { - "value" : 1000000.00, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "meta" : { - "globalKey" : "48eae7c4" - } - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "standardPublicSources" : true, - "specifiedNumber" : 2 + "dayType" : "Business" + } + }, + "paymentRequirement" : { + "value" : 1000000.00, + "unit" : { + "currency" : { + "value" : "GBP" } }, "meta" : { - "globalKey" : "e5b237ae" + "globalKey" : "48eae7c4" } - }, - "obligations" : { - "category" : "BondOrLoan" - }, - "meta" : { - "globalKey" : "71d88c7e", - "externalKey" : "protectionTermsTwo" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "standardPublicSources" : true, + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "5d3a5707" + "globalKey" : "e5b237ae" } }, + "obligations" : { + "category" : "BondOrLoan" + }, "meta" : { - "globalKey" : "fdded2e7" + "globalKey" : "71d88c7e", + "externalKey" : "protectionTermsTwo" } + } ], + "meta" : { + "globalKey" : "5d3a5707" } }, "meta" : { - "globalKey" : "42f1176a" + "globalKey" : "fdded2e7" } - }, - "meta" : { - "globalKey" : "42f1176a" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "42f1176a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "28ce4efa" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "a8bdc3dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "28ce4efa" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], + }, "meta" : { - "globalKey" : "b88d63fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "81d291e8", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "a8bdc3dd" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "36959942", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b88d63fd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "81d291e8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "36959942", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DJITRAXXUSDMS5Y", + "meta" : { + "scheme" : "http://www.barclaysglobal.com/partners/schema/v1-1/schemes/tradeID" + } + } + } ], + "meta" : { + "globalKey" : "ce5186a4" + } + } ], + "tradeDate" : { + "value" : "2004-01-24", + "meta" : { + "globalKey" : "3ea058" + } }, "party" : [ { "partyId" : [ { @@ -585,10 +578,10 @@ } }, "meta" : { - "globalKey" : "b06b51a7" + "globalKey" : "555ee0ef" } }, "meta" : { - "globalKey" : "b06b51a7" + "globalKey" : "555ee0ef" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-index-tranche.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-index-tranche.json index 3eb519563f..68ecbafb51 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-index-tranche.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-index-tranche.json @@ -1,5 +1,116 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_IndexTranche" + } ], + "economicTerms" : { + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-20", + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "meta" : { + "globalKey" : "3ed0d4" + } + }, + "payout" : { + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "tranche" : { + "attachmentPoint" : 0.03, + "exhaustionPoint" : 0.07 + }, + "settledEntityMatrix" : { + "matrixSource" : { + "value" : "NotApplicable" + } + }, + "meta" : { + "globalKey" : "f97d484f" + } + } + }, + "meta" : { + "globalKey" : "aa708910" + } + }, + "meta" : { + "globalKey" : "aa708910" + } + } + }, + "meta" : { + "globalKey" : "39d209bc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 25000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a8bdc3dd" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "c1910382", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "20c13e66", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "20c13e66", @@ -39,117 +150,6 @@ "globalKey" : "3ea2c3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_IndexTranche" - } ], - "economicTerms" : { - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-20", - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "meta" : { - "globalKey" : "3ed0d4" - } - }, - "payout" : { - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" - }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "tranche" : { - "attachmentPoint" : 0.03, - "exhaustionPoint" : 0.07 - }, - "settledEntityMatrix" : { - "matrixSource" : { - "value" : "NotApplicable" - } - }, - "meta" : { - "globalKey" : "df8f82d0" - } - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - }, - "meta" : { - "globalKey" : "ddd50d6f" - } - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "meta" : { - "globalKey" : "4b18d143" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 25000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "a8bdc3dd" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "c1910382", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "20c13e66", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -216,7 +216,7 @@ } }, "meta" : { - "globalKey" : "500d9362" + "globalKey" : "2c9bcc9" } }, "transferHistory" : [ { @@ -258,6 +258,6 @@ } } ], "meta" : { - "globalKey" : "df41d416" + "globalKey" : "6cda43fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-ReferenceObligation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-ReferenceObligation.json index 4805ed0a85..ad1aeffc95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-ReferenceObligation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-ReferenceObligation.json @@ -1,437 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Loan" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-10-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb811f13" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "eb811f13" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-06-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf57e13" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "ebf57e13" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-10-26", - "meta" : { - "globalKey" : "3eb29a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Loan" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb811f13" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb811f13" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" }, "meta" : { - "globalKey" : "ebf57e13" + "globalKey" : "17f73" } }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "42f910b" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-12-20", + "lastRegularPaymentDate" : "2010-06-20", "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "7d8ff2a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e1fca3e" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "41e7ef00" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "Loan", + "notSubordinated" : true, + "notContingent" : true, + "consentRequiredLoan" : { + "applicable" : true }, - "meta" : { - "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", "meta" : { - "globalKey" : "aa" + "globalKey" : "3fb" } }, - "firstPaymentDate" : "2006-12-20", - "lastRegularPaymentDate" : "2010-06-20", - "meta" : { - "globalKey" : "7d8ff2a" - } + "notBearer" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true" }, "meta" : { - "globalKey" : "5e1fca3e" + "globalKey" : "df3ad6f7" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + } + }, + "generalTerms" : { + "referenceInformation" : { + "referenceEntity" : { + "name" : { + "value" : "CompanyABC" }, "meta" : { - "globalKey" : "0" + "globalKey" : "444aeec5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "41e7ef00" - }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 - }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "Loan", - "notSubordinated" : true, - "notContingent" : true, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", + "referenceObligation" : [ { + "loan" : { + "identifier" : [ { + "identifier" : { + "value" : "23490234", "meta" : { - "globalKey" : "3fb" + "scheme" : "http://www.partyA.com/coding-scheme/instrument-id" } }, - "notBearer" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true" + "identifierType" : "Other" + } ], + "lien" : { + "value" : "FirstLienLoan" }, - "meta" : { - "globalKey" : "df3ad6f7" - } - } - }, - "generalTerms" : { - "referenceInformation" : { - "referenceEntity" : { - "name" : { - "value" : "CompanyABC" - }, - "meta" : { - "globalKey" : "444aeec5" - } + "facilityType" : { + "value" : "RevolvingLoan" }, - "referenceObligation" : [ { - "loan" : { - "identifier" : [ { - "identifier" : { - "value" : "23490234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "lien" : { - "value" : "FirstLienLoan" - }, - "facilityType" : { - "value" : "RevolvingLoan" - }, - "creditAgreementDate" : "2005-11-04", - "tranche" : { - "value" : "LN190325" - } - }, - "primaryObligor" : { - "name" : { - "value" : "CompanyABC" - }, - "meta" : { - "globalKey" : "444aeec5" - } - } - } ], - "allGuarantees" : false, - "referencePrice" : { - "value" : 1.0000000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "AssetPrice" + "creditAgreementDate" : "2005-11-04", + "tranche" : { + "value" : "LN190325" + } + }, + "primaryObligor" : { + "name" : { + "value" : "CompanyABC" }, - "securedList" : false + "meta" : { + "globalKey" : "444aeec5" + } } + } ], + "allGuarantees" : false, + "referencePrice" : { + "value" : 1.0000000000, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "AssetPrice" }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" - } - } - }, - "defaultRequirement" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard Public Sources" ], - "specifiedNumber" : 2 + "securedList" : false + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "a02353af" + "globalKey" : "48eb1e55" } - }, - "obligations" : { - "category" : "BorrowedMoney", - "notSubordinated" : true, - "excluded" : "true", - "othReferenceEntityObligations" : "true", - "designatedPriority" : { - "value" : "FirstLienLoan" + } + }, + "defaultRequirement" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "c245b351" + "globalKey" : "d467e427" } - } ], + }, + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard Public Sources" ], + "specifiedNumber" : 2 + } + }, "meta" : { - "globalKey" : "1a0b8594" + "globalKey" : "a02353af" + } + }, + "obligations" : { + "category" : "BorrowedMoney", + "notSubordinated" : true, + "excluded" : "true", + "othReferenceEntityObligations" : "true", + "designatedPriority" : { + "value" : "FirstLienLoan" } }, "meta" : { - "globalKey" : "d454d4d2" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "c245b351" } + } ], + "meta" : { + "globalKey" : "1a0b8594" } }, "meta" : { - "globalKey" : "da117ff" + "globalKey" : "d454d4d2" } }, - "meta" : { - "globalKey" : "da117ff" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.013, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "da117ff" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.013, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "e499703a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "b894a0b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e499703a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b894a0b9" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-10-26", + "meta" : { + "globalKey" : "3eb29a" + } }, "party" : [ { "partyId" : [ { @@ -525,10 +518,10 @@ } }, "meta" : { - "globalKey" : "d684f314" + "globalKey" : "b356b902" } }, "meta" : { - "globalKey" : "d684f314" + "globalKey" : "b356b902" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-SecuredList.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-SecuredList.json index 04442ec57d..ddde7cb605 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-SecuredList.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-loan-SecuredList.json @@ -1,407 +1,400 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-12-02", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb82a1ba" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "eb82a1ba" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-03-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf296cd" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "ebf296cd" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-12-01", - "meta" : { - "globalKey" : "3eb301" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-12-02", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb82a1ba" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "eb82a1ba" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-03-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "rateSpecification" : { + "FixedRateSpecification" 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"calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0115, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "1983ade" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0115, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "48503a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 5000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "280b774f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "48503a1" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 5000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" 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b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-mortgage-CMBS.json @@ -1,391 +1,384 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-11-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "meta" : { + "globalKey" : "18601d49" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/" + "globalKey" : "18601d49" } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2046-07-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "f02f5604" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/" + "globalKey" : "f02f5604" } - } - } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-11-14", - "meta" : { - "globalKey" : "3eb2ce" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-11-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "da556d3a" } }, "meta" : { - "globalKey" : "18601d49" + "globalKey" : "0" } + } + }, + "dayCountFraction" : { + "value" : 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+ } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "da556d3a" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177f6" - }, - "rollConvention" : 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"globalKey" : "734d74e5" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "globalKey" : "74b7090" } + } ], + "meta" : { + "globalKey" : "43208aa8" } }, "meta" : { - "globalKey" : "a7fe75d9" + "globalKey" : "734d74e5" } }, - "meta" : { - "globalKey" : "a7fe75d9" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "a7fe75d9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : 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"globalReference" : "b3f9d7f4", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-11-14", + "meta" : { + "globalKey" : "3eb2ce" + } }, "party" : [ { "partyId" : [ { @@ -479,10 +472,10 @@ } }, "meta" : { - "globalKey" : "d7c56f4b" + "globalKey" : "cb4498f9" } }, "meta" : { - "globalKey" : "d7c56f4b" + "globalKey" : "cb4498f9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-mortgage-RMBS.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-mortgage-RMBS.json index 55e52a2dab..39195a864d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-mortgage-RMBS.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cds-mortgage-RMBS.json @@ -1,106 +1,41 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "109257", - "meta" : { - "scheme" : "http://www.partyA.com/" - } - } - } ], - "meta" : { - "globalKey" : "ebd7082f" - } - }, { - "issuerReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", - "meta" : { - "scheme" : "http://www.partyB.com/" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_SingleName" } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2006-10-05", - "meta" : { - "globalKey" : "3eb285" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "da556d3a" - } - }, - "meta" : { - "globalKey" : "b0cdd84f" - } - }, - "meta" : { - "globalKey" 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: "FOLLOWING", "businessCenters" : { @@ -117,274 +52,332 @@ "globalKey" : "da556d3a" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "meta" : { + "globalKey" : "777d2cc1" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "da556d3a" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d3" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "177d3" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "firstPaymentDate" : "2006-11-01", - "lastRegularPaymentDate" : "2035-06-01", - "meta" : { - "globalKey" : "7d8d44c" - } + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d3" }, + 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"scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "9f870959", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e3639930" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" + "quantity" : [ { + "value" : { + "value" : 15000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "a10c1e7e" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "b3f9d7f4", - "externalReference" : "party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b3f9d7f4", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "109257", + "meta" : { + "scheme" : "http://www.partyA.com/" + } + } + } ], + "meta" : { + "globalKey" : "ebd7082f" + } + }, { + "issuerReference" : { + "globalReference" : "9f870959", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234567", + "meta" : { + "scheme" : "http://www.partyB.com/" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2006-10-05", + "meta" : { + "globalKey" : "3eb285" + } }, "party" : [ { "partyId" : [ { @@ -478,10 +471,10 @@ } }, "meta" : { - "globalKey" : "e088f8f9" + "globalKey" : "856807a7" } }, "meta" : { - "globalKey" : "e088f8f9" + "globalKey" : "856807a7" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdx-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdx-index-option.json index 222163bec1..eb43373c1c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdx-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/cdx-index-option.json @@ -1,368 +1,367 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-21", - "meta" : { - "globalKey" : "3eb0d5" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-21", "meta" : { "globalKey" : "3eb0d5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "meta" : { - "globalKey" : "3ed994" - } - }, + "meta" : { + "globalKey" : "3eb0d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", "meta" : { "globalKey" : "3ed994" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "meta" : { + "globalKey" : "3ed994" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2006-06-20", - "lastRegularPaymentDate" : "2011-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d8d7ea" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2006-06-20", + "lastRegularPaymentDate" : "2011-03-20", "meta" : { - "globalKey" : "5507235c" + "globalKey" : "7d8d7ea" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "5507235c" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "Dow Jones CDX NA IG.2" }, - "indexSeries" : 2, - "indexAnnexDate" : "2005-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "meta" : { - "globalKey" : "5598e89" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2005-07-06", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "meta" : { + "globalKey" : "d197a909" } - }, - "meta" : { - "globalKey" : "daae824a" } }, "meta" : { - "globalKey" : "a74cb46e" + "globalKey" : "23b9e5e8" } + }, + "meta" : { + "globalKey" : "19996a44" } - }, - "meta" : { - "globalKey" : "e32c3b6f" } }, "meta" : { - "globalKey" : "e32c3b6f" + "globalKey" : "d10b1be3" } - }, - "optionType" : "Payer", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25a605bf" - } - }, + } + } + }, + "optionType" : "Payer", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25a605bf" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3a4b88ab" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, - "partialExercise" : { - "notionaReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "integralMultipleAmount" : 1, - "minimumNotionalAmount" : 1 - }, "meta" : { - "globalKey" : "7b5d7149" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.0225, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "25a605bf" } }, "meta" : { - "globalKey" : "882599a9" + "globalKey" : "25a605bf" } } ], - "meta" : { - "globalKey" : "882599a9" - } - } - }, - "meta" : { - "globalKey" : "882599a9" - } - }, - "meta" : { - "globalKey" : "882599a9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.019, - "unit" : { - "currency" : { - "value" : "USD" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "USNY" } }, - "priceType" : "InterestRate" + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, + "partialExercise" : { + "notionaReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "integralMultipleAmount" : 1, + "minimumNotionalAmount" : 1 + }, + "meta" : { + "globalKey" : "7b5d7149" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "strike" : { + "strikePrice" : { + "value" : 0.0225, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "3919ad5d" } } ], "meta" : { - "globalKey" : "4ccb38f0" + "globalKey" : "3919ad5d" } - }, { - "quantity" : [ { - "value" : { - "value" : 50000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "3919ad5d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.019, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "d75b3635" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "4ccb38f0" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 50000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "d75b3635" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -466,7 +465,7 @@ } }, "meta" : { - "globalKey" : "5d33ce10" + "globalKey" : "ba4624c" } }, "transferHistory" : [ { @@ -533,6 +532,6 @@ } } ], "meta" : { - "globalKey" : "6d3a886a" + "globalKey" : "fd9e6bae" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/itraxx-index-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/itraxx-index-option.json index 19771aeeee..913bb25366 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/itraxx-index-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/credit-derivatives/itraxx-index-option.json @@ -1,481 +1,480 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "Trade234", - "meta" : { - "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwaption" } ], - "meta" : { - "globalKey" : "5c8ba844" - } - } ], - "tradeDate" : { - "value" : "2006-01-16", - "meta" : { - "globalKey" : "3eb050", - "externalKey" : "TRADEDATE" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "NOTIONAL" - }, - "meta" : { - "globalKey" : "8d28d340" - } - }, - "settlementTerms" : { - "settlementType" : "Physical", - "meta" : { - "globalKey" : "f3b1d0d7" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "8d28d340" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "meta" : { + "globalKey" : "f3b1d0d7" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb7a730c" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "eb7a730c" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-06-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "meta" : { + "globalKey" : "eb7a730c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-06-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ec136bcc" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ec136bcc" } }, - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "meta" : { + "globalKey" : "ec136bcc" + } + }, + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { "globalKey" : "17f73" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } }, - "firstPaymentDate" : "2007-03-20", - "lastRegularPaymentDate" : "2011-03-20", + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "17f73" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "7d9b8aa" + "globalKey" : "aa" } }, + "firstPaymentDate" : "2007-03-20", + "lastRegularPaymentDate" : "2011-03-20", "meta" : { - "globalKey" : "5e2083be" + "globalKey" : "7d9b8aa" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "NOTIONAL" + }, + "meta" : { + "globalKey" : "5e2083be" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "86ee6de4" + "meta" : { + "globalKey" : "0", + "externalKey" : "NOTIONAL" + } + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "86ee6de4" + }, + "physicalSettlementTerms" : { + "physicalSettlementPeriod" : { + "maximumBusinessDays" : 30 }, - "physicalSettlementTerms" : { - "physicalSettlementPeriod" : { - "maximumBusinessDays" : 30 + "deliverableObligations" : { + "accruedInterest" : false, + "category" : "BondOrLoan", + "notSubordinated" : true, + "notContingent" : true, + "assignableLoan" : { + "applicable" : true }, - "deliverableObligations" : { - "accruedInterest" : false, - "category" : "BondOrLoan", - "notSubordinated" : true, - "notContingent" : true, - "assignableLoan" : { - "applicable" : true - }, - "consentRequiredLoan" : { - "applicable" : true - }, - "transferable" : true, - "maximumMaturity" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "notBearer" : true + "consentRequiredLoan" : { + "applicable" : true }, - "escrow" : true, - "meta" : { - "globalKey" : "904a72a7" - } + "transferable" : true, + "maximumMaturity" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } + }, + "notBearer" : true + }, + "escrow" : true, + "meta" : { + "globalKey" : "904a72a7" } - }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" }, - "indexSeries" : 2, - "indexAnnexVersion" : 1, - "indexAnnexDate" : "2006-11-01", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "excludedReferenceEntity" : [ { - "referenceEntity" : { - "name" : { - "value" : "TESCO PLC" - }, - "meta" : { - "globalKey" : "43886e95" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones iTraxx Europe Consumers Series 2 Version 1" + }, + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexVersion" : 1, + "indexAnnexDate" : "2006-11-01", + "indexAnnexSource" : { + "value" : "Publisher" + }, + "excludedReferenceEntity" : [ { + "referenceEntity" : { + "name" : { + "value" : "TESCO PLC" + }, + "meta" : { + "globalKey" : "43886e95" } - } ], - "meta" : { - "globalKey" : "dd7d1cc9" } + } ], + "meta" : { + "globalKey" : "148072a" } - }, - "protectionTerms" : [ { - "creditEvents" : { - "bankruptcy" : true, - "failureToPay" : { - "applicable" : true, - "paymentRequirement" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "48eb1e55" + } + }, + "protectionTerms" : [ { + "creditEvents" : { + "bankruptcy" : true, + "failureToPay" : { + "applicable" : true, + "paymentRequirement" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } + }, + "meta" : { + "globalKey" : "48eb1e55" } - }, - "creditEventNotice" : { - "notifyingParty" : [ "Party2", "Party1" ], - "publiclyAvailableInformation" : { - "publicSource" : [ "Standard" ], - "specifiedNumber" : 2 - } - }, - "meta" : { - "globalKey" : "a7a0f33d" } }, - "obligations" : { - "category" : "BorrowedMoney" + "creditEventNotice" : { + "notifyingParty" : [ "Party2", "Party1" ], + "publiclyAvailableInformation" : { + "publicSource" : [ "Standard" ], + "specifiedNumber" : 2 + } }, "meta" : { - "globalKey" : "ba3951f2" + "globalKey" : "a7a0f33d" } - } ], + }, + "obligations" : { + "category" : "BorrowedMoney" + }, "meta" : { - "globalKey" : "5b44b858" + "globalKey" : "ba3951f2" } - }, + } ], "meta" : { - "globalKey" : "40197296" + "globalKey" : "1b97badf" } + }, + "meta" : { + "globalKey" : "ea73b761" } - }, - "meta" : { - "globalKey" : "cbc5a0e" } }, "meta" : { - "globalKey" : "cbc5a0e" + "globalKey" : "af4ebae9" } - }, - "optionType" : "Receiver", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-12-20", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, + } + } + }, + "optionType" : "Receiver", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-12-20", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "2d387cf9" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "2d387cf9" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "211e638d" } }, - "expirationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : false - }, - "followUpConfirmation" : true - }, "meta" : { - "globalKey" : "e5a042f8" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "globalKey" : "2d387cf9" } }, "meta" : { - "globalKey" : "57d16e80" + "globalKey" : "2d387cf9" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : false + }, + "followUpConfirmation" : true + }, "meta" : { - "globalKey" : "57d16e80" + "globalKey" : "e5a042f8" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + } + }, + "meta" : { + "globalKey" : "a121a35b" } - }, + } ], "meta" : { - "globalKey" : "f57bb76a" + "globalKey" : "a121a35b" } }, - "meta" : { - "globalKey" : "f57bb76a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.004, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "2b922185" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.004, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 250000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "65ba978a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 250000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "6ceb3eab" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "Party2" + } ], + "meta" : { + "globalKey" : "65ba978a" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "Party1" + "quantity" : [ { + "value" : { + "value" : 250000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "6ceb3eab" } - } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "Party1" - } ] } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "Trade234", + "meta" : { + "scheme" : "http://www.PartyA.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5c8ba844" + } + } ], + "tradeDate" : { + "value" : "2006-01-16", + "meta" : { + "globalKey" : "3eb050", + "externalKey" : "TRADEDATE" + } }, "party" : [ { "partyId" : [ { @@ -511,7 +510,7 @@ } } ], "meta" : { - "globalKey" : "a1c17285" + "globalKey" : "6d374060" } }, "transferHistory" : [ { @@ -568,6 +567,6 @@ } } ], "meta" : { - "globalKey" : "f2e50fdd" + "globalKey" : "fe2dd738" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.json index 01f504a0c1..94f8c06fa5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex01-dividend-swap.json @@ -1,406 +1,325 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ea0d0bb9" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ef1e6c61" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - } - }, + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c0" - } - }, - "meta" : { - "globalKey" : "815062c0" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } } }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - } - }, + }, + "meta" : { + "globalKey" : "815062c0" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c1" - } - }, - "meta" : { - "globalKey" : "815062c1" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } } }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", + }, + "meta" : { + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { - "scheme" : "http://example.com/instrumentId" + "globalKey" : "3ed314" } }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT" - }, "meta" : { - "globalKey" : "2929e8" + "globalKey" : "3ed314" } - }, { - "name" : { - "value" : "XMON" + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", + "meta" : { + "globalKey" : "3edb13" + } }, "meta" : { - "globalKey" : "292b94" + "globalKey" : "3edb13" } + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" } }, - "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, - "meta" : { - "globalKey" : "3ed314" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, - "meta" : { - "globalKey" : "3edb13" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } }, "meta" : { - "globalKey" : "211dc30c" - } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, - "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" - } - } + "globalKey" : "815062c0", + "externalKey" : "p1" } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, - "meta" : { - "globalKey" : "3edb14" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, - "meta" : { - "globalKey" : "3ee313" - } + } + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", + "meta" : { + "globalKey" : "3edb14" } + }, + "meta" : { + "globalKey" : "3edb14" } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3ee313" } }, "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "3ee313" } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, - "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" - } + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } - } ] + } } - }, - "meta" : { - "globalKey" : "bcbd392a" - } - } ], - "meta" : { - "globalKey" : "d503150b" + } ] } + }, + "meta" : { + "globalKey" : "8e8f9e5b" } - }, + } ], "meta" : { - "globalKey" : "d503150b" + "globalKey" : "ee8b607c" } - }, - "meta" : { - "globalKey" : "d503150b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "ee8b607c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -435,70 +354,112 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "84141f73" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "56544854" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], + }, "meta" : { - "globalKey" : "aab17b18" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" + } ], + "meta" : { + "globalKey" : "aab17b18" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ea0d0bb9" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ef1e6c61" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -534,10 +495,10 @@ } } ], "meta" : { - "globalKey" : "bfc699ab" + "globalKey" : "f7c4d603" } }, "meta" : { - "globalKey" : "bfc699ab" + "globalKey" : "f7c4d603" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.json index ff8abe163c..d8f6c1f9bd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex02-dividend-swap-collateral.json @@ -1,415 +1,325 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ea0d0bb9" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ef1e6c61" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - } - }, + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c0" - } - }, - "meta" : { - "globalKey" : "815062c0" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } } }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - } - }, + }, + "meta" : { + "globalKey" : "815062c0" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c1" - } - }, - "meta" : { - "globalKey" : "815062c1" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } } }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", + }, + "meta" : { + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/instrumentId" + "globalKey" : "3ed314" } }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR", + "meta" : { + "globalKey" : "3ed314" + } + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "3edb13" } }, "meta" : { - "globalKey" : "293529" + "globalKey" : "3edb13" } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT", + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } }, "meta" : { - "globalKey" : "2929e8" + "globalKey" : "815062c0", + "externalKey" : "p1" } - }, { - "name" : { - "value" : "XMON", + } + } + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", "meta" : { - "scheme" : "http://www.fpml.org/schemes/4-1/exchangeId" + "globalKey" : "3edb14" } }, "meta" : { - "globalKey" : "292b94" + "globalKey" : "3edb14" } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + } } }, - "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, - "meta" : { - "globalKey" : "3ed314" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, - "meta" : { - "globalKey" : "3edb13" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3ee313" } }, "meta" : { - "globalKey" : "211dc30c" - } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, - "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" - } - } + "globalKey" : "3ee313" } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, - "meta" : { - "globalKey" : "3edb14" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, - "meta" : { - "globalKey" : "3ee313" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "20a71d" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } }, "meta" : { - "globalKey" : "211dc30c" - } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, - "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" - } - } + "globalKey" : "815062c1", + "externalKey" : "p2" } } - } ] + } } - }, - "meta" : { - "globalKey" : "bcbd392a" - } - } ], - "meta" : { - "globalKey" : "d503150b" + } ] } + }, + "meta" : { + "globalKey" : "8e8f9e5b" } - }, + } ], "meta" : { - "globalKey" : "d503150b" + "globalKey" : "ee8b607c" } - }, - "meta" : { - "globalKey" : "d503150b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "ee8b607c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -453,70 +363,112 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "84141f73" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "56544854" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "aab17b18" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" + } ], + "meta" : { + "globalKey" : "aab17b18" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ea0d0bb9" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ef1e6c61" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -630,10 +582,10 @@ } }, "meta" : { - "globalKey" : "617e8e9c" + "globalKey" : "f3b56af4" } }, "meta" : { - "globalKey" : "617e8e9c" + "globalKey" : "f3b56af4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json index c5af935d0d..6ca63a9780 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex03-dividend-swap-short-form-japanese-underlyer.json @@ -1,293 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1734", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ea0d0bb9" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5648", - "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ef1e6c61" - } - } ], - "tradeDate" : { - "value" : "2002-07-19", - "meta" : { - "globalKey" : "3e91d3", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - } - }, + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c0" - } - }, - "meta" : { - "globalKey" : "815062c0" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } } }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - } - }, + }, + "meta" : { + "globalKey" : "815062c0" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "815062c1" - } - }, - "meta" : { - "globalKey" : "815062c1" - } - }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } } }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "JPY" - }, - "meta" : { - "globalKey" : "76109246" - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".N225", + }, + "meta" : { + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "JPY" + }, + "meta" : { + "globalKey" : "76109246" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "specialDividends" : false, + "materialDividend" : false, + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { - "scheme" : "http://example.com/instrumentId" + "globalKey" : "3ed314" } }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XTKS" - }, "meta" : { - "globalKey" : "294564" + "globalKey" : "3ed314" } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XOSE" - }, - "meta" : { - "globalKey" : "293389" - } - } ], - "name" : "NIKKEI 225 INDEX", - "assetClass" : "Equity" + } } }, - "meta" : { - "globalKey" : "4f0d6278" - } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "specialDividends" : false, - "materialDividend" : false, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, - "meta" : { - "globalKey" : "3ed314" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, - "meta" : { - "globalKey" : "3edb13" - } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", "meta" : { - "globalKey" : "22da41" + "globalKey" : "3edb13" } }, "meta" : { - "globalKey" : "211ff630" + "globalKey" : "3edb13" } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, - "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" - } - } - } - }, - "dividendValuationDate" : { + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" + } + }, + "meta" : { + "globalKey" : "211ff630" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { "relativeDate" : { "periodMultiplier" : 3, "period" : "D", @@ -301,77 +210,77 @@ } }, "meta" : { - "globalKey" : "815062c0" + "globalKey" : "815062c0", + "externalKey" : "p1" } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, - "meta" : { - "globalKey" : "3edb14" - } - } - } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, - "meta" : { - "globalKey" : "3ee313" - } - } - } + } + }, + "dividendValuationDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" + } + }, + "meta" : { + "globalKey" : "815062c0" + } + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", "meta" : { - "globalKey" : "22da41" + "globalKey" : "3edb14" } }, "meta" : { - "globalKey" : "211ff630" + "globalKey" : "3edb14" } - }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, - "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" - } + } + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", + "meta" : { + "globalKey" : "3ee313" } + }, + "meta" : { + "globalKey" : "3ee313" } - }, - "dividendValuationDate" : { + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" + } + }, + "meta" : { + "globalKey" : "211ff630" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { "relativeDate" : { "periodMultiplier" : 3, "period" : "D", @@ -385,47 +294,64 @@ } }, "meta" : { - "globalKey" : "815062c1" + "globalKey" : "815062c1", + "externalKey" : "p2" } } - } ] + } + }, + "dividendValuationDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" + } + }, + "meta" : { + "globalKey" : "815062c1" + } } - }, - "meta" : { - "globalKey" : "1f7363c1" - } - } ], - "meta" : { - "globalKey" : "aff17622" + } ] } + }, + "meta" : { + "globalKey" : "5548d91b" } - }, + } ], "meta" : { - "globalKey" : "aff17622" + "globalKey" : "3dde70da" } - }, - "meta" : { - "globalKey" : "aff17622" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "3dde70da" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -453,70 +379,112 @@ "globalKey" : "293389" } } ], - "name" : "NIKKEI 225 INDEX", + "name" : { + "value" : "NIKKEI 225 INDEX" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b04f86ea" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "JPY" + } } }, "meta" : { - "globalKey" : "7ef9301b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "JPY" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "JPY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "f42ff73e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "kow029" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "kom722" + } ], + "meta" : { + "globalKey" : "f42ff73e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "kom722" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ea0d0bb9" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "kow029" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ef1e6c61" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -552,10 +520,10 @@ } } ], "meta" : { - "globalKey" : "da33d15b" + "globalKey" : "e34a2a36" } }, "meta" : { - "globalKey" : "da33d15b" + "globalKey" : "e34a2a36" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json index 854a588d7e..7a89a5b331 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex04-dividend-swap-option-transaction-supplement.json @@ -1,478 +1,397 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2009-01-27", - "meta" : { - "globalKey" : "3ec85b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" + } ], + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } - }, - "meta" : { - "globalKey" : "815062c0" } }, "meta" : { "globalKey" : "815062c0" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "3ea988bb", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "3ea988bb", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } - }, - "meta" : { - "globalKey" : "815062c1" } }, "meta" : { "globalKey" : "815062c1" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "405e615a", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" + } + }, + "meta" : { + "globalKey" : "405e615a", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", - "meta" : { - "scheme" : "http://example.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR" - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT" - }, - "meta" : { - "globalKey" : "2929e8" - } - }, { - "name" : { - "value" : "XMON" - }, - "meta" : { - "globalKey" : "292b94" - } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "f831b3d1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-20", - "meta" : { - "globalKey" : "3ed314" - } - }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-20", "meta" : { "globalKey" : "3ed314" } + }, + "meta" : { + "globalKey" : "3ed314" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-19", - "meta" : { - "globalKey" : "3edb13" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-19", "meta" : { "globalKey" : "3edb13" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3edb13" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } + }, + "meta" : { + "globalKey" : "815062c0", + "externalKey" : "p1" } } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2011-12-20", - "meta" : { - "globalKey" : "3edb14" - } - }, + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2011-12-20", "meta" : { "globalKey" : "3edb14" } + }, + "meta" : { + "globalKey" : "3edb14" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2012-12-19", - "meta" : { - "globalKey" : "3ee313" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2012-12-19", "meta" : { "globalKey" : "3ee313" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3ee313" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } } - } ] - } - }, - "meta" : { - "globalKey" : "43f2c988" + } + } ] } - } ], + }, "meta" : { - "globalKey" : "8b9a0e29" + "globalKey" : "bf312a39" } + } ], + "meta" : { + "globalKey" : "751b051a" } - }, - "meta" : { - "globalKey" : "8b9a0e29" } }, "meta" : { - "globalKey" : "8b9a0e29" + "globalKey" : "751b051a" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "c6635495" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "c6635495" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "3aee40f8" } - }, + } ], "meta" : { - "globalKey" : "c6635495" + "globalKey" : "3aee40f8" } - }, - "meta" : { - "globalKey" : "c6635495" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000, - "unit" : { - "financialUnit" : "IndexUnit" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "meta" : { + "globalKey" : "3aee40f8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000, + "unit" : { + "financialUnit" : "IndexUnit" } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -507,70 +426,111 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "84141f73" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "USD" + } } }, "meta" : { - "globalKey" : "56544854" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "aab17b18" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "aab17b18" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2009-01-27", + "meta" : { + "globalKey" : "3ec85b" + } }, "party" : [ { "partyId" : [ { @@ -612,7 +572,7 @@ } } ], "meta" : { - "globalKey" : "5f4a6037" + "globalKey" : "b922eaa7" } }, "transferHistory" : [ { @@ -663,6 +623,6 @@ } } ], "meta" : { - "globalKey" : "647450de" + "globalKey" : "94f08b4e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json index 46ad3fedc8..cd4aed168e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex05-dividend-swap-option-gs-example.json @@ -1,476 +1,407 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "da4ebf86", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2012-01-27", - "meta" : { - "globalKey" : "3ee05b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "EUTA" - } - } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "EUTA" + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" + } ], + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } - }, - "meta" : { - "globalKey" : "815062c0" } }, "meta" : { "globalKey" : "815062c0" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } - }, - "meta" : { - "globalKey" : "815062c1" } }, "meta" : { "globalKey" : "815062c1" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "aadcf9f2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "externalReference" : "valuationDate" - } - } - }, - "meta" : { - "globalKey" : "aadcf9f2" - } - }, - "meta" : { - "globalKey" : "9ced0287" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" } + } + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".STOX50E", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "aadcf9f2" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "20a71d" } }, - "name" : "STOXX 50 Euro", - "assetClass" : "Equity" + "dateRelativeTo" : { + "externalReference" : "valuationDate" + } } }, "meta" : { - "globalKey" : "395d4b10" + "globalKey" : "aadcf9f2" } }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-20", - "meta" : { - "globalKey" : "3efb14" - } - }, + "meta" : { + "globalKey" : "9ced0287" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-20", "meta" : { "globalKey" : "3efb14" } + }, + "meta" : { + "globalKey" : "3efb14" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f00d3" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } + }, + "meta" : { + "globalKey" : "815062c0", + "externalKey" : "p1" } } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } + }, + "meta" : { + "globalKey" : "3f00d3" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-06-20", - "meta" : { - "globalKey" : "3f0194" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-06-20", "meta" : { "globalKey" : "3f0194" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f0194" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } } - } ] - } - }, - "meta" : { - "globalKey" : "94b11e35" + } + } ] } - } ], + }, "meta" : { - "globalKey" : "14ce86f4" + "globalKey" : "29efa045" } + } ], + "meta" : { + "globalKey" : "2c4cef84" } - }, - "meta" : { - "globalKey" : "14ce86f4" } }, "meta" : { - "globalKey" : "14ce86f4" + "globalKey" : "2c4cef84" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "a6456f76" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "a6456f76" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "29f578cc" } - }, + } ], "meta" : { - "globalKey" : "a6456f76" + "globalKey" : "29f578cc" } - }, - "meta" : { - "globalKey" : "a6456f76" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "index" : { + "meta" : { + "globalKey" : "29f578cc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -493,70 +424,111 @@ "globalKey" : "290e4a" } }, - "name" : "STOXX 50 Euro", + "name" : { + "value" : "STOXX 50 Euro" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "5586d526" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "EUR" + } } }, "meta" : { - "globalKey" : "57563a43" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, "meta" : { - "globalKey" : "3cec7ea0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "da4ebf86", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "3cec7ea0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "da4ebf86", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "da4ebf86", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2012-01-27", + "meta" : { + "globalKey" : "3ee05b" + } }, "party" : [ { "partyId" : [ { @@ -599,7 +571,7 @@ } } ], "meta" : { - "globalKey" : "40b49522" + "globalKey" : "761b09c3" } }, "transferHistory" : [ { @@ -650,6 +622,6 @@ } } ], "meta" : { - "globalKey" : "8c57d4e9" + "globalKey" : "7502b68a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json index b006e80279..0d65a2018d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/dividend-swaps/div-ex06-dividend-swap-option-pred-clearing.json @@ -1,482 +1,414 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "1805a374", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnDividend_Index" } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2012-01-27", - "meta" : { - "globalKey" : "3ee05b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "a7504715" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", - "meta" : { - "globalKey" : "5d273b4a" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "EUTA" - } - } - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" - } ], - "economicTerms" : { - "payout" : { - "fixedPricePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "a7504715" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", + "meta" : { + "globalKey" : "5d273b4a" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "EUTA" + } + } + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDividend_Index" + } ], + "economicTerms" : { + "payout" : { + "fixedPricePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } - }, - "meta" : { - "globalKey" : "815062c0" } }, "meta" : { "globalKey" : "815062c0" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cac1849d", - "externalKey" : "d1" + "globalKey" : "815062c0" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } + } + }, + "meta" : { + "globalKey" : "cac1849d", + "externalKey" : "d1" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } - }, - "meta" : { - "globalKey" : "815062c1" } }, "meta" : { "globalKey" : "815062c1" } }, - "fixedPrice" : { - "price" : { - "value" : { - "value" : 0.045, - "priceType" : "Dividend" - } - } - }, "meta" : { - "globalKey" : "cc765d3c", - "externalKey" : "d2" + "globalKey" : "815062c1" + } + }, + "fixedPrice" : { + "price" : { + "value" : { + "value" : 0.045, + "priceType" : "Dividend" + } } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "cc765d3c", + "externalKey" : "d2" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "aadcf9f2" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "aadcf9f2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "externalReference" : "valuationDate" + "globalKey" : "20a71d" } + }, + "dateRelativeTo" : { + "externalReference" : "valuationDate" } - }, - "meta" : { - "globalKey" : "aadcf9f2" } }, "meta" : { - "globalKey" : "9ced0287" + "globalKey" : "aadcf9f2" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".STOX50E", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - } ], - "relatedExchange" : [ { - "name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "290e4a" - } - } ], - "name" : "STOXX 50 Euro", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "a29f5adf" + "meta" : { + "globalKey" : "9ced0287" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - }, - "returnTerms" : { - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "cashRatio" : 1.0, - "nonCashRatio" : 1.0 - } ], - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-20", - "meta" : { - "globalKey" : "3efb14" - } - }, + } + }, + "returnTerms" : { + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "cashRatio" : 1.0, + "nonCashRatio" : 1.0 + } ], + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-20", "meta" : { "globalKey" : "3efb14" } + }, + "meta" : { + "globalKey" : "3efb14" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f00d3" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c0" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e1" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c0", - "externalKey" : "p1" + "globalKey" : "815062c0" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e1" } + }, + "meta" : { + "globalKey" : "815062c0", + "externalKey" : "p1" } } } - }, { - "startDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-03-19", - "meta" : { - "globalKey" : "3f00d3" - } - }, + } + }, { + "startDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-03-19", "meta" : { "globalKey" : "3f00d3" } + }, + "meta" : { + "globalKey" : "3f00d3" } } - }, - "endDate" : { - "dividendDate" : { - "value" : { - "adjustableDate" : { - "unadjustedDate" : "2016-06-20", - "meta" : { - "globalKey" : "3f0194" - } - }, + } + }, + "endDate" : { + "dividendDate" : { + "value" : { + "adjustableDate" : { + "unadjustedDate" : "2016-06-20", "meta" : { "globalKey" : "3f0194" } - } - } - }, - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], + }, "meta" : { - "globalKey" : "20a71d" + "globalKey" : "3f0194" } - }, + } + } + }, + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "211dc30c" + "globalKey" : "20a71d" } }, - "dividendPaymentDate" : { - "dividendDate" : { - "value" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "815062c1" - }, - "dayType" : "Calendar", - "businessDayConvention" : "FOLLOWING", - "dateRelativeTo" : { - "externalReference" : "e2" - } - }, + "meta" : { + "globalKey" : "211dc30c" + } + }, + "dividendPaymentDate" : { + "dividendDate" : { + "value" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "815062c1", - "externalKey" : "p2" + "globalKey" : "815062c1" + }, + "dayType" : "Calendar", + "businessDayConvention" : "FOLLOWING", + "dateRelativeTo" : { + "externalReference" : "e2" } + }, + "meta" : { + "globalKey" : "815062c1", + "externalKey" : "p2" } } } - } ] - } - }, - "meta" : { - "globalKey" : "c4d9263a" + } + } ] } - } ], + }, "meta" : { - "globalKey" : "4d1c299b" + "globalKey" : "29efa045" } + } ], + "meta" : { + "globalKey" : "2c4cef84" } - }, - "meta" : { - "globalKey" : "4d1c299b" } }, "meta" : { - "globalKey" : "4d1c299b" + "globalKey" : "2c4cef84" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "56886781" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "56886781" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "d0c1e92a" } - }, + } ], "meta" : { - "globalKey" : "56886781" + "globalKey" : "d0c1e92a" } - }, - "meta" : { - "globalKey" : "56886781" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "index" : { + "meta" : { + "globalKey" : "d0c1e92a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -498,77 +430,118 @@ "globalKey" : "290e4a" } } ], - "name" : "STOXX 50 Euro", + "name" : { + "value" : "STOXX 50 Euro" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "76842d35" + } + }, { + "quantity" : [ { + "value" : { + "value" : 50000, + "unit" : { + "currency" : { + "value" : "EUR" + } } }, "meta" : { - "globalKey" : "78539252" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 50000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "value" : { + "value" : 56000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - }, { - "value" : { - "value" : 56000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, "meta" : { - "globalKey" : "3cec7ea0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3815f38", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "3cec7ea0" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1805a374", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1805a374", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3815f38", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] - } ] + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "1805a374", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2012-01-27", + "meta" : { + "globalKey" : "3ee05b" + } }, "party" : [ { "partyId" : [ { @@ -630,7 +603,7 @@ } } ], "meta" : { - "globalKey" : "e84f3793" + "globalKey" : "40b4e5" } }, "transferHistory" : [ { @@ -681,6 +654,6 @@ } } ], "meta" : { - "globalKey" : "6ffe745a" + "globalKey" : "f2019bac" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.json index 7da1f1782e..7822cad2fa 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex02-calendar-spread-short-form.json @@ -1,191 +1,183 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/tradeId/OTC" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "calendarSpread" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "calendarSpread" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb080ed3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb080ed3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "6bfa93dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "priceType" : "AssetPrice" + "globalKey" : "eb080ed3" } }, "meta" : { - "globalKey" : "f810a4c1" + "globalKey" : "eb080ed3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "f810a4c1" + "globalKey" : "6bfa93dd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e5e097d6" } - }, + } ], "meta" : { - "globalKey" : "c35c8fcc" + "globalKey" : "e5e097d6" } }, - "meta" : { - "globalKey" : "c35c8fcc" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "e10cd3bf" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -220,53 +212,60 @@ } }, "meta" : { - "globalKey" : "351745bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "unit" : { - "financialUnit" : "Share" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, + "meta" : { + "globalKey" : "f4ec9019" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "PartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "147efd57" + "scheme" : "http://www.partyA.com/tradeId/OTC" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "PartyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -350,7 +349,7 @@ } }, "meta" : { - "globalKey" : "2e7d7c85" + "globalKey" : "aba4a21c" } }, "transferHistory" : [ { @@ -401,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "da69028" + "globalKey" : "396c20bf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.json index ce60879895..20e15fc9ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex03-call-or-put-spread-short-form.json @@ -1,191 +1,183 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/tradeId/OTC" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "putSpread" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "putSpread" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "46648bdd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "46648bdd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a41f90e5" } - }, + } ], "meta" : { - "globalKey" : "9fa3392e" + "globalKey" : "a41f90e5" } }, - "meta" : { - "globalKey" : "9fa3392e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "5a05cddd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -220,53 +212,60 @@ } }, "meta" : { - "globalKey" : "351745bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "unit" : { - "financialUnit" : "Share" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, + "meta" : { + "globalKey" : "f1ab8d2c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "47eb8b24" + "scheme" : "http://www.partyA.com/tradeId/OTC" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -350,7 +349,7 @@ } }, "meta" : { - "globalKey" : "d8c0d7e0" + "globalKey" : "fe9b693d" } }, "transferHistory" : [ { @@ -401,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "9f2563c7" + "globalKey" : "b828ee24" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json index 1f0f251040..09750f7c62 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex07-barrier-knockout-rebate-long-form.json @@ -1,45 +1,100 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2002-07-01", - "meta" : { - "globalKey" : "3e91c1" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "108646a1" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "eb62db03", + "externalReference" : "expirationDate" + } + } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" + "meta" : { + "globalKey" : "108646a1" + } + }, + "meta" : { + "globalKey" : "2964f36" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "barrier" : { + "barrierCap" : { + "schedule" : [ { + "startDate" : "2002-03-29", + "endDate" : "2002-07-12", + "averagingPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" + }, + "rollConvention" : "NONE" + } + } ], + "trigger" : { + "level" : [ { + "value" : 1606.346, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } ] }, - "settlementDate" : { - "adjustableOrRelativeDate" : { + "featurePayment" : { + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "receiverPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, + "amount" : 15000000, + "time" : "Close", + "currency" : { + "value" : "EUR" + }, + "paymentDate" : { "relativeDate" : { "periodMultiplier" : 3, "period" : "D", @@ -60,277 +115,170 @@ "globalReference" : "eb62db03", "externalReference" : "expirationDate" } + }, + "meta" : { + "globalKey" : "108646a1" } }, "meta" : { - "globalKey" : "108646a1" + "globalKey" : "9c450d4" } - }, - "meta" : { - "globalKey" : "2964f36" } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "barrier" : { - "barrierCap" : { - "schedule" : [ { - "startDate" : "2002-03-29", - "endDate" : "2002-07-12", - "averagingPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } - } ], - "trigger" : { - "level" : [ { - "value" : 1606.346, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" - } ] + } + }, + "knock" : { + "knockOut" : { + "schedule" : [ { + "startDate" : "2002-07-26", + "endDate" : "2005-10-11", + "averagingPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" }, - "featurePayment" : { - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, - "amount" : 15000000, - "time" : "Close", + "rollConvention" : "NONE" + } + } ], + "trigger" : { + "level" : [ { + "value" : 1.50, + "unit" : { "currency" : { "value" : "EUR" - }, - "paymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "108646a1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "eb62db03", - "externalReference" : "expirationDate" - } - }, - "meta" : { - "globalKey" : "108646a1" - } - }, - "meta" : { - "globalKey" : "9c450d4" } - } - } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } ] }, - "knock" : { - "knockOut" : { - "schedule" : [ { - "startDate" : "2002-07-26", - "endDate" : "2005-10-11", - "averagingPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } - } ], - "trigger" : { - "level" : [ { - "value" : 1.50, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" - } ] + "featurePayment" : { + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "featurePayment" : { - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, - "amount" : 880000, - "time" : "SpecificTime", - "currency" : { - "value" : "EUR" - }, - "paymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "108646a1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "eb62db03", - "externalReference" : "expirationDate" - } - }, - "meta" : { - "globalKey" : "108646a1" - } - }, - "meta" : { - "globalKey" : "e83e310e" - } + "receiverPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" } - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".STOX50E", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } + }, + "amount" : 880000, + "time" : "SpecificTime", + "currency" : { + "value" : "EUR" + }, + "paymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "108646a1" }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XEUR", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "290e4a" - } - }, - "name" : "STOXX 50 Euro", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "cf7b4c1e" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-10-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "dateRelativeTo" : { + "globalReference" : "eb62db03", + "externalReference" : "expirationDate" } }, "meta" : { - "globalKey" : "eb62db03" + "globalKey" : "108646a1" } }, "meta" : { - "globalKey" : "eb62db03", - "externalKey" : "expirationDate" + "globalKey" : "e83e310e" } - } ], - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-10-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "dfa6090b" + "globalKey" : "eb62db03" } }, "meta" : { - "globalKey" : "ef89c121" + "globalKey" : "eb62db03", + "externalKey" : "expirationDate" } } ], + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "ef89c121" + "globalKey" : "dfa6090b" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "84c7a303" } - }, + } ], "meta" : { - "globalKey" : "8069e5cb" + "globalKey" : "84c7a303" } }, - "meta" : { - "globalKey" : "8069e5cb" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 8000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "bdb6d72d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 8000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -353,36 +301,67 @@ "globalKey" : "290e4a" } }, - "name" : "STOXX 50 Euro", + "name" : { + "value" : "STOXX 50 Euro" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "117f19cc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "14c4f646" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2002-07-01", + "meta" : { + "globalKey" : "3e91c1" + } }, "party" : [ { "partyId" : [ { @@ -468,7 +447,7 @@ } }, "meta" : { - "globalKey" : "647aef46" + "globalKey" : "80a972a8" } }, "transferHistory" : [ { @@ -519,6 +498,6 @@ } } ], "meta" : { - "globalKey" : "435c2eb" + "globalKey" : "4848c04d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.json index 5a14d12731..c0ba264a2f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex10-binary-barrier-long-form.json @@ -1,268 +1,205 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/eqd-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2002-03-25", - "meta" : { - "globalKey" : "3e90d9" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "e6ba387a" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "eb053691", - "externalReference" : "expirationDate" - } - } - }, + "product" : { + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { "globalKey" : "e6ba387a" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "eb053691", + "externalReference" : "expirationDate" } - }, - "meta" : { - "globalKey" : "5400005" } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "feature" : { - "barrier" : { - "barrierCap" : { - "schedule" : [ { - "startDate" : "2002-03-29", - "endDate" : "2002-07-12", - "averagingPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } - } ], - "trigger" : { - "level" : [ { - "value" : 1606.346, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" - } ] + "meta" : { + "globalKey" : "e6ba387a" + } + }, + "meta" : { + "globalKey" : "5400005" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "feature" : { + "barrier" : { + "barrierCap" : { + "schedule" : [ { + "startDate" : "2002-03-29", + "endDate" : "2002-07-12", + "averagingPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" }, - "featurePayment" : { - "payerReceiver" : { - "payerPartyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "receiverPartyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, - "amount" : 15000000, - "time" : "Close", + "rollConvention" : "NONE" + } + } ], + "trigger" : { + "level" : [ { + "value" : 1606.346, + "unit" : { "currency" : { "value" : "EUR" - }, - "paymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "6203a7f4" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "eb053691", - "externalReference" : "expirationDate" - } - }, - "meta" : { - "globalKey" : "6203a7f4" - } - }, - "meta" : { - "globalKey" : "b16cc3a7" } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" + } ] + }, + "featurePayment" : { + "payerReceiver" : { + "payerPartyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "receiverPartyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" } - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SP500", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + }, + "amount" : 15000000, + "time" : "Close", + "currency" : { + "value" : "EUR" + }, + "paymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "293090" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } + "globalKey" : "6203a7f4" }, - "meta" : { - "globalKey" : "290478" - } - } ], - "name" : "S and P 500", - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "334628e7" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2002-06-25", - "dateAdjustments" : { "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "dateRelativeTo" : { + "globalReference" : "eb053691", + "externalReference" : "expirationDate" } }, "meta" : { - "globalKey" : "eb053691" + "globalKey" : "6203a7f4" } }, "meta" : { - "globalKey" : "eb053691", - "externalKey" : "expirationDate" + "globalKey" : "b16cc3a7" } - } ], - "expirationTimeType" : "SpecificTime", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2002-06-25", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "24ae9677" - } - }, - "strike" : { - "strikePrice" : { - "value" : 900, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "IndexUnit" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb053691" } }, "meta" : { - "globalKey" : "e4058293" + "globalKey" : "eb053691", + "externalKey" : "expirationDate" } } ], + "expirationTimeType" : "SpecificTime", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "e4058293" + "globalKey" : "24ae9677" + } + }, + "strike" : { + "strikePrice" : { + "value" : 900, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "IndexUnit" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "680375d4" } - }, + } ], "meta" : { - "globalKey" : "44fb12bd" + "globalKey" : "680375d4" } }, - "meta" : { - "globalKey" : "44fb12bd" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "c14939be" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -296,36 +233,67 @@ "globalKey" : "290478" } } ], - "name" : "S and P 500", + "name" : { + "value" : "S and P 500" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "daaadf32" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "ba97d810" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.PartyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2002-03-25", + "meta" : { + "globalKey" : "3e90d9" + } }, "party" : [ { "partyId" : [ { @@ -411,7 +379,7 @@ } }, "meta" : { - "globalKey" : "90901436" + "globalKey" : "42790f3d" } }, "transferHistory" : [ { @@ -462,6 +430,6 @@ } } ], "meta" : { - "globalKey" : "16c4ccf" + "globalKey" : "742662d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.json index f620234f55..50c7fc107b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex12-vanilla-short-form.json @@ -1,191 +1,183 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.PartyA.com/tradeId/OTC" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "putSpread" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "putSpread" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Put", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "46648bdd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "a3effe52" + "globalKey" : "46648bdd" + } + }, + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "a41f90e5" } - }, + } ], "meta" : { - "globalKey" : "9fa3392e" + "globalKey" : "a41f90e5" } }, - "meta" : { - "globalKey" : "9fa3392e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "asset" : { + "meta" : { + "globalKey" : "5a05cddd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "unit" : { + "financialUnit" : "Share" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -220,53 +212,60 @@ } }, "meta" : { - "globalKey" : "351745bc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "unit" : { - "financialUnit" : "Share" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + }, + "meta" : { + "globalKey" : "f1ab8d2c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", "meta" : { - "globalKey" : "47eb8b24" + "scheme" : "http://www.PartyA.com/tradeId/OTC" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -350,7 +349,7 @@ } }, "meta" : { - "globalKey" : "d8c0d7e0" + "globalKey" : "fe9b693d" } }, "transferHistory" : [ { @@ -401,6 +400,6 @@ } } ], "meta" : { - "globalKey" : "9f2563c7" + "globalKey" : "b828ee24" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.json index 0aa6ca5ad7..cb4fc85059 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex13-1996-american-call-stock.json @@ -1,236 +1,202 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/eqd-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Option:PriceReturnBasicPerformance:SingleName" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "settlementTerms" : { + "settlementType" : "Physical", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "ce8204b9" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "eae7f1c5" } }, - "settlementTerms" : { - "settlementType" : "Physical", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "ce8204b9" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "STM-FP", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.0/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "STMicroelectronics N.V. ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNSE", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.0/exchangeId" - } - }, - "meta" : { - "globalKey" : "292fc8" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "351745bc" - } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2001-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2001-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - }, - "meta" : { - "globalKey" : "eaea06d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "419412dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eaea06d3" } }, "meta" : { - "globalKey" : "2e460a52" + "globalKey" : "eaea06d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "2e460a52" + "globalKey" : "419412dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "5a5ea356" } - }, + } ], "meta" : { - "globalKey" : "2468444a" + "globalKey" : "5a5ea356" } }, - "meta" : { - "globalKey" : "2468444a" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "145f5cce" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 31000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 150000, + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00, "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00, - "unit" : { - "financialUnit" : "Share" - } + "financialUnit" : "Share" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -265,30 +231,59 @@ } }, "meta" : { - "globalKey" : "cdb71031" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a81a0c6d" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/eqd-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd" + } }, "party" : [ { "partyId" : [ { @@ -374,7 +369,7 @@ } }, "meta" : { - "globalKey" : "9eeaa0b1" + "globalKey" : "66cce2e9" } }, "transferHistory" : [ { @@ -425,6 +420,6 @@ } } ], "meta" : { - "globalKey" : "c1a73424" + "globalKey" : "e1f44e5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.json index c5d1a7d740..81ec1fc474 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-options/eqd-ex26-mixed-asset-basket.json @@ -1,462 +1,415 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918657" - } - } ], - "tradeDate" : { - "value" : "2001-07-13", - "meta" : { - "globalKey" : "3e89cd", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Election", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "4790ef7b" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-07-13", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Election", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "4790ef7b" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "basket" : { - "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 3, - "unit" : { - "financialUnit" : "IndexUnit" - } - } - } ] - }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "COPPER-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ZINC-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NICKEL-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" - } - } - } ] - } ] - }, - "meta" : { - "globalKey" : "ded2b0fd" + "globalKey" : "eae7f1c5" } }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-07-13", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "meta" : { - "globalKey" : "eae7f1c5" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2005-09-27", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb6226d3" - } - }, + "meta" : { + "globalKey" : "eae7f1c5" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2005-09-27", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "eb6226d3" - } - } ], - "latestExerciseTime" : { - "hourMinuteTime" : "17:15:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTimeType" : "Close", - "multipleExercise" : { - "integralMultipleAmount" : 1, - "minimumNumberOfOptions" : 1, - "maximumNumberOfOptions" : 150000 - }, - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "aedc32dd" - } - }, - "strike" : { - "strikePrice" : { - "value" : 32.00, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "globalKey" : "eb6226d3" } }, "meta" : { - "globalKey" : "9a0b8b95" + "globalKey" : "eb6226d3" } } ], + "latestExerciseTime" : { + "hourMinuteTime" : "17:15:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTimeType" : "Close", + "multipleExercise" : { + "integralMultipleAmount" : 1, + "minimumNumberOfOptions" : 1, + "maximumNumberOfOptions" : 150000 + }, + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "9a0b8b95" + "globalKey" : "aedc32dd" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "strike" : { + "strikePrice" : { + "value" : 32.00, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + } + }, + "meta" : { + "globalKey" : "ff854c98" } - }, + } ], "meta" : { - "globalKey" : "91a2e33f" + "globalKey" : "ff854c98" } }, - "meta" : { - "globalKey" : "91a2e33f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000, - "unit" : { - "financialUnit" : "Contract" - }, - "multiplier" : { - "value" : 1.00 + "meta" : { + "globalKey" : "7fb06f82" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 2.70, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 150000, + "unit" : { + "financialUnit" : "Contract" + }, + "multiplier" : { + "value" : 1.00 } - } ], + }, "meta" : { - "globalKey" : "98dd29f9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - }, { - "priceQuantity" : [ { - "observable" : { - "basket" : { + } ], + "observable" : { + "value" : { + "Basket" : { "basketConstituent" : [ { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "FXI", - "meta" : { - "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" - } + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "FXI", + "meta" : { + "scheme" : "http://www.ftse.com/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "name" : { + "value" : "FTSE/Xinhua China 25 Index" }, - "identifierType" : "Other" - } ], - "name" : "FTSE/Xinhua China 25 Index", - "assetClass" : "Equity" - } - }, - "quantity" : [ { - "value" : { - "value" : 3, - "unit" : { - "financialUnit" : "IndexUnit" + "assetClass" : "Equity" } - } - } ] + }, + "quantity" : [ { + "value" : { + "value" : 3, + "unit" : { + "financialUnit" : "IndexUnit" + } + } + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-1" + } ] + } }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "COPPER-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "COPPER-LME CASH", + "meta" : { + "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-1" + } ] } } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-2" + } ] + } }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "ZINC-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "ZINC-LME CASH", + "meta" : { + "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-3" + } ] } } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-3" + } ] + } }, { - "asset" : { - "Commodity" : { - "identifier" : [ { - "identifier" : { - "value" : "NICKEL-LME CASH", - "meta" : { - "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + "value" : { + "Asset" : { + "Commodity" : { + "value" : { + "identifier" : [ { + "identifier" : { + "value" : "NICKEL-LME CASH", + "meta" : { + "scheme" : "http://www.lme.co.uk/coding-scheme/instrument-id" + } + }, + "identifierType" : "Other" + } ], + "priceQuoteType" : "Settlement", + "deliveryDateReference" : { + "deliveryNearby" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } }, - "identifierType" : "Other" - } ], - "priceQuoteType" : "Settlement", - "deliveryDateReference" : { - "deliveryNearby" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "Commodity-2" + } ] } } - } - }, - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "financialUnit" : "Weight" + }, + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "financialUnit" : "Weight" + } } - } - } ] + } ] + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "basketConstituent-4" + } ] + } } ] } }, "meta" : { - "globalKey" : "ded2b0fd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "2dbcd94c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "95918657" + } + } ], + "tradeDate" : { + "value" : "2001-07-13", + "meta" : { + "globalKey" : "3e89cd", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -522,7 +475,7 @@ } }, "meta" : { - "globalKey" : "b32a9287" + "globalKey" : "6501222" } }, "transferHistory" : [ { @@ -573,6 +526,6 @@ } } ], "meta" : { - "globalKey" : "c1c483fa" + "globalKey" : "355ba295" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.json index 4962b85671..38e566ef99 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex01-single-underlyer-execution-long-form.json @@ -1,501 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : 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"role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -701,10 +689,10 @@ } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } }, "meta" : { - "globalKey" : "484bd20e" + "globalKey" : "b0a66816" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.json index 8dfb81b1f3..0489844be6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex02-composite-basket-long-form.json @@ -1,1289 +1,927 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1245", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : 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"FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bc36cf4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "HKHK" - } ], - "meta" : { - "globalKey" : "41619c9", - "externalKey" : "PrimaryBusinessCenter" - } - }, - "dateRelativeTo" : { - "globalReference" : "60230b82", - "externalReference" : "InterimValuationDate" - } - }, - "meta" : { - "globalKey" : "bc36cf4", - "externalKey" : "InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "bb917ef4" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCentersReference" : { - "globalReference" : "41619c9", - "externalReference" : "PrimaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "25690940", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "97348ac2" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bc36cf4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "HKHK" + } ], "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "41619c9", + "externalKey" : "PrimaryBusinessCenter" } + }, + "dateRelativeTo" : { + "globalReference" : "60230b82", + "externalReference" : "InterimValuationDate" } }, "meta" : { - "globalKey" : "94f84ae8", - "externalKey" : "EquityPaymentDate" + "globalKey" : "bc36cf4", + "externalKey" : "InterimEquityPaymentDate" } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FCHI", - "meta" : { - "scheme" : "http://www.example.com/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XPAR", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "293529" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XMAT", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "2929e8" - } - }, { - "name" : { - "value" : "XMON", - "meta" : { - "scheme" : "http://www.example.com/exchange-id" - } - }, - "meta" : { - "globalKey" : "292b94" - } - } ], - "name" : "France CAC 40 Index", - "assetClass" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "41619c9", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "25690940", + "externalReference" : "FinalValuationDate" } }, "meta" : { - "globalKey" : "f831b3d1" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "80a9fbfc" } - } ], + }, "meta" : { - "globalKey" : "30f26bd5" + "globalKey" : "94f84ae8", + "externalKey" : "EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "4328d66d" } - }, + } ], "meta" : { - "globalKey" : "59e435d8" + "globalKey" : "49feba86" } }, - "meta" : { - "globalKey" : "59e435d8" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 5591987.41, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5591987.41, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "b27cb089" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 5591987.41, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5591987.41, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -516,92 +426,153 @@ "globalKey" : "292b94" } } ], - "name" : "France CAC 40 Index", + "name" : { + "value" : "France CAC 40 Index" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "83c42cbb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0050, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "4a0c7ec" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0050, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8a708821" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c0cf9ff6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1734", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9591991c" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5648", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "9593db59" + } + } ], + "tradeDate" : { + "value" : "2002-07-19", + "meta" : { + "globalKey" : "3e91d3", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -687,10 +658,10 @@ } }, "meta" : { - "globalKey" : "6291d22a" + "globalKey" : "a608d0fd" } }, "meta" : { - "globalKey" : "6291d22a" + "globalKey" : "a608d0fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.json index cc4ace4355..310736ba40 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex07-long-form-with-stub.json @@ -1,1023 +1,859 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "95918657" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "5678", - "meta" : { - "scheme" : "http://http://www.partyB.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "9593dbb6" - } - } ], - "tradeDate" : { - "value" : "2002-07-17", - "meta" : { - "globalKey" : "3e91d1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-07-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "252cf57f" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Basket" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-07-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + }, + "meta" : { + "globalKey" : "252cf57f", + "externalKey" : "EffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-20", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "252cf57f" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "252cf57f", - "externalKey" : "EffectiveDate" + "globalKey" : "da3b6050" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-20", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, - "meta" : { - "globalKey" : "5beec7fc" + "meta" : { + "globalKey" : "5beec7fc" + } + }, + "meta" : { + "globalKey" : "5beec7fc", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "5beec7fc", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e91d1", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "a64d7697" - }, - "businessDayConvention" : "NotApplicable", - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "34302a04", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "a64d7697" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0e05395", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "505b312d" - }, - "businessDayConvention" : "NotApplicable", - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "37b3ad1", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "505b312d" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "505b312d" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d1", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0e05395", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" - } - }, - "stubPeriod" : { - "initialStub" : { - "stubRate" : 0.02125 + "globalKey" : "a64d7697" }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "W", - "meta" : { - "globalKey" : "76" - } - } - } ] + "businessDayConvention" : "NotApplicable", + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenter" + }, + "dateRelativeTo" : { 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: [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918657" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "5678", + "meta" : { + "scheme" : "http://http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "9593dbb6" + } + } ], + "tradeDate" : { + "value" : "2002-07-17", + "meta" : { + "globalKey" : "3e91d1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1103,10 +939,10 @@ } }, "meta" : { - "globalKey" : "20cf39c3" + "globalKey" : "e3b62caa" } }, "meta" : { - "globalKey" : "20cf39c3" + "globalKey" : "e3b62caa" } } \ No newline at end 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"name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:Basket" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Basket" } ], - "meta" : { - "globalKey" : "95918677" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "4569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e91d1", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95936378" - } - } ], - "tradeDate" : { - "value" : "2002-07-17", - "meta" : { - "globalKey" : "3e91d1", - 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"party2" + }, + "meta" : { + "globalKey" : "69763fb6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1245", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "95918677" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "4569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95936378" + } + } ], + "tradeDate" : { + "value" : "2002-07-17", + "meta" : { + "globalKey" : "3e91d1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -1507,10 +1145,10 @@ } }, "meta" : { - "globalKey" : "29417c4c" + "globalKey" : "7ce79439" } }, "meta" : { - "globalKey" : "29417c4c" + "globalKey" : "7ce79439" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.json index 1729a1d94a..23319b525a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex09-compounding-swap.json @@ -1,413 +1,351 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "3cfd166", - "externalReference" : "BankB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRADEABC", - "meta" : { - "scheme" : "TradeRefNbr" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "f6c3958" - } - } ], - "tradeDate" : { - "value" : "2008-01-01", - "meta" : { - "globalKey" : "3ec041" - } - }, - "tradableProduct" : { - "product" : { - 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"ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2009-01-01" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25f944ac" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2009-01-01" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f944ac" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "f85ffd21", - "externalKey" : "equityValuationDates" + "globalKey" : "25f944ac" } }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "meta" : { - "globalKey" : "524b126b" - } + "meta" : { + "globalKey" : "25f944ac" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "f85ffd21", - "externalReference" : "equityValuationDates" - } - }, - "meta" : { - "globalKey" : "7e0a5d94" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "7e0a5d94" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "f85ffd21", - "externalReference" : "equityValuationDates" - } - }, - "meta" : { - "globalKey" : "7e0a5d94", - "externalKey" : "finalCashSettlementPaymentDate" - } + "meta" : { + "globalKey" : "f85ffd21", + "externalKey" : "equityValuationDates" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "meta" : { + "globalKey" : "524b126b" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "f85ffd21", + "externalReference" : "equityValuationDates" } }, "meta" : { - "globalKey" : "e5f7e728", - "externalKey" : "CashSettlementPaymentDate" + "globalKey" : "7e0a5d94" } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".SPX", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "N", - "meta" : { - "scheme" : "http://www.abc.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "4e" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "ALL", - "meta" : { - "scheme" : "http://www.abc.com/exchange-id-REC-1-0" - } - }, - "meta" : { - "globalKey" : "fd81" - } - } ], - "assetClass" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "7e0a5d94" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "f85ffd21", + "externalReference" : "equityValuationDates" } }, "meta" : { - "globalKey" : "5824be2" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + "globalKey" : "7e0a5d94", + "externalKey" : "finalCashSettlementPaymentDate" } - }, - "meta" : { - "globalKey" : "c1abe542" } - } ], + }, "meta" : { - "globalKey" : "ab299352" + "globalKey" : "e5f7e728", + "externalKey" : "CashSettlementPaymentDate" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "mutualEarlyTermination" : false - }, - "meta" : { - "globalKey" : "4d5" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "5a33c7a4" } - }, + } ], "meta" : { - "globalKey" : "4678314a" + "globalKey" : "3eb451b4" } }, - "meta" : { - "globalKey" : "4678314a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : false }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4d5" } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "USD" - } + } + } + }, + "meta" : { + "globalKey" : "422217ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -446,73 +384,121 @@ } }, "meta" : { - "globalKey" : "23dc2851" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "9a1bad0d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519d790" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3cfd165", - "externalReference" : "BankA" + }, + "meta" : { + "globalKey" : "a48d1976" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cfd166", - "externalReference" : "BankB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "3cfd165", + "externalReference" : "BankA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cfd166", + "externalReference" : "BankB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "3cfd166", + "externalReference" : "BankB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRADEABC", + "meta" : { + "scheme" : "TradeRefNbr" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "f6c3958" + } + } ], + "tradeDate" : { + "value" : "2008-01-01", + "meta" : { + "globalKey" : "3ec041" + } }, "party" : [ { "partyId" : [ { @@ -603,10 +589,10 @@ } }, "meta" : { - "globalKey" : "a62d06f" + "globalKey" : "fd946201" } }, "meta" : { - "globalKey" : "a62d06f" + "globalKey" : "fd946201" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json index b8809d9fff..cdd4897c95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex10-short-form-interestLeg-driving-schedule-dates.json @@ -1,217 +1,146 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "72ad7ed7", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "124897", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-02", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25dff1ad" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + "globalKey" : "25dff1ad" } - } - } ], - "meta" : { - "globalKey" : "ebf10858" - } - }, { - "issuerReference" : { - "globalReference" : "72ad8d67", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "124897", + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "25dff92f" + } + }, "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + "globalKey" : "25dff92f" } - } - } ], - "meta" : { - "globalKey" : "ebf17cb7" - } - } ], - "tradeDate" : { - "value" : "2008-06-02", - "meta" : { - "globalKey" : "3ec182" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-02", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25dff1ad" + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, "meta" : { - "globalKey" : "25dff1ad" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, "meta" : { - "globalKey" : "25dff92f" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "25dff92f" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e56d3bea" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "e56d3bea" + "globalKey" : "365baaee" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "e56d3bea" + } + }, + "meta" : { + "globalKey" : "e56d3bea" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-04", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "8c3233ea" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "8c3233ea" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "c1e5d4", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "8c3233ea" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-06-04", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e56d3bea" - } - }, - "meta" : { - "globalKey" : "e56d3bea" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18c9" - }, - "rollConvention" : "4" - }, - "periodDatesAdjustments" : { + "meta" : { + "globalKey" : "8c3233ea" + } + }, + "meta" : { + "globalKey" : "c1e5d4", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-06-04", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -224,304 +153,316 @@ "meta" : { "globalKey" : "365baaee" } + }, + "meta" : { + "globalKey" : "e56d3bea" } }, "meta" : { - "globalKey" : "9f0f331b" + "globalKey" : "e56d3bea" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18c9" + }, + "rollConvention" : "4" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } - } ] - }, - "meta" : { - "globalKey" : "9f0f331b", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c1e5d4", - "externalReference" : "interestCalcPeriodDates" - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" } }, "meta" : { - "globalKey" : "8325f327" + "globalKey" : "9f0f331b" } - }, + } ] + }, + "meta" : { + "globalKey" : "9f0f331b", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c1e5d4", + "externalReference" : "interestCalcPeriodDates" + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "e0f9bfca" + "globalKey" : "6c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "meta" : { + "globalKey" : "8325f327" + } + }, + "meta" : { + "globalKey" : "e0f9bfca" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "relativeDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "3c7152e0" + }, + "businessDayConvention" : "PRECEDING", + "dateRelativeTo" : { + "globalReference" : "9f0f331b", + "externalReference" : "interestLegPaymentDates" } }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, "meta" : { - "globalKey" : "76108015" + "globalKey" : "3c7152e0", + "externalKey" : "interimValuationDate" } }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "3c7152e0" - }, - "businessDayConvention" : "PRECEDING", - "dateRelativeTo" : { - "globalReference" : "9f0f331b", - "externalReference" : "interestLegPaymentDates" - } - }, + "meta" : { + "globalKey" : "100bc215" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-06-02", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "3c7152e0", - "externalKey" : "interimValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "100bc215" + "globalKey" : "25fdf9ad" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-06-02", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25fdf9ad" - } - }, + "meta" : { + "globalKey" : "25fdf9ad", + "externalKey" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "97c97b2f" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + 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"3c7152e0", - "externalReference" : "interimValuationDate" - } - }, - "meta" : { - "globalKey" : "24ad6927" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "25fdf9ad", - "externalReference" : "finalValuationDate" - } - }, + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "fc30271" + "globalKey" : "20a71d" } + }, + "dateRelativeTo" : { + "globalReference" : "25fdf9ad", + "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "fc30271" } - }, - "underlier" : { - "security" : { + } + }, + "meta" : { + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Price" + } + }, + "meta" : { + "globalKey" : "6ffc8b2a" + } + } ], + "meta" : { + "globalKey" : "a7955020" + } + } + }, + "meta" : { + "globalKey" : "57ef643e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { "identifier" : [ { "identifier" : { - "value" : "PHGe.AS", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "NL0000009322", - "meta" : { - "scheme" : "http://www.abc.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "PHILIPS BUY BACK ORD" + "value" : "EUR-EURIBOR-Reuters" }, - "identifierType" : "Name" + "identifierType" : "Other" } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XAMS", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", "meta" : { - "globalKey" : "28fe4f" + "globalKey" : "6c" } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "153ea1e0" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Price" + } } }, "meta" : { - "globalKey" : "85edff0a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - } ], - "meta" : { - "globalKey" : "1c17b280" } } }, "meta" : { - "globalKey" : "938c3b1e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "938c3b1e" + "globalKey" : "81076317" } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + }, { + "price" : [ { + "value" : { + "value" : 10.0, + "unit" : { + "currency" : { + "value" : "EUR" } - } + }, + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" }, "meta" : { - "globalKey" : "4f4caf8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10.0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 300000.0, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 300000.0, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -564,24 +505,69 @@ } }, "meta" : { - "globalKey" : "6a21aaad" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "72ad7ed7", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3ad9a3ad" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "72ad8d67", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "72ad7ed7", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "72ad8d67", + "externalReference" : "party2" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "72ad7ed7", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "124897", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ebf10858" + } + }, { + "issuerReference" : { + "globalReference" : "72ad8d67", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "124897", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf17cb7" + } + } ], + "tradeDate" : { + "value" : "2008-06-02", + "meta" : { + "globalKey" : "3ec182" + } }, "party" : [ { "partyId" : [ { @@ -623,10 +609,10 @@ } } ], "meta" : { - "globalKey" : "f155d575" + "globalKey" : "d87ab364" } }, "meta" : { - "globalKey" : "f155d575" + "globalKey" : "d87ab364" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.json index 1ea6158358..6565d11f0f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex11-on-european-single-stock-underlyer-short-form.json @@ -1,484 +1,413 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3eba58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2007-09-24", - "meta" : { - "globalKey" : "3eba58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3eba58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3eba58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "edf02740" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", "meta" : { - "globalKey" : "f0f22bbe", - "externalKey" : "InterestLegPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "97fde1d6" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "e03bd13c", - "externalReference" : "EquityPaymentDate" - } - }, - "meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3eba58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "meta" : { + "globalKey" : "f0f22bbe", + "externalKey" : "InterestLegPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + 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"quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "EquityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2007-10-12", "2007-11-13", "2007-12-12", "2008-01-14", "2008-02-12", "2008-03-12", "2008-04-12", "2008-05-13", "2008-06-12", "2008-07-12", "2008-08-12" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "4ae48233" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2007-10-12", 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"25e31503", - "externalReference" : "FinalValuationDate" - } - }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "1a668670" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-09-24", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "bb917ef4", - "externalKey" : "FinalEquityPaymentDate" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "25e31503" } }, "meta" : { - "globalKey" : "e03bd13c", - "externalKey" : "EquityPaymentDate" + "globalKey" : "25e31503", + "externalKey" : "FinalValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "NOK1V.HE", - "meta" : { - "scheme" : "http://www.abc.com/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Nokya Oyj" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XHEL", - "meta" : { - "scheme" : "http://www.abc.com/exchangeId" - } - }, + "meta" : { + "globalKey" : "97ae9685" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "c4b70c48" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "291797" + "globalKey" : "20a71d", + "externalKey" : "PrimaryBusinessCenter" } }, - "securityType" : "Equity" + "dateRelativeTo" : { + "globalReference" : "4ae48233", + "externalReference" : "InterimValuationDate" + } }, "meta" : { - "globalKey" : "57e48178" + "globalKey" : "c4b70c48", + "externalKey" : "InterimEquityPaymentDate" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "bb917ef4" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "PrimaryBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "25e31503", + "externalReference" : "FinalValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 0.01 - } ], - "firstOrSecondPeriod" : "FirstPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "meta" : { + "globalKey" : "bb917ef4", + "externalKey" : "FinalEquityPaymentDate" } - }, - "meta" : { - "globalKey" : "7cd9f3" } - } ], + }, "meta" : { - "globalKey" : "5f7e387a" + "globalKey" : "e03bd13c", + "externalKey" : "EquityPaymentDate" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "7dc2a2b6" - } - }, - "meta" : { - "globalKey" : "7dc2a2b6" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "EUR" + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 0.01 + } ], + "firstOrSecondPeriod" : "FirstPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4a4b3d7b" } } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "faf8442" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "77d653fe" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -513,80 +442,145 @@ } }, "meta" : { - "globalKey" : "29307078" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "52b7dc88" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d061dc" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c73bea9b" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2007-09-24", + "meta" : { + "globalKey" : "3eba58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -670,10 +664,10 @@ } }, "meta" : { - "globalKey" : "f6cf4197" + "globalKey" : "ace08a34" } }, "meta" : { - "globalKey" : "f6cf4197" + "globalKey" : "ace08a34" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.json index 2b74db6bac..3fc0684bc8 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex12-on-european-index-underlyer-short-form.json @@ -1,284 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "c27138c" - } - }, { - "issuerReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1147071", - "meta" : { - "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" - } - } - } ], - "meta" : { - "globalKey" : "c2787eb" - } - } ], - "tradeDate" : { - "value" : "2009-01-19", - "meta" : { - "globalKey" : "3ec853" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "6e7d8489" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "6e7d8489", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "6e7d8489" + } + }, + "meta" : { + "globalKey" : "6e7d8489", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "meta" : { + "globalKey" : "48e9d409" + } + }, + "meta" : { + "globalKey" : "48e9d409" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b65ddd" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-21", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "71e7e7d7" - } - }, - "meta" : { - "globalKey" : "71e7e7d7", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-23", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-21", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "4fbde895" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "4fbde895", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "3048096c", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "71e7e7d7" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "71e7e7d7", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "4fbde895", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177db" - }, - "rollConvention" : "19" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5c33c394" - } - } ] - }, - "meta" : { - "globalKey" : "5c33c394", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "3048096c", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "71e7e7d7", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-23", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -287,390 +136,492 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5c33c394", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "4fbde895" } }, "meta" : { - "globalKey" : "d7b4424e" + "globalKey" : "4fbde895", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - 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: { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-03-19", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "48e9d409" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "4fbde895", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "48e9d409", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "57b386d" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177db" + }, + "rollConvention" : "19" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5c33c394" + } + } ] + }, + "meta" : { + "globalKey" : "5c33c394", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "3048096c", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, 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"name" : { - "value" : "XEUR", - "meta" : { - "scheme" : "http://www.fpml.org/exchange-id" - } - }, + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "5ac6f8c7" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-03-19", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "290e4a" + "globalKey" : "1ff50d" } }, - "name" : "GERMAN SE XETRA DAX INDEX", - "assetClass" : "Equity" + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "48e9d409" } }, "meta" : { - "globalKey" : "417519da" + "globalKey" : "48e9d409", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : 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"fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "48e9d409", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "2120a769", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "99bceab7" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "ca0a7065" - } - }, - "meta" : { - "globalKey" : "ca0a7065" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0001234, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "e6f42383", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "43d06bd1" + } + } + }, + "meta" : { + "globalKey" : "b966867f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0001234, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "40f9b14a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 100, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "IndexUnit" + }, + "meta" : { + "globalKey" : "a2805957" + } + }, { + "price" : [ { + "value" : { + "value" : 100, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "IndexUnit" } - }, { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -693,30 +644,77 @@ "globalKey" : "290e4a" } }, - "name" : "GERMAN SE XETRA DAX INDEX", + "name" : { + "value" : "GERMAN SE XETRA DAX INDEX" + }, "assetClass" : "Equity" } } }, "meta" : { - "globalKey" : "61232723" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4666b900", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "d9a755c5" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "c79dbb00", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4666b900", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c27138c" + } + }, { + "issuerReference" : { + "globalReference" : "c79dbb00", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1147071", + "meta" : { + "scheme" : "http://www.tradeIdScheme.com/tradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "c2787eb" + } + } ], + "tradeDate" : { + "value" : "2009-01-19", + "meta" : { + "globalKey" : "3ec853" + } }, "party" : [ { "partyId" : [ { @@ -784,10 +782,10 @@ } }, "meta" : { - "globalKey" : "b512e701" + "globalKey" : "1abbdee6" } }, "meta" : { - "globalKey" : "b512e701" + "globalKey" : "1abbdee6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json index 2d187627d8..c569493985 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex13-pan-asia-interdealer-share-swap-short-form.json @@ -1,715 +1,656 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "657a51cd", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "ee0abbb5" - } - }, { - "issuerReference" : { - "globalReference" : "af987d91", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2009-09-01", - "meta" : { - "globalKey" : 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"dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "SharePayment" + } + } } ] } + }, + "meta" : { + "globalKey" : "6c12d205", + "externalKey" : "returnLeg" } + } ], + "meta" : { + "globalKey" : "194ff0b4" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "118718cb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "fc882901" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 5, - "unit" : { - "currency" : { - "value" : "USD" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + } } - } ], - "quantity" : [ { - "value" : { - "value" : 60000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "ea14d725" + } + }, { + "price" : [ { + "value" : { + "value" : 5, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 60000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 300000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 300000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -752,31 +693,76 @@ } }, "meta" : { - "globalKey" : "df731447" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "af987d91", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4591e301" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "657a51cd", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "af987d91", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "657a51cd", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "af987d91", + "externalReference" : "party2" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "657a51cd", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "af987d91", - "externalReference" : "party2" - } ] + "meta" : { + "globalKey" : "ee0abbb5" + } + }, { + "issuerReference" : { + "globalReference" : "af987d91", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2009-09-01", + "meta" : { + "globalKey" : "3eca41" + } }, "party" : [ { "partyId" : [ { @@ -860,10 +846,10 @@ } }, "meta" : { - "globalKey" : "759770ac" + "globalKey" : "5abb2e4f" } }, "meta" : { - "globalKey" : "759770ac" + "globalKey" : "5abb2e4f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.json index 3da4189186..ad7db49ef2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex14-european-interdealer-share-swap-short-form.json @@ -1,276 +1,125 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2f1783b5", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "13091112" - } - }, { - "issuerReference" : { - "globalReference" : "60beee7a", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "13098571" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "c71e4c53" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "c71e4c53", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "meta" : { + "globalKey" : "c71e4c53" + } + }, + "meta" : { + "globalKey" : "c71e4c53", + "externalKey" : "equityEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "211d10fc" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "ec0c393" + } + }, + "meta" : { + "globalKey" : "ec0c393" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" + }, + "meta" : { + "globalKey" : "54b65ddd" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-09-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "ca88afa1" - } - }, - "meta" : { - "globalKey" : "ca88afa1", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-09-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "db9ea582", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "ca88afa1" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ca88afa1", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "db9ea582", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "ca88afa1", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -279,384 +128,476 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "bbe4385d" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "c71e4c53", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ec0c393", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "db9ea582", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "ca88afa1", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1197aaa5", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "ffd7d77a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "ec0c393", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "fa823a23" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "db9ea582", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "bbe4385d" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1197aaa5", - "externalReference" : "interimValuationDate" + "globalReference" : "c71e4c53", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "ec0c393", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1197aaa5", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "ffd7d77a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "290e2b" + "globalKey" : "211d10fc" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "ec0c393" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "ec0c393", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "currencyReference" : { - "externalReference" : "equityIssuerPaymentCurrency" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "fa823a23" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dateRelativeTo" : { + "globalReference" : "1197aaa5", + "externalReference" : "interimValuationDate" + } + }, + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "ec0c393", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "89639299", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "7c93909c" + "globalKey" : "35da2aea" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "currencyReference" : { + "externalReference" : "equityIssuerPaymentCurrency" + } + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } + }, + "meta" : { + "globalKey" : "28a4e0a8", + "externalKey" : "returnLeg" } - }, + } ], "meta" : { - "globalKey" : "c781d8f6" + "globalKey" : "cb5e696b" } - }, - "meta" : { - "globalKey" : "c781d8f6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "9c3f445" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4f4caf8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "globalKey" : "81076317" + } + }, { + "price" : [ { + "value" : { + "value" : 10, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -699,24 +640,69 @@ } }, "meta" : { - "globalKey" : "ec0a2c08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "60beee7a", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "99662306" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2f1783b5", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "60beee7a", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2f1783b5", + "externalReference" : "partyA" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2f1783b5", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "13091112" + } + }, { + "issuerReference" : { + "globalReference" : "60beee7a", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "13098571" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -794,10 +780,10 @@ } }, "meta" : { - "globalKey" : "bbf91715" + "globalKey" : "e3e0ac25" } }, "meta" : { - "globalKey" : "bbf91715" + "globalKey" : "e3e0ac25" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json index f4817ea6cf..c584eb8c2b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex15-forward-starting-pre-european-interdealer-share-swap-short-form.json @@ -1,286 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - }, - "version" : 1 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "4d37991f" - } - }, { - "issuerReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "8848551", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "34547413" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "34547413", + "externalKey" : "equityEffectiveDate" } }, - "version" : 1 - } ], - "meta" : { - "globalKey" : "c16c2c20" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "34547413" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "34547413", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, - "meta" : { - "globalKey" : "ec0c393" - } + "meta" : { + "globalKey" : "ec0c393" + } + }, + "meta" : { + "globalKey" : "ec0c393" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-13", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "3b28889f" - } - }, - "meta" : { - "globalKey" : "3b28889f", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-13", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "16cca080", - "externalKey" : "interestCalcPeriodDates" + "globalKey" : "3b28889f" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3b28889f", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "16cca080", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "3b28889f", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -289,360 +136,452 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "3a50ba7" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "AgreedInitialPrice", - "meta" : { - "globalKey" : "643bb87" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "34547413", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ec0c393", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "16cca080", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3b28889f", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1197aaa5", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "ffd7d77a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "ec0c393", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "fa823a23" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" + } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "16cca080", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "3a50ba7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "AgreedInitialPrice", + "meta" : { + "globalKey" : "643bb87" + } + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1197aaa5", - "externalReference" : "interimValuationDate" + "globalReference" : "34547413", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "ec0c393", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1197aaa5", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "ffd7d77a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "290e2b" + "globalKey" : "211d10fc" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "ec0c393" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "ec0c393", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "fa823a23" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1197aaa5", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "determinationMethod" : "IssuerPaymentCurrency" + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "ec0c393", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "3c8d6211", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "21f32bb8" + "globalKey" : "35da2aea" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "determinationMethod" : "IssuerPaymentCurrency" + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] } + }, + "meta" : { + "globalKey" : "7093aa62", + "externalKey" : "returnLeg" } - }, + } ], "meta" : { - "globalKey" : "881995d2" + "globalKey" : "e80f5fc9" } - }, - "meta" : { - "globalKey" : "881995d2" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "3ba5fc63" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "30213f06" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + }, + "meta" : { + "globalKey" : "a8767f1b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -685,24 +624,71 @@ } }, "meta" : { - "globalKey" : "7be45ecf" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "9b7ec00d" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } + }, + "version" : 1 + } ], + "meta" : { + "globalKey" : "4d37991f" + } + }, { + "issuerReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "8848551", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + }, + "version" : 1 } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "c16c2c20" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -780,10 +766,10 @@ } }, "meta" : { - "globalKey" : "50687d7f" + "globalKey" : "8116fedf" } }, "meta" : { - "globalKey" : "50687d7f" + "globalKey" : "8116fedf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json index a4d2410340..48f693b448 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex16-forward-starting-post-european-interdealer-share-swap-short-form.json @@ -1,286 +1,133 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1558488", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id-1-0" - } - }, - "version" : 2 + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "4d379920" - } - }, { - "issuerReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "8848551", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" + } + }, + "meta" : { + "globalKey" : "34547413" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "34547413", + "externalKey" : "equityEffectiveDate" } }, - "version" : 2 - } ], - "meta" : { - "globalKey" : "c16c2c21" - } - } ], - "tradeDate" : { - "value" : "2009-09-09", - "meta" : { - "globalKey" : "3eca49" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "34547413" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "34547413", - "externalKey" : "equityEffectiveDate" + "globalKey" : "211d10fc" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, - "meta" : { - "globalKey" : "ec0c393" - } + "meta" : { + "globalKey" : "ec0c393" + } + }, + "meta" : { + "globalKey" : "ec0c393" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "54b65ddd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, - "meta" : { - "globalKey" : "54b65ddd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-13", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, - "meta" : { - "globalKey" : "3b28889f" - } - }, - "meta" : { - "globalKey" : "3b28889f", - "externalKey" : "interestEffectiveDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-11", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-13", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "122b26e1" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "122b26e1", - "externalKey" : "interestTerminationDate" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "16cca080", - "externalKey" : "interestCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "df205212" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3b28889f", - "externalReference" : "interestEffectiveDate" - } - }, - "meta" : { - "globalKey" : "df205212" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "944b936f" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "122b26e1", - "externalReference" : "interestTerminationDate" - } - }, - "meta" : { - "globalKey" : "944b936f" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - } - }, - "meta" : { - "globalKey" : "5102c281" - } - } ] - }, - "meta" : { - "globalKey" : "5102c281", - "externalKey" : "interestLegPaymentDates" + "globalKey" : "3b28889f" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "16cca080", - "externalReference" : "interestCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "135004c5" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "PRECEDING", + "meta" : { + "globalKey" : "3b28889f", + "externalKey" : "interestEffectiveDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-11", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -289,411 +136,503 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "5102c281", - "externalReference" : "interestLegPaymentDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "M", "meta" : { - "globalKey" : "6c" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "f9c90e82" + "globalKey" : "122b26e1" } }, "meta" : { - "globalKey" : "3a50ba7" + "globalKey" : "122b26e1", + "externalKey" : "interestTerminationDate" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "reset" : true, - "meta" : { - "globalKey" : "4cf", - "externalKey" : "equityNotionalAmount" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "76108015" - } - }, - "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "AgreedInitialPrice", - "meta" : { - "globalKey" : "643bb87" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9229ce57" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "34547413", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "9229ce57" - } - }, - "endDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "ec0c393", - "externalReference" : "finalValuationDate" - } - }, - "meta" : { - "globalKey" : "b635d2a0" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "16cca080", + "externalKey" : "interestCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "df205212" }, - "periodDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3b28889f", + "externalReference" : "interestEffectiveDate" } }, "meta" : { - "globalKey" : "1197aaa5", - "externalKey" : "interimValuationDate" + "globalKey" : "df205212" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "ffd7d77a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-12-09", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d" - } - }, - "meta" : { - "globalKey" : "211d10fc" - } - }, + "endDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "ec0c393" + "globalKey" : "944b936f" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "122b26e1", + "externalReference" : "interestTerminationDate" } }, "meta" : { - "globalKey" : "ec0c393", - "externalKey" : "finalValuationDate" + "globalKey" : "944b936f" } }, - "valuationTimeType" : "AsSpecifiedInMasterConfirmation", - "meta" : { - "globalKey" : "fa823a23" + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "211dc30c" + } } + }, + "meta" : { + "globalKey" : "5102c281" + } + } ] + }, + "meta" : { + "globalKey" : "5102c281", + "externalKey" : "interestLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "16cca080", + "externalReference" : "interestCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "135004c5" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, + "dateRelativeTo" : { + "globalReference" : "5102c281", + "externalReference" : "interestLegPaymentDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "meta" : { + "globalKey" : "f9c90e82" + } + }, + "meta" : { + "globalKey" : "3a50ba7" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "76108015" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "AgreedInitialPrice", + "meta" : { + "globalKey" : "643bb87" + } + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "24ad6927" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "9229ce57" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { - "globalReference" : "1197aaa5", - "externalReference" : "interimValuationDate" + "globalReference" : "34547413", + "externalReference" : "equityEffectiveDate" } }, "meta" : { - "globalKey" : "24ad6927" + "globalKey" : "9229ce57" } - } ], - "finalPaymentDate" : { + }, + "endDate" : { "relativeDate" : { - "periodMultiplier" : 2, + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fc30271" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } + "globalKey" : "b635d2a0" }, + "businessDayConvention" : "NotApplicable", "dateRelativeTo" : { "globalReference" : "ec0c393", "externalReference" : "finalValuationDate" } }, "meta" : { - "globalKey" : "fc30271" + "globalKey" : "b635d2a0" + } + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], + "meta" : { + "globalKey" : "1ff50d" + } + }, + "meta" : { + "globalKey" : "211d10fc" } } }, "meta" : { - "globalKey" : "35da2aea" + "globalKey" : "1197aaa5", + "externalKey" : "interimValuationDate" } }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "BMWG.DE", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-Reuters-RIC-1-0" - } - }, - "identifierType" : "RIC" - }, { - "identifier" : { - "value" : "DE0005190003", - "meta" : { - "scheme" : "http://www.example.com/instrument-id-ISIN-1-0" - } - }, - "identifierType" : "ISIN" - }, { - "identifier" : { - "value" : "BMW ORD" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XETR", + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "ffd7d77a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-12-09", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "scheme" : "http://www.example.com/exchangeId" + "globalKey" : "1ff50d" } }, "meta" : { - "globalKey" : "290e2b" + "globalKey" : "211d10fc" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "ec0c393" + } }, "meta" : { - "globalKey" : "3120b2b1" + "globalKey" : "ec0c393", + "externalKey" : "finalValuationDate" } }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "valuationTimeType" : "AsSpecifiedInMasterConfirmation", + "meta" : { + "globalKey" : "fa823a23" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "24ad6927" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "1197aaa5", + "externalReference" : "interimValuationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1, - "cashRatio" : 1, - "nonCashRatio" : 1 - } ], - "firstOrSecondPeriod" : "SecondPeriod", - "dividendCurrency" : { - "determinationMethod" : "IssuerPaymentCurrency" + "meta" : { + "globalKey" : "24ad6927" + } + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "fc30271" }, - "nonCashDividendTreatment" : "PotentialAdjustmentEvent", - "dividendComposition" : "EquityAmountReceiverElection", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } - } ] + }, + "dateRelativeTo" : { + "globalReference" : "ec0c393", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "fc30271" } - }, - "meta" : { - "globalKey" : "3c8d6211", - "externalKey" : "returnLeg" } - } ], + }, "meta" : { - "globalKey" : "21f32bb8" + "globalKey" : "35da2aea" } - } - }, - "meta" : { - "globalKey" : "881995d2" - } - }, - "meta" : { - "globalKey" : "881995d2" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1, + "cashRatio" : 1, + "nonCashRatio" : 1 + } ], + "firstOrSecondPeriod" : "SecondPeriod", + "dividendCurrency" : { + "determinationMethod" : "IssuerPaymentCurrency" + }, + "nonCashDividendTreatment" : "PotentialAdjustmentEvent", + "dividendComposition" : "EquityAmountReceiverElection", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "7093aa62", + "externalKey" : "returnLeg" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "meta" : { + "globalKey" : "e80f5fc9" + } + } + }, + "meta" : { + "globalKey" : "3ba5fc63" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a8b3bfc6" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 10, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000, - "unit" : { - "financialUnit" : "Share" + }, + "meta" : { + "globalKey" : "a3c8d65b" + } + }, { + "price" : [ { + "value" : { + "value" : 10, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + }, { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -736,24 +675,71 @@ } }, "meta" : { - "globalKey" : "ec0a2c08" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "68bd5b2e", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4c54b2a2", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "99662306" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4c54b2a2", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1558488", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id-1-0" + } + }, + "version" : 2 } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "4d379920" + } + }, { + "issuerReference" : { + "globalReference" : "68bd5b2e", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "8848551", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + }, + "version" : 2 + } ], + "meta" : { + "globalKey" : "c16c2c21" + } + } ], + "tradeDate" : { + "value" : "2009-09-09", + "meta" : { + "globalKey" : "3eca49" + } }, "party" : [ { "partyId" : [ { @@ -831,10 +817,10 @@ } }, "meta" : { - "globalKey" : "d292f996" + "globalKey" : "a8e7b918" } }, "meta" : { - "globalKey" : "d292f996" + "globalKey" : "a8e7b918" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.json index 4587426749..858ce0e3f0 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex17-cfd.json @@ -1,169 +1,220 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "46e37105", - "externalReference" : "PRIMARY" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CFD123456789", - "meta" : { - "scheme" : "http://www.primarybank.com/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "EQCFD", + "meta" : { + "scheme" : "http://www.primarybank.com/productType" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "ff26c7f2" - } - }, { - "issuerReference" : { - "globalReference" : "858ff69b", - "externalReference" : "CROSS" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CFD123456789", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "2601cd72" + } + }, "meta" : { - "scheme" : "http://www.crossbank.com/tradeId" + "globalKey" : "2601cd72", + "externalKey" : "EffectiveDate__CFD123456789" } - } - } ], - "meta" : { - "globalKey" : "db6f30f4" - } - } ], - "tradeDate" : { - "value" : "2009-09-30", - "meta" : { - "globalKey" : "3eca5e", - "externalKey" : "TradeDate__CFD123456789" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "EQCFD", - "meta" : { - "scheme" : "http://www.primarybank.com/productType" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "272e06ec" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2601cd72" + }, + "meta" : { + "globalKey" : "272e06ec", + "externalKey" : "TerminationDate__CFD123456789" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "2601cd72", - "externalKey" : "EffectiveDate__CFD123456789" + "globalKey" : "0" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } } }, "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "0" } - }, - "meta" : { - "globalKey" : "272e06ec", - "externalKey" : "TerminationDate__CFD123456789" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "2601cd72" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "2601cd72" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "0" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "272e06ec" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-07", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "272e06ec" + } + }, + "meta" : { + "globalKey" : "2dccd0ba", + "externalKey" : "InterestLegPeriodDates-1" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2019-10-01" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "NYSE" + } ], "meta" : { - "globalKey" : "3a4b88ab" + "globalKey" : "24cd5d" } }, "meta" : { - "globalKey" : "2601cd72" + "globalKey" : "2121e94c" } }, "meta" : { - "globalKey" : "2601cd72" + "globalKey" : "aa64376b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "aa64376b" + } + } ] + }, + "meta" : { + "globalKey" : "aa64376b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2dccd0ba", + "externalReference" : "InterestLegPeriodDates-1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "5798214f" + } + }, + "meta" : { + "globalKey" : "55fac273" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : false, + "meta" : { + "globalKey" : "4d5" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "3a4b88ab" } }, "meta" : { @@ -171,285 +222,168 @@ } }, "meta" : { - "globalKey" : "2dccd0ba", - "externalKey" : "InterestLegPeriodDates-1" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "adjustableDates" : { - "unadjustedDate" : [ "2019-10-01" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "NYSE" - } ], - "meta" : { - "globalKey" : "24cd5d" - } - }, - "meta" : { - "globalKey" : "2121e94c" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } - } ] - }, - "meta" : { - "globalKey" : "aa64376b" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2dccd0ba", - "externalReference" : "InterestLegPeriodDates-1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "5798214f" + "globalKey" : "272e06ec", + "externalKey" : "FinalValuationDate__CFD123456789" } }, "meta" : { - "globalKey" : "55fac273" + "globalKey" : "98f9886e" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "reset" : false, - "meta" : { - "globalKey" : "4d5" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7610bbd9" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "finalPaymentDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-10-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "NYSE" + } ], "meta" : { - "globalKey" : "272e06ec" + "globalKey" : "24cd5d" } }, "meta" : { - "globalKey" : "272e06ec", - "externalKey" : "FinalValuationDate__CFD123456789" + "globalKey" : "2121e94c" } }, "meta" : { - "globalKey" : "98f9886e" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "finalPaymentDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-10-01", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "NYSE" - } ], - "meta" : { - "globalKey" : "24cd5d" - } - }, - "meta" : { - "globalKey" : "2121e94c" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } - }, - "meta" : { - "globalKey" : "aa64376b" - } + "globalKey" : "aa64376b" } }, "meta" : { "globalKey" : "aa64376b" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "XYZ.N", - "meta" : { - "scheme" : "RIC" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "NYSE", - "meta" : { - "scheme" : "MARKET_ID" - } - }, - "meta" : { - "globalKey" : "24cd5d" - } - }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "95805744" + } + }, + "meta" : { + "globalKey" : "aa64376b" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "fxFeature" : [ { + "referenceCurrency" : { + "value" : "USD", + "meta" : { + "globalKey" : "14966", + "externalKey" : "ReferenceCurrency" + } + } + } ], + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1.0 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "dividendCurrency" : { + "currency" : { + "value" : "USD" } }, - "fxFeature" : [ { - "referenceCurrency" : { - "value" : "USD", - "meta" : { - "globalKey" : "14966", - "externalKey" : "ReferenceCurrency" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3eca5e", + "externalReference" : "TradeDate__CFD123456789" } - } - } ], - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1.0 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "dividendCurrency" : { - "currency" : { - "value" : "USD" - } - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3eca5e", - "externalReference" : "TradeDate__CFD123456789" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "272e06ec", - "externalReference" : "FinalValuationDate__CFD123456789" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "AdHocDate" - } - } - } ] + "endDate" : { + "dividendDate" : { + "globalReference" : "272e06ec", + "externalReference" : "FinalValuationDate__CFD123456789" + } + }, + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "AdHocDate" + } } - }, - "meta" : { - "globalKey" : "2451ced8", - "externalKey" : "EQ__CFD123456789" - } - } ], - "meta" : { - "globalKey" : "d93a7145" + } ] } + }, + "meta" : { + "globalKey" : "d1715b14", + "externalKey" : "EQ__CFD123456789" } - }, + } ], "meta" : { - "globalKey" : "70f7e370" + "globalKey" : "da80b1c1" } - }, - "meta" : { - "globalKey" : "70f7e370" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 80.000000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 48000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "2933cdac" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 80.000000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 48000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 3840000.000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 3840000.000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -479,79 +413,144 @@ } }, "meta" : { - "globalKey" : "6633c79" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 125.0, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3840000.000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "globalKey" : "de48fd31" + } + }, { + "price" : [ { + "value" : { + "value" : 125.0, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3840000.000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8adb831c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "858ff69b", - "externalReference" : "CROSS" + }, + "meta" : { + "globalKey" : "5ea5ab6a" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "46e37105", - "externalReference" : "PRIMARY" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "858ff69b", + "externalReference" : "CROSS" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "46e37105", + "externalReference" : "PRIMARY" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "46e37105", + "externalReference" : "PRIMARY" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CFD123456789", + "meta" : { + "scheme" : "http://www.primarybank.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ff26c7f2" + } + }, { + "issuerReference" : { + "globalReference" : "858ff69b", + "externalReference" : "CROSS" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CFD123456789", + "meta" : { + "scheme" : "http://www.crossbank.com/tradeId" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "db6f30f4" + } + } ], + "tradeDate" : { + "value" : "2009-09-30", + "meta" : { + "globalKey" : "3eca5e", + "externalKey" : "TradeDate__CFD123456789" + } }, "party" : [ { "partyId" : [ { @@ -612,10 +611,10 @@ } }, "meta" : { - "globalKey" : "6781c9c" + "globalKey" : "27d665fc" } }, "meta" : { - "globalKey" : "6781c9c" + "globalKey" : "27d665fc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json index 08017654e8..6e8cdab704 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex18-pan-asia-interdealer-index-swap-short-form.json @@ -1,498 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebdafec4" + } + }, "meta" : { - "scheme" : "http://www.partyA.com/tradeRefNbr" + "globalKey" : "ebdafec4", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "29b63a54" - } - }, { - "issuerReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "ea96b216" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2009-09-10", - "meta" : { - "globalKey" : "3eca4a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebdafec4" - } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ebdafec4", - "externalKey" : "equityEffectiveDate" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" } - }, - "meta" : { - "globalKey" : "ea96b216" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "54b65ddd" + "globalKey" : "46357da4" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebdafec4", + "externalReference" : "equityEffectiveDate" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "floatingRateCalculation" - } + "meta" : { + "globalKey" : "46357da4" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "46357da4" - }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "meta" : { + "globalKey" : "adeb53f2", + "externalKey" : "floatingCalculationPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "adjustableDates" : { + "unadjustedDate" : [ "2009-10-12", "2009-11-13", "2009-12-12", "2010-01-14", "2010-02-12", "2010-03-12", "2010-04-12", "2010-05-13", "2010-06-02", "2010-07-12", "2010-08-12" ], + "dateAdjustments" : { "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "ebdafec4", - "externalReference" : "equityEffectiveDate" - } - }, - "meta" : { - "globalKey" : "46357da4" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", "meta" : { - "globalKey" : "ea96b216" - }, - "businessDayConvention" : "NONE", - 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: { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -522,86 +457,150 @@ } }, "meta" : { - "globalKey" : "de26f603" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "939fd86d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519ea55" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a48f5f51" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } ] + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "http://www.partyA.com/tradeRefNbr" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "d04eb192", - "externalReference" : "party2" - } ] + "meta" : { + "globalKey" : "29b63a54" + } + }, { + "issuerReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } + } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2009-09-10", + "meta" : { + "globalKey" : "3eca4a" + } }, "party" : [ { "partyId" : [ { @@ -701,10 +700,10 @@ } }, "meta" : { - "globalKey" : "811f2478" + "globalKey" : "76ebe589" } }, "meta" : { - "globalKey" : "811f2478" + "globalKey" : "76ebe589" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json index c574d90b1f..c0f8a31f66 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex19-european-interdealer-fair-value-share-swap-short-form.json @@ -1,504 +1,439 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9236", - "meta" : { - "scheme" : "http://www.partyA.com/tradeRefNbr" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "29b63a54" - } - }, { - "issuerReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "299442", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "ebf906c4" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/trade-id-1-0" + "globalKey" : "ebf906c4", + "externalKey" : "equityEffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "ee0b3014" - } - } ], - "tradeDate" : { - "value" : "2010-09-10", - "meta" : { - "globalKey" : "3ed24a" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-10-12", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebf906c4" - } + }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "equityNotionalAmount" }, "meta" : { - "globalKey" : "ebf906c4", - "externalKey" : "equityEffectiveDate" + "globalKey" : "54b65ddd" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ea96b216" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "7e0a5d94", - "externalReference" : "finalCashSettlementPaymentDate" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "floatingRateCalculation" } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360", "meta" : { - "globalKey" : "ea96b216" + "scheme" : "http://www.fpml.org/coding-scheme/day-count-fraction" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "equityNotionalAmount" - }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "54b65ddd" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "floatingRateCalculation" - } + "globalKey" : "46357da4" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "ebf906c4", + "externalReference" : "equityEffectiveDate" } }, - "dayCountFraction" : { - "value" : "ACT/360", + "meta" : { + "globalKey" : "46357da4" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/day-count-fraction" + "globalKey" : "ea96b216" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "7e0a5d94", + "externalReference" : "finalCashSettlementPaymentDate" } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "46357da4" - }, + "meta" : { + "globalKey" : "ea96b216" + } + }, + "meta" : { + "globalKey" : "adeb53f2", + "externalKey" : 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"externalKey" : "equityNotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDates" : { + "periodicDates" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-10-12", "dateAdjustments" : { - "businessDayConvention" : "NONE", + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "24a738" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "c19bcdb6" + "globalKey" : "261fe837" } }, "meta" : { - "globalKey" : "c19bcdb6" + "globalKey" : "261fe837" } - } ] - }, - "meta" : { - "globalKey" : "c19bcdb6" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "adeb53f2", - "externalReference" : "floatingCalculationPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" 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"earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "mutualEarlyTermination" : true }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "4cf" } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + } + } + }, + "meta" : { + "globalKey" : "54e2b900" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -528,82 +463,146 @@ } }, "meta" : { - "globalKey" : "de26f603" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "939fd86d" + } + }, { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/floating-rate-index" + } + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b519ea55" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d04eb192", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "a48f5f51" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d04eb552", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d04eb552", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9236", + "meta" : { + "scheme" : "http://www.partyA.com/tradeRefNbr" + } + } + } ], + "meta" : { + "globalKey" : "29b63a54" + } + }, { + "issuerReference" : { + "globalReference" : "d04eb192", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "299442", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id-1-0" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "ee0b3014" + } + } ], + "tradeDate" : { + "value" : "2010-09-10", + "meta" : { + "globalKey" : "3ed24a" + } }, "party" : [ { "partyId" : [ { @@ -703,10 +702,10 @@ } }, "meta" : { - "globalKey" : "10e889d2" + "globalKey" : "64650a61" } }, "meta" : { - "globalKey" : "10e889d2" + "globalKey" : "64650a61" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.json index b5af4c1156..1c10ffbcff 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/eqs-ex20-single-underlyer-execution-long-form-ois.json @@ -1,501 +1,430 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3f2a12", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2021-08-18", - "meta" : { - "globalKey" : "3f2a12", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f2a12", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" + }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-2" } - }, - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3f2a12", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", 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"meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-OIS Compound" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-OIS Compound" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-OIS Compound" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "eed43dac" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "3a8fdd69" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2021-08-18", + "meta" : { + "globalKey" : "3f2a12", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -692,10 +680,10 @@ } }, "meta" : { - "globalKey" : "bd55d548" + "globalKey" : "bb7d087" } }, "meta" : { - "globalKey" : "bd55d548" + "globalKey" : "bb7d087" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.json index d44105aa9c..7b0c6ebd95 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex02-single-equity.json @@ -1,512 +1,441 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-01", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "TotalReturnSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "297b834e" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-01", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-10-12", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "meta" : { + "globalKey" : "eb44d6c4" + } + }, "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + 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{ - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, - "meta" : { - "globalKey" : "da15ebc2" - } - }, - "meta" : { - "globalKey" : "da15ebc2", - "externalKey" : "trs-eq1-InterimEquityPaymentDate" - } - } ], - "finalPaymentDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-10-14", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, - "meta" : { - "globalKey" : "e8575202" - } - }, - "meta" : { - "globalKey" : "e8575202", - "externalKey" : "trs-eq1-FinalEquityPaymentDate" - } + "globalKey" : "e8575202" } }, "meta" : { - "globalKey" : "b192f344", - "externalKey" : "trs-eq1-EquityPaymentDate" + "globalKey" : "e8575202", + "externalKey" : "trs-eq1-FinalEquityPaymentDate" } + } + }, + "meta" : { + "globalKey" : "b192f344", + "externalKey" : "trs-eq1-EquityPaymentDate" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 0.85 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "dividendAmountType" : "RecordAmount", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "SHPGY.O", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-CUSIP" - } - }, - "identifierType" : "CUSIP" - }, { - "identifier" : { - "value" : "Shire Pharmeceuticals Group - American Depositary Receipts" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNAS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "292da8" - } - }, - "securityType" : "Equity" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3ea28a", + "externalReference" : "trs-eq1-TradeDate" + } }, - "meta" : { - "globalKey" : "3834bcad" - } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "endDate" : { + "dividendDate" : { + "globalReference" : "eb80e6c4", + "externalReference" : "trs-eq1-TerminationDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 0.85 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "dividendAmountType" : "RecordAmount", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : { - "determinationMethod" : "DividendCurrency" - }, - "dividendPeriod" : [ { - "startDate" : { - "dividendDate" : { - "globalReference" : "3ea28a", - "externalReference" : "trs-eq1-TradeDate" - } - }, - "endDate" : { - "dividendDate" : { - "globalReference" : "eb80e6c4", - "externalReference" : "trs-eq1-TerminationDate" - } - }, - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "EquityPaymentDate" - } - } - } ] + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "EquityPaymentDate" + } } - }, - "meta" : { - "globalKey" : "6cca6d47", - "externalKey" : "trs-eq1-equityLeg" - } - } ], - "meta" : { - "globalKey" : "7861141d" + } ] } + }, + "meta" : { + "globalKey" : "8163f494", + "externalKey" : "trs-eq1-equityLeg" } - }, + } ], "meta" : { - "globalKey" : "66467ec6" + "globalKey" : "f0e5a9ea" } - }, - "meta" : { - "globalKey" : "66467ec6" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "5edb0053" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -541,86 +470,151 @@ } }, "meta" : { - "globalKey" : "769f4935" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 19785157.16, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "1c5c637b" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 19785157.16, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "896bf87b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "fa09d0eb" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "6b1740ab", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "297b834e" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "eb1954ba" + } + } ], + "tradeDate" : { + "value" : "2004-10-10", + "meta" : { + "globalKey" : "3ea28a", + "externalKey" : "trs-eq1-TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -712,11 +706,11 @@ } }, "meta" : { - "globalKey" : "1d467204" + "globalKey" : "e5241ba5" } }, "meta" : { - "globalKey" : "1d467204", + "globalKey" : "e5241ba5", "externalKey" : "trs-eq1-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json index 30240edd16..0f06f3405c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex03-single-stock-execution-swap-with-fixing-and-dividend-payment-dates.json @@ -1,496 +1,425 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/eqs-trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "fed6ed42" + }, + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } + }, "meta" : { - "scheme" : "http://www.partyB.com/eqs-trade-id" + "globalKey" : "fed6ed42", + "externalKey" : "EffectiveDate" } - } - } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleName" - } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42", - "externalKey" : "EffectiveDate" - } + }, + "meta" : { + "globalKey" : "edf02740", + "externalKey" : "TerminationDate" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "edf02740" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "bb917ef4", - "externalReference" : "FinalEquityPaymentDate" - } + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "4cf", + "externalReference" : "EquityNotionalAmount" }, "meta" : { - "globalKey" : "edf02740", - "externalKey" : "TerminationDate" + "globalKey" : "607b91fd" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "4cf", - "externalReference" : "EquityNotionalAmount" - }, - "meta" : { - "globalKey" : "607b91fd" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "fed6ed42" - }, - "dayType" : "ExchangeBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "3e8a58", - "externalReference" : "TradeDate" - } - }, - "meta" : { - "globalKey" : "fed6ed42" - } - }, - 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"meta" : { - "globalKey" : "97fde1d6" - } - } ] + "globalKey" : "fed6ed42" }, - "meta" : { - "globalKey" : "97fde1d6", - "externalKey" : "InterestLegPaymentDates" + "dayType" : "ExchangeBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "f0f22bbe", - "externalReference" : "InterestLegPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "fed6ed42" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "fc6e6273" + "globalKey" : "edf02740" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "bb917ef4", + "externalReference" : "FinalEquityPaymentDate" } }, "meta" : { - "globalKey" : "f0d0b5c7" + "globalKey" : "edf02740" } - } ], - "performancePayout" : [ 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"Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + }, + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", + "excessDividendAmount" : "RecordAmount", + "dividendCurrency" : { + "determinationMethod" : "DividendCurrency" }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + "dividendPeriod" : [ { + "startDate" : { + "dividendDate" : { + "globalReference" : "3e8a58", + "externalReference" : "TradeDate" + } }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "extraordinaryDividendsParty" : "ExtraordinaryDividendsParty", - "excessDividendAmount" : "RecordAmount", - "dividendCurrency" : 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"calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 37.44, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 760400, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "f166e1b8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 37.44, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 760400, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 28469376, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 28469376, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -524,93 +453,152 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "6bddfd10" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + }, + "meta" : { + "globalKey" : "49ccc93" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "78376b45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "f5f1e161" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "ExtraordinaryDividendsParty", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/eqs-trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "ExtraordinaryDividendsParty", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/eqs-trade-id" + } + } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -696,10 +684,10 @@ } }, "meta" : { - "globalKey" : "25dc6f29" + "globalKey" : "88585d77" } }, "meta" : { - "globalKey" : "25dc6f29" + "globalKey" : "88585d77" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.json index 8d056c8069..aa85417a61 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex04-index-ios.json @@ -1,218 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5059cd7a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-01", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_PriceReturnBasicPerformance_Index" } ], - "meta" : { - "globalKey" : "297b834e" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-01", + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-05-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "261b36f7" + } + }, "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + "globalKey" : "261b36f7" } - } - } ], - "meta" : { - "globalKey" : "eb1954ba" - } - } ], - "tradeDate" : { - "value" : "2011-03-23", - "meta" : { - "globalKey" : "3ed8d7" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Equity:Swap:PriceReturnBasicPerformance:SingleIndex" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2038-01-12", + "dateAdjustments" : { + 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"Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "returnNotional" + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "74be7496" + }, + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "globalReference" : "6d1b00ab", + "externalReference" : "returnPaymentDates" + } }, "meta" : { - "globalKey" : "17f35490" + "globalKey" : "74be7496" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "73f59b92" - }, + } ] + }, + "meta" : { + "globalKey" : "74be7496" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "dd77575f", + "externalReference" : "interimValuationDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "meta" : { + "globalKey" : "190a0f0f" + } + }, + "meta" : { + "globalKey" : "94ef5b0" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "returnNotional" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "initialValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-05-12", + "dateAdjustments" : { "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "261b36f7", - "externalReference" : "initialValuationDate" - } - }, - "meta" : { - "globalKey" : "73f59b92" - } - }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", "meta" : { - "globalKey" : "b635d2a0" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "296055f7", - "externalReference" : "finalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "b635d2a0" + "globalKey" : "261b36f7" } }, "meta" : { - "globalKey" : "69376ece", - "externalKey" : "interestCalculationDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "74be7496" - }, - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "globalReference" : "6d1b00ab", - "externalReference" : "returnPaymentDates" - } - }, - "meta" : { - "globalKey" : "74be7496" - } - } ] - }, - "meta" : { - "globalKey" : "74be7496" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "dd77575f", - "externalReference" : "interimValuationDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "meta" : { - "globalKey" : "190a0f0f" + "globalKey" : "261b36f7", + "externalKey" : "initialValuationDate" } }, "meta" : { - "globalKey" : "94ef5b0" + "globalKey" : "f881ef6c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "returnNotional" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, + }, + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "initialValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDate" : { + "periodicDates" : { + "startDate" : { "adjustableDate" : { - "unadjustedDate" : "2010-05-12", + "unadjustedDate" : "2010-06-12", "dateAdjustments" : { "businessDayConvention" : "NotApplicable", "meta" : { @@ -220,85 +205,16 @@ } }, "meta" : { - "globalKey" : "261b36f7" - } - }, - "meta" : { - "globalKey" : "261b36f7", - "externalKey" : "initialValuationDate" - } - }, - "meta" : { - "globalKey" : "f881ef6c" - } - }, - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "periodicDates" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-06-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "261c2737" - } - }, - "meta" : { - "globalKey" : "261c2737" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2037-12-12", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "294ca0b7" - } - }, - "meta" : { - "globalKey" : "294ca0b7" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d4" - }, - "rollConvention" : "12" - }, - "periodDatesAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } + "globalKey" : "261c2737" } }, "meta" : { - "globalKey" : "dd77575f", - "externalKey" : "interimValuationDates" + "globalKey" : "261c2737" } }, - "meta" : { - "globalKey" : "4418c50a" - } - }, - "finalValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDate" : { + "endDate" : { "adjustableDate" : { - "unadjustedDate" : "2038-01-12", + "unadjustedDate" : "2037-12-12", "dateAdjustments" : { "businessDayConvention" : "NotApplicable", "meta" : { @@ -306,143 +222,164 @@ } }, "meta" : { - "globalKey" : "296055f7" + "globalKey" : "294ca0b7" } }, "meta" : { - "globalKey" : "296055f7", - "externalKey" : "finalValuationDate" + "globalKey" : "294ca0b7" } }, - "meta" : { - "globalKey" : "fbc70e6c" - } - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "cc60294" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "dd77575f", - "externalReference" : "interimValuationDates" - } + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d4" }, + "rollConvention" : "12" + }, + "periodDatesAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "cc60294" + "globalKey" : "3a4b88ab" } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 3, - "period" : "D", - "meta" : { - "globalKey" : "42382717" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCentersReference" : { - "externalReference" : "returnBusinessCenter" - }, - "dateRelativeTo" : { - "globalReference" : "296055f7", - "externalReference" : "finalValuationDate" - } - }, + } + }, + "meta" : { + "globalKey" : "dd77575f", + "externalKey" : "interimValuationDates" + } + }, + "meta" : { + "globalKey" : "4418c50a" + } + }, + "finalValuationDate" : { + "determinationMethod" : "ValuationTime", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2038-01-12", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "42382717" + "globalKey" : "3a4b88ab" } + }, + "meta" : { + "globalKey" : "296055f7" } }, "meta" : { - "globalKey" : "6d1b00ab", - "externalKey" : "returnPaymentDates" + "globalKey" : "296055f7", + "externalKey" : "finalValuationDate" } }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "IOS.FN30.650.67", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/entity-name-RED" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "4A845HAA3", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-RED-pair" - } - }, - "identifierType" : "Other" + "meta" : { + "globalKey" : "fbc70e6c" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "cc60294" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" } ], - "assetClass" : "Equity" + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "dd77575f", + "externalReference" : "interimValuationDates" } }, "meta" : { - "globalKey" : "581609b6" + "globalKey" : "cc60294" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 3, + "period" : "D", + "meta" : { + "globalKey" : "42382717" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCentersReference" : { + "externalReference" : "returnBusinessCenter" + }, + "dateRelativeTo" : { + "globalReference" : "296055f7", + "externalReference" : "finalValuationDate" + } + }, + "meta" : { + "globalKey" : "42382717" } - }, - "meta" : { - "globalKey" : "6be34725" } - } ], + }, "meta" : { - "globalKey" : "1beb5cd5" + "globalKey" : "6d1b00ab", + "externalKey" : "returnPaymentDates" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" + } + }, + "meta" : { + "globalKey" : "279ed60d" } - }, + } ], "meta" : { - "globalKey" : "ae887f4c" + "globalKey" : "5cb6e5d" } - }, - "meta" : { - "globalKey" : "ae887f4c" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 31000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "802b3046" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 31000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -466,24 +403,69 @@ } }, "meta" : { - "globalKey" : "559f13ee" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "6a1a8942" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5059cd7a", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5059cd7a", + "externalReference" : "party1" + } + } ], + "adjustment" : "Standard", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5059cd7a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "297b834e" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } } } ], - "adjustment" : "Standard" + "meta" : { + "globalKey" : "eb1954ba" + } + } ], + "tradeDate" : { + "value" : "2011-03-23", + "meta" : { + "globalKey" : "3ed8d7" + } }, "party" : [ { "partyId" : [ { @@ -527,11 +509,11 @@ } } ], "meta" : { - "globalKey" : "55ea5798" + "globalKey" : "3355f696" } }, "meta" : { - "globalKey" : "55ea5798", + "globalKey" : "3355f696", "externalKey" : "trs-ex4-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.json index 90054b6567..b2eb8a272d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/equity-swaps/trs-ex05-single-equity-with-calculation-parameters.json @@ -1,483 +1,425 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "Party_1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRS-01", - "meta" : { - "scheme" : "http://www.abc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "2746a541" - } - }, { - "issuerReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "Party_2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "total-ret-swap-01", - "meta" : { - "scheme" : "http://www.hedgeco.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "TotalReturnSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" } ], - "meta" : { - "globalKey" : "e8e476ad" - } - } ], - "tradeDate" : { - "value" : "2021-08-18", - "meta" : { - "globalKey" : "3f2a12" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "TotalReturnSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" - } + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed419c4c" } - }, { - "source" : "ISDA", - "productQualifier" : "EquitySwap_TotalReturnBasicPerformance_SingleName" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed419c4c" - } - }, + }, + "meta" : { + "globalKey" : "ed419c4c" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed419c4c" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed5fcd97" + "meta" : { + "globalKey" : "ed5fcd97" + } + }, + "meta" : { + "globalKey" : "ed5fcd97" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } }, "meta" : { - "globalKey" : "ed5fcd97" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "138698f1" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 2 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - } + "value" : "price-2" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "138698f1" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-20", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed419c4c" - } - }, - "meta" : { - "globalKey" : "ed419c4c" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 2 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-31", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed5fcd97" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "USGS" + } ], "meta" : { - "globalKey" : "ed5fcd97" + "globalKey" : "27e40a" } - }, - "meta" : { - "globalKey" : "d67000cb", - "externalKey" : "InterestLegCalculationPeriodDates" - } - }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "80c4f051" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "57fb54f5", - "externalReference" : "ReturnLegPaymentDates" - } - }, - "meta" : { - "globalKey" : "80c4f051" - } - } ] - }, - "meta" : { - "globalKey" : "80c4f051" } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d67000cb", - "externalReference" : "InterestLegCalculationPeriodDates" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-20", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } }, - "resetRelativeTo" : "CalculationPeriodEndDate", "meta" : { - "globalKey" : "84e7c17b" + "globalKey" : "ed419c4c" } }, "meta" : { - "globalKey" : "8aca8691" + "globalKey" : "ed419c4c" } - } ], - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-31", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, - "reset" : true, "meta" : { - "globalKey" : "4cf", - "externalKey" : "NotionalAmount" + "globalKey" : "ed5fcd97" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" + "meta" : { + "globalKey" : "ed5fcd97" + } + }, + "meta" : { + "globalKey" : "d67000cb", + "externalKey" : "InterestLegCalculationPeriodDates" + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "80c4f051" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "57fb54f5", + "externalReference" : "ReturnLegPaymentDates" + } }, "meta" : { - "globalKey" : "7610bbd9" + "globalKey" : "80c4f051" } - }, + } ] + }, + "meta" : { + "globalKey" : "80c4f051" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d67000cb", + "externalReference" : "InterestLegCalculationPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "meta" : { + "globalKey" : "84e7c17b" + } + }, + "meta" : { + "globalKey" : "8aca8691" + } + } ], + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "reset" : true, + "meta" : { + "globalKey" : "4cf", + "externalKey" : "NotionalAmount" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7610bbd9" + } + }, + "valuationDates" : { + "interimValuationDate" : { + "determinationMethod" : "ValuationTime", "valuationDates" : { - "interimValuationDate" : { - "determinationMethod" : "ValuationTime", - "valuationDates" : { - "adjustableDates" : { - "unadjustedDate" : [ "2021-08-31", "2021-09-30", "2021-10-29", "2021-11-30", "2021-12-31", "2022-01-31", "2022-02-28", "2022-03-31", "2022-04-29", "2022-05-31", "2022-06-30", "2022-07-29" ], - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "abf16af" - } - }, + "adjustableDates" : { + "unadjustedDate" : [ "2021-08-31", "2021-09-30", "2021-10-29", "2021-11-30", "2021-12-31", "2022-01-31", "2022-02-28", "2022-03-31", "2022-04-29", "2022-05-31", "2022-06-30", "2022-07-29" ], + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "abf16af", - "externalKey" : "InterimValuationDates" + "globalKey" : "3a4b88ab" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "e8ec55fe" + "globalKey" : "abf16af" } }, - "finalValuationDate" : { - "determinationMethod" : "HedgeExecution", - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-08-29", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "2786a788" - } - }, + "meta" : { + "globalKey" : "abf16af", + "externalKey" : "InterimValuationDates" + } + }, + "valuationTimeType" : "Close", + "meta" : { + "globalKey" : "e8ec55fe" + } + }, + "finalValuationDate" : { + "determinationMethod" : "HedgeExecution", + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-08-29", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "2786a788", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "9952290a" + "globalKey" : "2786a788" } + }, + "meta" : { + "globalKey" : "2786a788", + "externalKey" : "FinalValuationDate" } }, - "paymentDates" : { - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "relativeDates" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "69912d61" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "abf16af", - "externalReference" : "InterimValuationDates" - } - }, - "meta" : { - "globalKey" : "69912d61", - "externalKey" : "InterimReturnLegPaymentDates" - } - } ], - "finalPaymentDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "91caf8f6" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "2786a788", - "externalReference" : "FinalValuationDate" - } - }, + "meta" : { + "globalKey" : "9952290a" + } + } + }, + "paymentDates" : { + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "relativeDates" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "69912d61" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "91caf8f6", - "externalKey" : "FinalReturnLegPaymentDate" + "globalKey" : "27e4e9" } + }, + "dateRelativeTo" : { + "globalReference" : "abf16af", + "externalReference" : "InterimValuationDates" } }, "meta" : { - "globalKey" : "57fb54f5", - "externalKey" : "ReturnLegPaymentDates" + "globalKey" : "69912d61", + "externalKey" : "InterimReturnLegPaymentDates" } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "X US", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/instrument-id-Bloomberg-1-0" - } - }, - "identifierType" : "BBGID" - }, { - "identifier" : { - "value" : "US STEEL CORP" - }, - "identifierType" : "Name" - } ], - "securityType" : "Equity" + } ], + "finalPaymentDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "91caf8f6" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "dateRelativeTo" : { + "globalReference" : "2786a788", + "externalReference" : "FinalValuationDate" + } }, "meta" : { - "globalKey" : "b1db03d7" + "globalKey" : "91caf8f6", + "externalKey" : "FinalReturnLegPaymentDate" } - }, - "returnTerms" : { - "priceReturnTerms" : { - "returnType" : "Total" - }, - "dividendReturnTerms" : { - "dividendPayoutRatio" : [ { - "totalRatio" : 1.00 - } ], - "dividendReinvestment" : false, - "dividendEntitlement" : "ExDate", - "dividendAmountType" : "RecordAmount", - "firstOrSecondPeriod" : "SecondPeriod", - "dividendPeriod" : [ { - "dividendPaymentDate" : { - "dividendDateReference" : { - "dateReference" : "CashSettlementPaymentDate" - } - } - } ] - } - }, - "meta" : { - "globalKey" : "7fde1ca6", - "externalKey" : "id_ReturnLeg" } - } ], + }, "meta" : { - "globalKey" : "74b0e877" + "globalKey" : "57fb54f5", + "externalKey" : "ReturnLegPaymentDates" } - } - }, - "meta" : { - "globalKey" : "ef8b88ab" - } - }, - "meta" : { - "globalKey" : "ef8b88ab" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 29.4500, - "unit" : { - "currency" : { - "value" : "USD" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } + } + }, + "returnTerms" : { + "priceReturnTerms" : { + "returnType" : "Total" }, - "perUnitOf" : { - "financialUnit" : "Share" - }, - "priceType" : "AssetPrice" + "dividendReturnTerms" : { + "dividendPayoutRatio" : [ { + "totalRatio" : 1.00 + } ], + "dividendReinvestment" : false, + "dividendEntitlement" : "ExDate", + "dividendAmountType" : "RecordAmount", + "firstOrSecondPeriod" : "SecondPeriod", + "dividendPeriod" : [ { + "dividendPaymentDate" : { + "dividendDateReference" : { + "dateReference" : "CashSettlementPaymentDate" + } + } + } ] + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "5bfe048f", + "externalKey" : "id_ReturnLeg" } } ], - "quantity" : [ { - "value" : { - "value" : 212000.0000, - "unit" : { - "financialUnit" : "Share" + "meta" : { + "globalKey" : "42f531a0" + } + } + }, + "meta" : { + "globalKey" : "6adcc2d4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 29.4500, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "financialUnit" : "Share" + }, + "priceType" : "AssetPrice" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 212000.0000, + "unit" : { + "financialUnit" : "Share" } - }, { - "value" : { - "value" : 6243400, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 6243400, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -500,72 +442,136 @@ } }, "meta" : { - "globalKey" : "4bcc2923" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0020, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 6243400, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "globalKey" : "6bc27955" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0020, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 6243400, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c923cf32" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6b1740ab", - "externalReference" : "Party_1" + }, + "meta" : { + "globalKey" : "c4309c62" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d29a3bef", - "externalReference" : "Party_2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "Party_1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "Party_2" + } + } ], + "adjustment" : "Execution", + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6b1740ab", + "externalReference" : "Party_1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRS-01", + "meta" : { + "scheme" : "http://www.abc.com/swaps/trade-id" + } } } ], - "adjustment" : "Execution" + "meta" : { + "globalKey" : "2746a541" + } + }, { + "issuerReference" : { + "globalReference" : "d29a3bef", + "externalReference" : "Party_2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "total-ret-swap-01", + "meta" : { + "scheme" : "http://www.hedgeco.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "e8e476ad" + } + } ], + "tradeDate" : { + "value" : "2021-08-18", + "meta" : { + "globalKey" : "3f2a12" + } }, "party" : [ { "partyId" : [ { @@ -657,11 +663,11 @@ } }, "meta" : { - "globalKey" : "925370fb" + "globalKey" : "98d75b44" } }, "meta" : { - "globalKey" : "925370fb", + "globalKey" : "98d75b44", "externalKey" : "trs-eq1-trade" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.json index e4ee7caab9..2109b42971 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex01-fx-spot.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-10-25", + "meta" : { + "globalKey" : "3e8a99" + } + }, + "meta" : { + "globalKey" : "3e8a99" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + } ], + "meta" : { + "globalKey" : "c6006226" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "7161b347" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "6c7f6e62", @@ -39,181 +187,6 @@ "globalKey" : "3e8a97" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-10-25", - "meta" : { - "globalKey" : "3e8a99" - } - }, - "meta" : { - "globalKey" : "3e8a99" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - } ], - "meta" : { - "globalKey" : "81954c1b" - } - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a5642346" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "6c87acb2" + "globalKey" : "5a624d36" } }, "meta" : { - "globalKey" : "6c87acb2" + "globalKey" : "5a624d36" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.json index 8925b637f9..8eb4ad01f5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex02-spot-cross-w-side-rates.json @@ -1,5 +1,153 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-10-25", + "meta" : { + "globalKey" : "3e8a99" + } + }, + "meta" : { + "globalKey" : "3e8a99" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + } ], + "meta" : { + "globalKey" : "c6006226" + } + } + }, + "meta" : { + "globalKey" : "c6006226" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.630068, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 6300680, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "b64c93ad" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "4a5d2d9f", @@ -39,181 +187,6 @@ "globalKey" : "3e8a97" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-10-25", - "meta" : { - "globalKey" : "3e8a99" - } - }, - "meta" : { - "globalKey" : "3e8a99" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - } ], - "meta" : { - "globalKey" : "81954c1b" - } - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "meta" : { - "globalKey" : "81954c1b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.630068, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 6300680, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "EUR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "fdce12e4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -250,10 +223,10 @@ } } ], "meta" : { - "globalKey" : "d50806f3" + "globalKey" : "be16e0ff" } }, "meta" : { - "globalKey" : "d50806f3" + "globalKey" : "be16e0ff" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.json index a4aa91345b..bbdf51cbfe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex03-fx-fwd.json @@ -1,5 +1,159 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -39,187 +193,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -256,10 +229,10 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.json index a4aa91345b..bbdf51cbfe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex05-fx-fwd-w-ssi.json @@ -1,5 +1,159 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Spot_Forward" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-21", + "meta" : { + "globalKey" : "3e8b15" + } + }, + "meta" : { + "globalKey" : "3e8b15" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + } ], + "meta" : { + "globalKey" : "c600712a" + } + } + }, + "meta" : { + "globalKey" : "c600712a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.9175, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.9130, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 9175000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "95ac2ce1" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "a887a4ca", @@ -39,187 +193,6 @@ "globalKey" : "3e8ad3" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Spot_Forward" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-21", - "meta" : { - "globalKey" : "3e8b15" - } - }, - "meta" : { - "globalKey" : "3e8b15" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - } ], - "meta" : { - "globalKey" : "90c7297" - } - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "meta" : { - "globalKey" : "90c7297" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.9175, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.9130, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 9175000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a68dcec" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -256,10 +229,10 @@ } } ], "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } }, "meta" : { - "globalKey" : "cc386e66" + "globalKey" : "b66fee5c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.json index 703536b6cc..c477e10447 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex07-non-deliverable-forward.json @@ -1,280 +1,255 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PARTYA345", - "meta" : { - "scheme" : "http://www.partyA.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "d1241fee" - } - }, { - "issuerReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CSFB9842", - "meta" : { - "scheme" : "http://www.csfb.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_NDF" } ], - "meta" : { - "globalKey" : "673ef37d" - } - } ], - "tradeDate" : { - "value" : "2002-01-09", - "meta" : { - "globalKey" : "3e9049" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_NDF" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2002-04-11", - "meta" : { - "globalKey" : "3e910b" - } - }, - "meta" : { - "globalKey" : "a5419be9" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "quotedCurrencyPair" : { - "currency1" : { - "value" : "USD" - }, - "currency2" : { - "value" : "INR" - }, - "quoteBasis" : "Currency2PerCurrency1" + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2002-04-11", + "meta" : { + "globalKey" : "3e910b" + } + }, + "meta" : { + "globalKey" : "85bd5321" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "quotedCurrencyPair" : { + "value" : { + "currency1" : { + "value" : "USD" }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "RBIB" - } - } - } + "currency2" : { + "value" : "INR" + }, + "quoteBasis" : "Currency2PerCurrency1" } }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "3e9109" + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2002-04-09", - "meta" : { - "globalKey" : "3e9109" - } - }, - "meta" : { - "globalKey" : "3e9109" - } + "sourcePage" : { + "value" : "RBIB" } } - }, - "valuationTime" : { - "hourMinuteTime" : "14:30:00", - "businessCenter" : { - "value" : "INMU" - } - }, - "meta" : { - "globalKey" : "264e8d45" } - } ] + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "3e9109" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-09", "meta" : { - "globalKey" : "0" + "globalKey" : "3e9109" } }, "meta" : { - "globalKey" : "b14144c1" + "globalKey" : "3e9109" } } - }, - "meta" : { - "globalKey" : "c086df02" + } + }, + "valuationTime" : { + "hourMinuteTime" : "14:30:00", + "businessCenter" : { + "value" : "INMU" } }, "meta" : { - "globalKey" : "f678e56b" + "globalKey" : "264e8d45" + } + } ] + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - } ], - "meta" : { - "globalKey" : "f678e56b" } + }, + "meta" : { + "globalKey" : "a30a161e" } - }, + } ], "meta" : { - "globalKey" : "f678e56b" + "globalKey" : "a30a161e" } - }, - "meta" : { - "globalKey" : "f678e56b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 43.40, - "unit" : { - "currency" : { - "value" : "INR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 43.35, - "operand" : 0.05, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" + "meta" : { + "globalKey" : "a30a161e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 43.40, + "unit" : { + "currency" : { + "value" : "INR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 43.35, + "operand" : 0.05, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" } - }, { - "value" : { - "value" : 434000000, - "unit" : { - "currency" : { - "value" : "INR" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 434000000, + "unit" : { + "currency" : { + "value" : "INR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "currency2" : { - "value" : "INR" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "7fbe9f3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "45bde65c", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "74901093" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PARTYA345", + "meta" : { + "scheme" : "http://www.partyA.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "d1241fee" + } + }, { + "issuerReference" : { + "globalReference" : "45bde65c", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CSFB9842", + "meta" : { + "scheme" : "http://www.csfb.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "673ef37d" + } + } ], + "tradeDate" : { + "value" : "2002-01-09", + "meta" : { + "globalKey" : "3e9049" + } }, "party" : [ { "partyId" : [ { @@ -312,10 +287,10 @@ } } ], "meta" : { - "globalKey" : "6fcc65a8" + "globalKey" : "b72762e1" } }, "meta" : { - "globalKey" : "6fcc65a8" + "globalKey" : "b72762e1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.json index 6879aebf25..ad61042c85 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex08-fx-swap.json @@ -1,363 +1,316 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PARTYAUS33", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "cf15004e" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DEUTDEFF", - "meta" : { - "scheme" : "http://www.db.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" } ], - "meta" : { - "globalKey" : "5246e55" - } - } ], - "tradeDate" : { - "value" : "2002-01-23", - "meta" : { - "globalKey" : "3e9057" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxSwap", + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-01-25", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "3e9059" } + }, + "meta" : { + "globalKey" : "3e9059" } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011466" } }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-01-25", - "meta" : { - "globalKey" : "3e9059" - } - }, - "meta" : { - "globalKey" : "3e9059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "f2fab1db" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : 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}, + "meta" : { + "globalKey" : "f9327ec8" } - }, + } ], "meta" : { - "globalKey" : "1fd36851" + "globalKey" : "9a23cd2e" } - }, - "meta" : { - "globalKey" : "1fd36851" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" + "meta" : { + "globalKey" : "bd19f963" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate" + }, + 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"DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "GBP" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "81190e26" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "67f3ec67" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PARTYAUS33", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "cf15004e" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DEUTDEFF", + "meta" : { + "scheme" : "http://www.db.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5246e55" + } + } ], + "tradeDate" : { + "value" : "2002-01-23", + "meta" : { + "globalKey" : "3e9057" + } }, "party" : [ { "partyId" : [ { @@ -395,10 +348,10 @@ } } ], "meta" : { - "globalKey" : "62053a10" + "globalKey" : "cd5f445c" } }, "meta" : { - "globalKey" : "62053a10" + "globalKey" : "cd5f445c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex09-euro-opt.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex09-euro-opt.json index d08f89f510..ddaf35c558 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex09-euro-opt.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex09-euro-opt.json @@ -1,5 +1,190 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "Delta-Put-FX-Option", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-06-06", + "meta" : { + "globalKey" : "3e9186" + } + }, + "meta" : { + "globalKey" : "3e9186" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-06-04", + "meta" : { + "globalKey" : "3e9184" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, + "meta" : { + "globalKey" : "cf370f4e" + } + }, + "strike" : { + "strikePrice" : { + "value" : 0.4920, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "f3db3d9c" + } + } ], + "meta" : { + "globalKey" : "f3db3d9c" + } + } + }, + "meta" : { + "globalKey" : "167eed0f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "AUD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 36900000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "AUD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2ba74073" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5bbdd746", @@ -39,221 +224,6 @@ "globalKey" : "3e9044" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "Delta-Put-FX-Option", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/product-type-1-0" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-06-06", - "meta" : { - "globalKey" : "3e9186" - } - }, - "meta" : { - "globalKey" : "3e9186" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-06-04", - "meta" : { - "globalKey" : "3e9184" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "USNY" - } - }, - "meta" : { - "globalKey" : "cf370f4e" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.4920, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "ExchangeRate" - } - }, - "meta" : { - "globalKey" : "d34a2f4d" - } - } ], - "meta" : { - "globalKey" : "d34a2f4d" - } - } - }, - "meta" : { - "globalKey" : "e959313a" - } - }, - "meta" : { - "globalKey" : "e959313a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "AUD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 36900000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "AUD" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "33d03b9a" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -296,7 +266,7 @@ } } ], "meta" : { - "globalKey" : "fd1be9c1" + "globalKey" : "19d65431" } }, "transferHistory" : [ { @@ -347,6 +317,6 @@ } } ], "meta" : { - "globalKey" : "49416988" + "globalKey" : "2cff83f8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex10-amer-opt.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex10-amer-opt.json index f210946a7c..d9fedf8332 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex10-amer-opt.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex10-amer-opt.json @@ -1,283 +1,253 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456789", - "meta" : { - "scheme" : "http://partyA.com/trades" - } - } - } ], - "meta" : { - "globalKey" : "262c8e4a" - } - }, { - "issuerReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "ABN1789", - "meta" : { - "scheme" : "http://adnamro.com/trade-ids" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxOption", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "78f21be8" - } - } ], - "tradeDate" : { - "value" : "2001-12-04", - "meta" : { - "globalKey" : "3e8b04" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxOption", + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-06-06", "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "3e9186" } + }, + "meta" : { + "globalKey" : "3e9186" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-06-06", - "meta" : { - "globalKey" : "3e9186" - } - }, - "meta" : { - "globalKey" : "3e9186" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Put", + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-12-04", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "b141411f" + "globalKey" : "27e4e9" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "212500d8" } }, "meta" : { - "globalKey" : "c086df02" + "globalKey" : "d018b854" } }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-12-04", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "212500d8" - } - }, - "meta" : { - "globalKey" : "d018b854" - } - }, - "meta" : { - "globalKey" : "d018b854" - } - }, - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2002-06-04", - "meta" : { - "globalKey" : "3e9184" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "d018b854" + } + }, + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2002-06-04", "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "14:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3e9184" } }, "meta" : { - "globalKey" : "ce117ab3" - } - }, - "strike" : { - "strikePrice" : { - "value" : 0.4920, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "AUD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "df8d0472" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "14:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, "meta" : { - "globalKey" : "df8d0472" + "globalKey" : "ce117ab3" } + }, + "strike" : { + "strikePrice" : { + "value" : 0.4920, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "AUD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "5e4e53c1" } - }, + } ], "meta" : { - "globalKey" : "cc3643c9" + "globalKey" : "5e4e53c1" } - }, - "meta" : { - "globalKey" : "cc3643c9" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 75000000, - "unit" : { - "currency" : { - "value" : "AUD" - } + "meta" : { + "globalKey" : "b39b268a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 75000000, + "unit" : { + "currency" : { + "value" : "AUD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 36900000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 36900000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "AUD" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "33d03b9a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "2ba74073" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456789", + "meta" : { + "scheme" : "http://partyA.com/trades" + } + } + } ], + "meta" : { + "globalKey" : "262c8e4a" + } + }, { + "issuerReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "ABN1789", + "meta" : { + "scheme" : "http://adnamro.com/trade-ids" + } + } + } ], + "meta" : { + "globalKey" : "78f21be8" + } + } ], + "tradeDate" : { + "value" : "2001-12-04", + "meta" : { + "globalKey" : "3e8b04" + } }, "party" : [ { "partyId" : [ { @@ -321,7 +291,7 @@ } } ], "meta" : { - "globalKey" : "574c1403" + "globalKey" : "19415f09" } }, "transferHistory" : [ { @@ -372,6 +342,6 @@ } } ], "meta" : { - "globalKey" : "14876dca" + "globalKey" : "c72d86d0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex11-non-deliverable-option.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex11-non-deliverable-option.json index 8ef33f1765..4d43108dbb 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex11-non-deliverable-option.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex11-non-deliverable-option.json @@ -1,311 +1,283 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IBFXO-0123456789", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" - } - } - } ], - "meta" : { - "globalKey" : "bcd03f83" - } - }, { - "issuerReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "IBFXO-0123456789", - "meta" : { - "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "ForeignExchange:NDO" } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "bcd0b3e2" - } - } ], - "tradeDate" : { - "value" : "2001-01-15", - "meta" : { - "globalKey" : "3e884f" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "ForeignExchange:NDO" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2001-04-11", - "meta" : { - "globalKey" : "3e890b" - } - }, - "meta" : { - "globalKey" : "933f36d2" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "quotedCurrencyPair" : { - "currency1" : { - "value" : "VEB" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2001-04-11", + "meta" : { + "globalKey" : "3e890b" + } + }, + "meta" : { + "globalKey" : "2b89fe0a" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "quotedCurrencyPair" : { + "value" : { + "currency1" : { + "value" : "VEB" }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "VEB01" - } - } - } + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency1PerCurrency2" } }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "3e8909" + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-09", - "meta" : { - "globalKey" : "3e8909" - } - }, - "meta" : { - "globalKey" : "3e8909" - } + "sourcePage" : { + "value" : "VEB01" } } - }, - "valuationTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "VECA" - } - }, - "meta" : { - "globalKey" : "96b4302e" } - } ] - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "3e8909" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-09", "meta" : { - "globalKey" : "0" + "globalKey" : "3e8909" } }, "meta" : { - "globalKey" : "b14144c1" + "globalKey" : "3e8909" } } - }, - "meta" : { - "globalKey" : "c086df02" } }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-04-09", - "meta" : { - "globalKey" : "3e8909" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "valuationTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "VECA" + } + }, + "meta" : { + "globalKey" : "96b4302e" + } + } ] + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-04-09", "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "10:00:00", - "businessCenter" : { - "value" : "USNY" + "globalKey" : "3e8909" } }, "meta" : { - "globalKey" : "3ac36475" - } - }, - "strike" : { - "strikePrice" : { - "value" : 1.15, - "unit" : { - "currency" : { - "value" : "VEB" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "6606b30f" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "10:00:00", + "businessCenter" : { + "value" : "USNY" + } + }, "meta" : { - "globalKey" : "6606b30f" + "globalKey" : "3ac36475" + } + }, + "strike" : { + "strikePrice" : { + "value" : 1.15, + "unit" : { + "currency" : { + "value" : "VEB" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" } + }, + "meta" : { + "globalKey" : "c94590f3" } - }, + } ], "meta" : { - "globalKey" : "3543b169" + "globalKey" : "c94590f3" } - }, - "meta" : { - "globalKey" : "3543b169" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 17250000, - "unit" : { - "currency" : { - "value" : "VEB" - } + "meta" : { + "globalKey" : "a1eb894d" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 17250000, + "unit" : { + "currency" : { + "value" : "VEB" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "VEB" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "39b99feb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "b406781a", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2fb569c6", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "85abc997" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "b406781a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IBFXO-0123456789", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + } + } + } ], + "meta" : { + "globalKey" : "bcd03f83" + } + }, { + "issuerReference" : { + "globalReference" : "2fb569c6", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "IBFXO-0123456789", + "meta" : { + "scheme" : "http://www.markets.Reuters.com/rss/spec/2001/trade-id-2-0" + } + } + } ], + "meta" : { + "globalKey" : "bcd0b3e2" + } + } ], + "tradeDate" : { + "value" : "2001-01-15", + "meta" : { + "globalKey" : "3e884f" + } }, "party" : [ { "partyId" : [ { @@ -349,7 +321,7 @@ } } ], "meta" : { - "globalKey" : "21e85ef7" + "globalKey" : "43da6b2b" } }, "transferHistory" : [ { @@ -400,6 +372,6 @@ } } ], "meta" : { - "globalKey" : "248976d7" + "globalKey" : "2de7270b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex20-avg-rate-option-parametric.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex20-avg-rate-option-parametric.json index 154fa68096..7c14116aec 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex20-avg-rate-option-parametric.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex20-avg-rate-option-parametric.json @@ -1,308 +1,270 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "PA-12345", - "meta" : { - "scheme" : "http://www.partyA.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "c9e1a36c" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DB-98765", - "meta" : { - "scheme" : "http://www.db.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "20adbe1c" - } - } ], - "tradeDate" : { - "value" : "2001-08-16", - "meta" : { - "globalKey" : "3e8a10" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2001-12-04", - "meta" : { - "globalKey" : "3e8b04" - } - }, - "meta" : { - "globalKey" : "3e8b04" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2001-12-04", + "meta" : { + "globalKey" : "3e8b04" + } + }, + "meta" : { + "globalKey" : "3e8b04" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-01", - "meta" : { - "globalKey" : "3e8ac1" - } - }, - "meta" : { - "globalKey" : "3e8ac1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-11-30", - "meta" : { - "globalKey" : "3e8ade" - } - }, - "meta" : { - "globalKey" : "3e8ade" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - } - } + "sourcePage" : { + "value" : "BNBX" } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-11-01", "meta" : { - "globalKey" : "b141411f" + "globalKey" : "3e8ac1" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "3e8ac1" } }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { + "endDate" : { "adjustableDate" : { - "adjustedDate" : { - "value" : "2001-11-30", - "meta" : { - "globalKey" : "3e8ade" - } - }, + "unadjustedDate" : "2001-11-30", "meta" : { - "globalKey" : "0" + "globalKey" : "3e8ade" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3e8ade" } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2001-11-30", + "meta" : { + "globalKey" : "3e8ade" } }, "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 9.82, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "7788203d" } + }, + "strike" : { + "strikePrice" : { + "value" : 9.82, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "580798af" } - }, + } ], "meta" : { - "globalKey" : "207e8ab5" + "globalKey" : "580798af" } - }, - "meta" : { - "globalKey" : "207e8ab5" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "580798af" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 585539.71, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 585539.71, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "de207a86" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "2fcddc42" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "PA-12345", + "meta" : { + "scheme" : "http://www.partyA.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "c9e1a36c" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DB-98765", + "meta" : { + "scheme" : "http://www.db.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "20adbe1c" + } + } ], + "tradeDate" : { + "value" : "2001-08-16", + "meta" : { + "globalKey" : "3e8a10" + } }, "party" : [ { "partyId" : [ { @@ -340,7 +302,7 @@ } } ], "meta" : { - "globalKey" : "f0eda109" + "globalKey" : "dc00bfab" } }, "transferHistory" : [ { @@ -391,6 +353,6 @@ } } ], "meta" : { - "globalKey" : "eb35e6a7" + "globalKey" : "dcdfbf49" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json index db656b5730..5c5c5cdb85 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex21-avg-rate-option-parametric-plus-rate-observation.json @@ -1,341 +1,303 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "CH-23948", - "meta" : { - "scheme" : "http://www.chase.com/fx/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" } ], - "meta" : { - "globalKey" : "f5cc9d49" - } - }, { - "issuerReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "DB-89080", - "meta" : { - "scheme" : "http://www.db.com/fx/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "20a000ec" - } - } ], - "tradeDate" : { - "value" : "2010-08-16", - "meta" : { - "globalKey" : "3ed210" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2010-12-04", - "meta" : { - "globalKey" : "3ed304" - } + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2010-12-04", + "meta" : { + "globalKey" : "3ed304" + } + }, + "meta" : { + "globalKey" : "3ed304" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" }, - "meta" : { - "globalKey" : "3ed304" + "sourcePage" : { + "value" : "BNBX" } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" + } + }, + "observationDates" : { + "observationSchedule" : { + "observationDate" : [ { + "adjustedDate" : "2010-11-01", + "weight" : 1, + "meta" : { + "globalKey" : "79b8590" } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } + }, { + "adjustedDate" : "2010-11-02", + "weight" : 1, + "meta" : { + "globalKey" : "79b85af" } - }, - "observationDates" : { - "observationSchedule" : { - "observationDate" : [ { - "adjustedDate" : "2010-11-01", - "weight" : 1, - "meta" : { - "globalKey" : "79b8590" - } - }, { - "adjustedDate" : "2010-11-02", - "weight" : 1, - "meta" : { - "globalKey" : "79b85af" - } - }, { - "adjustedDate" : "2010-11-03", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ce" - } - }, { - "adjustedDate" : "2010-11-04", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ed" - } - }, { - "adjustedDate" : "2010-11-05", - "weight" : 3, - "meta" : { - "globalKey" : "79b860e" - } - } ] - }, - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-11-01", - "meta" : { - "globalKey" : "3ed2c1" - } - }, - "meta" : { - "globalKey" : "3ed2c1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, - "meta" : { - "globalKey" : "3ed2de" - } - }, - "periodFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "24b335" - }, - "rollConvention" : "NONE" - } + }, { + "adjustedDate" : "2010-11-03", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ce" } - } + }, { + "adjustedDate" : "2010-11-04", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ed" + } + }, { + "adjustedDate" : "2010-11-05", + "weight" : 3, + "meta" : { + "globalKey" : "79b860e" + } + } ] }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-11-01", "meta" : { - "globalKey" : "b141411f" + "globalKey" : "3ed2c1" } }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } + "meta" : { + "globalKey" : "3ed2c1" } }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { + "endDate" : { "adjustableDate" : { - "adjustedDate" : { - "value" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, + "unadjustedDate" : "2010-11-30", "meta" : { - "globalKey" : "0" + "globalKey" : "3ed2de" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3ed2de" } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" + }, + "periodFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "24b335" + }, + "rollConvention" : "NONE" + } + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2010-11-30", + "meta" : { + "globalKey" : "3ed2de" } }, "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 12.40, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" + "globalKey" : "0" } }, "meta" : { - "globalKey" : "79d9c65" + "globalKey" : "0" } } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, "meta" : { - "globalKey" : "79d9c65" + "globalKey" : "7788203d" } + }, + "strike" : { + "strikePrice" : { + "value" : 12.40, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "4fa9f85f" } - }, + } ], "meta" : { - "globalKey" : "79d9c65" + "globalKey" : "4fa9f85f" } - }, - "meta" : { - "globalKey" : "79d9c65" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "4fa9f85f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - }, { - "value" : { - "value" : 463709.68, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 463709.68, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "USD" }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "d42a7fe4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e1a6c020" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "CH-23948", + "meta" : { + "scheme" : "http://www.chase.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f5cc9d49" + } + }, { + "issuerReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "DB-89080", + "meta" : { + "scheme" : "http://www.db.com/fx/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "20a000ec" + } + } ], + "tradeDate" : { + "value" : "2010-08-16", + "meta" : { + "globalKey" : "3ed210" + } }, "party" : [ { "partyId" : [ { @@ -373,7 +335,7 @@ } } ], "meta" : { - "globalKey" : "4cbe05e2" + "globalKey" : "d8b2128a" } }, "transferHistory" : [ { @@ -424,6 +386,6 @@ } } ], "meta" : { - "globalKey" : "b8a7d880" + "globalKey" : "abea6d28" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.json index 397614f293..5454187549 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex22-avg-rate-option-specific.json @@ -1,5 +1,335 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_VanillaOption" + } ], + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2010-12-04", + "meta" : { + "globalKey" : "3ed304" + } + }, + "meta" : { + "globalKey" : "3ed304" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "18:00:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "Reuters" + }, + "sourcePage" : { + "value" : "BNBX" + } + } + }, + "observationDates" : { + "observationSchedule" : { + "observationDate" : [ { + "adjustedDate" : "2010-11-01", + "weight" : 1, + "meta" : { + "globalKey" : "79b8590" + } + }, { + "adjustedDate" : "2010-11-02", + "weight" : 1, + "meta" : { + "globalKey" : "79b85af" + } + }, { + "adjustedDate" : "2010-11-03", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ce" + } + }, { + "adjustedDate" : "2010-11-04", + "weight" : 1, + "meta" : { + "globalKey" : "79b85ed" + } + }, { + "adjustedDate" : "2010-11-05", + "weight" : 3, + "meta" : { + "globalKey" : "79b860e" + } + }, { + "adjustedDate" : "2010-11-08", + "weight" : 1, + "meta" : { + "globalKey" : "79b8669" + } + }, { + "adjustedDate" : "2010-11-09", + "weight" : 1, + "meta" : { + "globalKey" : "79b8688" + } + }, { + "adjustedDate" : "2010-11-10", + "weight" : 1, + "meta" : { + "globalKey" : "79b86a7" + } + }, { + "adjustedDate" : "2010-11-11", + "weight" : 1, + "meta" : { + "globalKey" : "79b86c6" + } + }, { + "adjustedDate" : "2010-11-12", + "weight" : 3, + "meta" : { + "globalKey" : "79b86e7" + } + }, { + "adjustedDate" : "2010-11-15", + "weight" : 1, + "meta" : { + "globalKey" : "79b8742" + } + }, { + "adjustedDate" : "2010-11-16", + "weight" : 1, + "meta" : { + "globalKey" : "79b8761" + } + }, { + "adjustedDate" : "2010-11-17", + "weight" : 1, + "meta" : { + "globalKey" : "79b8780" + } + }, { + "adjustedDate" : "2010-11-18", + "weight" : 1, + "meta" : { + "globalKey" : "79b879f" + } + }, { + "adjustedDate" : "2010-11-19", + "weight" : 3, + "meta" : { + "globalKey" : "79b87c0" + } + }, { + "adjustedDate" : "2010-11-22", + "weight" : 1, + "meta" : { + "globalKey" : "79b881b" + } + }, { + "adjustedDate" : "2010-11-23", + "weight" : 1, + "meta" : { + "globalKey" : "79b883a" + } + }, { + "adjustedDate" : "2010-11-24", + "weight" : 1, + "meta" : { + "globalKey" : "79b8859" + } + }, { + "adjustedDate" : "2010-11-25", + "weight" : 1, + "meta" : { + "globalKey" : "79b8878" + } + }, { + "adjustedDate" : "2010-11-26", + "weight" : 3, + "meta" : { + "globalKey" : "79b8899" + } + }, { + "adjustedDate" : "2010-11-29", + "weight" : 1, + "meta" : { + "globalKey" : "79b88f4" + } + }, { + "adjustedDate" : "2010-11-30", + "weight" : 1, + "meta" : { + "globalKey" : "79b8913" + } + } ] + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "adjustedDate" : { + "value" : "2010-11-30", + "meta" : { + "globalKey" : "3ed2de" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + } ], + "expirationTime" : { + "hourMinuteTime" : "12:30:00", + "businessCenter" : { + "value" : "MXMC" + } + }, + "meta" : { + "globalKey" : "7788203d" + } + }, + "strike" : { + "strikePrice" : { + "value" : 12.40, + "unit" : { + "currency" : { + "value" : "MXN" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "ExchangeRate" + } + }, + "meta" : { + "globalKey" : "8c25e9ca" + } + } ], + "meta" : { + "globalKey" : "8c25e9ca" + } + } + }, + "meta" : { + "globalKey" : "8c25e9ca" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5750000, + "unit" : { + "currency" : { + "value" : "MXN" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 463709.68, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "USD" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "e1a6c020" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "5b0baa7d", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "5b0baa7d", @@ -39,374 +369,6 @@ "globalKey" : "3ed210" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_VanillaOption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2010-12-04", - "meta" : { - "globalKey" : "3ed304" - } - }, - "meta" : { - "globalKey" : "3ed304" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "18:00:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } - }, - "observationDates" : { - "observationSchedule" : { - "observationDate" : [ { - "adjustedDate" : "2010-11-01", - "weight" : 1, - "meta" : { - "globalKey" : "79b8590" - } - }, { - "adjustedDate" : "2010-11-02", - "weight" : 1, - "meta" : { - "globalKey" : "79b85af" - } - }, { - "adjustedDate" : "2010-11-03", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ce" - } - }, { - "adjustedDate" : "2010-11-04", - "weight" : 1, - "meta" : { - "globalKey" : "79b85ed" - } - }, { - "adjustedDate" : "2010-11-05", - "weight" : 3, - "meta" : { - "globalKey" : "79b860e" - } - }, { - "adjustedDate" : "2010-11-08", - "weight" : 1, - "meta" : { - "globalKey" : "79b8669" - } - }, { - "adjustedDate" : "2010-11-09", - "weight" : 1, - "meta" : { - "globalKey" : "79b8688" - } - }, { - "adjustedDate" : "2010-11-10", - "weight" : 1, - "meta" : { - "globalKey" : "79b86a7" - } - }, { - "adjustedDate" : "2010-11-11", - "weight" : 1, - "meta" : { - "globalKey" : "79b86c6" - } - }, { - "adjustedDate" : "2010-11-12", - "weight" : 3, - "meta" : { - "globalKey" : "79b86e7" - } - }, { - "adjustedDate" : "2010-11-15", - "weight" : 1, - "meta" : { - "globalKey" : "79b8742" - } - }, { - "adjustedDate" : "2010-11-16", - "weight" : 1, - "meta" : { - "globalKey" : "79b8761" - } - }, { - "adjustedDate" : "2010-11-17", - "weight" : 1, - "meta" : { - "globalKey" : "79b8780" - } - }, { - "adjustedDate" : "2010-11-18", - "weight" : 1, - "meta" : { - "globalKey" : "79b879f" - } - }, { - "adjustedDate" : "2010-11-19", - "weight" : 3, - "meta" : { - "globalKey" : "79b87c0" - } - }, { - "adjustedDate" : "2010-11-22", - "weight" : 1, - "meta" : { - "globalKey" : "79b881b" - } - }, { - "adjustedDate" : "2010-11-23", - "weight" : 1, - "meta" : { - "globalKey" : "79b883a" - } - }, { - "adjustedDate" : "2010-11-24", - "weight" : 1, - "meta" : { - "globalKey" : "79b8859" - } - }, { - "adjustedDate" : "2010-11-25", - "weight" : 1, - "meta" : { - "globalKey" : "79b8878" - } - }, { - "adjustedDate" : "2010-11-26", - "weight" : 3, - "meta" : { - "globalKey" : "79b8899" - } - }, { - "adjustedDate" : "2010-11-29", - "weight" : 1, - "meta" : { - "globalKey" : "79b88f4" - } - }, { - "adjustedDate" : "2010-11-30", - "weight" : 1, - "meta" : { - "globalKey" : "79b8913" - } - } ] - } - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "adjustedDate" : { - "value" : "2010-11-30", - "meta" : { - "globalKey" : "3ed2de" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0" - } - } ], - "expirationTime" : { - "hourMinuteTime" : "12:30:00", - "businessCenter" : { - "value" : "MXMC" - } - }, - "meta" : { - "globalKey" : "7788203d" - } - }, - "strike" : { - "strikePrice" : { - "value" : 12.40, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "ExchangeRate" - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - } ], - "meta" : { - "globalKey" : "6cf6fa10" - } - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - }, - "meta" : { - "globalKey" : "6cf6fa10" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5750000, - "unit" : { - "currency" : { - "value" : "MXN" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 463709.68, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "MXN" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency1PerCurrency2" - }, - "primaryFxSpotRateSource" : { - "sourceProvider" : { - "value" : "Reuters" - }, - "sourcePage" : { - "value" : "BNBX" - } - } - } - } - }, - "meta" : { - "globalKey" : "d42a7fe4" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "5b0baa7d", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -443,7 +405,7 @@ } } ], "meta" : { - "globalKey" : "b9d29e97" + "globalKey" : "938fa4bf" } }, "transferHistory" : [ { @@ -494,6 +456,6 @@ } } ], "meta" : { - "globalKey" : "4d9ae235" + "globalKey" : "c9b1f05d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json index 765c002411..efb5158086 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex26-fxswap-multiple-USIs.json @@ -1,5 +1,278 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } + } + } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-01-25", + "meta" : { + "globalKey" : "3e9059" + } + }, + "meta" : { + "globalKey" : "3e9059" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c6011466" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-25", + "meta" : { + "globalKey" : "3e9099" + } + }, + "meta" : { + "globalKey" : "3e9099" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "meta" : { + "globalKey" : "f9327ec8" + } + } ], + "meta" : { + "globalKey" : "9a23cd2e" + } + } + }, + "meta" : { + "globalKey" : "bd19f963" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "7161b347" + } + }, { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "67f3ec67" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4a5d2d9f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a41bc6e9", + "externalReference" : "party2" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "1031234567", @@ -79,326 +352,6 @@ "globalKey" : "3e9057" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" - } - } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-01-25", - "meta" : { - "globalKey" : "3e9059" - } - }, - "meta" : { - "globalKey" : "3e9059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - } - }, - "meta" : { - "globalKey" : "c086df02" - } - }, - "meta" : { - "globalKey" : "f2fab1db" - } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - } - }, - "meta" : { - "globalKey" : "f381ccfe" - } - }, - "meta" : { - "globalKey" : "c6b74017" - } - } ], - "meta" : { - "globalKey" : "12ad3cdc" - } - } - }, - "meta" : { - "globalKey" : "1fd36851" - } - }, - "meta" : { - "globalKey" : "1fd36851" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "a5642346" - } - }, { - "price" : [ { - "value" : { - "value" : 1.5, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "81190e26" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a41bc6e9", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4a5d2d9f", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -435,10 +388,10 @@ } } ], "meta" : { - "globalKey" : "a9d5e933" + "globalKey" : "1bcc9859" } }, "meta" : { - "globalKey" : "a9d5e933" + "globalKey" : "1bcc9859" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.json index c357bc455e..7c13df6e20 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex28-non-deliverable-w-disruption.json @@ -1,273 +1,239 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d26b18a8", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345678", - "meta" : { - "scheme" : "urn:hsbc:trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_NDF" } ], - "meta" : { - "globalKey" : "26887e99" - } - }, { - "issuerReference" : { - "globalReference" : "733fed68", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AZ5678901", - "meta" : { - "scheme" : "run:bnpp/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "12f63b93" - } - } ], - "tradeDate" : { - "value" : "2013-04-01", - "meta" : { - "globalKey" : "3ee901" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_NDF" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "valueDate" : "2013-10-01", - "meta" : { - "globalKey" : "3eea81" - } - }, - "meta" : { - "globalKey" : "78df60d7" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "meta" : { - "globalKey" : "ec526e55" - }, - "fxFixingDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-09-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec526e55" - } - }, - "meta" : { - "globalKey" : "ec526e55" - } - } + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "valueDate" : "2013-10-01", + "meta" : { + "globalKey" : "3eea81" + } + }, + "meta" : { + "globalKey" : "78df60d7" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "afa87ab1" } - } ] + } }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } + "valuationDate" : { + "fxFixingDate" : { + "meta" : { + "globalKey" : "ec526e55" }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "fxFixingDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-09-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "ec526e55" } }, "meta" : { - "globalKey" : "b14144c1" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "globalKey" : "ec526e55" } } - }, - "meta" : { - "globalKey" : "8f19aac5" } }, "meta" : { - "globalKey" : "810fa10e" + "globalKey" : "afa87ab1" + } + } ] + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" } - } ], - "meta" : { - "globalKey" : "810fa10e" } + }, + "meta" : { + "globalKey" : "86a935a8" } - }, + } ], "meta" : { - "globalKey" : "810fa10e" + "globalKey" : "86a935a8" } - }, - "meta" : { - "globalKey" : "810fa10e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.7690, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 0.7645, - "operand" : 0.0045, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" + "meta" : { + "globalKey" : "86a935a8" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.7690, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3000000, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 0.7645, + "operand" : 0.0045, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" } - }, { - "value" : { - "value" : 2307000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3000000, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 2307000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { "value" : "BRL" }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } + "identifierType" : "CurrencyCode" + } ] } } }, "meta" : { - "globalKey" : "4ca2219" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "733fed68", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "d26b18a8", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "3aa70e14" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d26b18a8", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "733fed68", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d26b18a8", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345678", + "meta" : { + "scheme" : "urn:hsbc:trade-id" + } + } + } ], + "meta" : { + "globalKey" : "26887e99" + } + }, { + "issuerReference" : { + "globalReference" : "733fed68", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AZ5678901", + "meta" : { + "scheme" : "run:bnpp/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "12f63b93" + } + } ], + "tradeDate" : { + "value" : "2013-04-01", + "meta" : { + "globalKey" : "3ee901" + } }, "party" : [ { "partyId" : [ { @@ -303,10 +269,10 @@ } } ], "meta" : { - "globalKey" : "6ff10ac1" + "globalKey" : "6649a5a8" } }, "meta" : { - "globalKey" : "6ff10ac1" + "globalKey" : "6649a5a8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json index 52d30af990..45633e891a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex29-fx-swap-with-multiple-identifiers.json @@ -1,5 +1,280 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_Swap" + } ], + "economicTerms" : { + "payout" : { + "settlementPayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2012-01-25", + "meta" : { + "globalKey" : "3ee059" + } + }, + "meta" : { + "globalKey" : "3ee059" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "meta" : { + "globalKey" : "c60ac466" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementDate" : { + "valueDate" : "2002-02-25", + "meta" : { + "globalKey" : "3e9099" + } + }, + "meta" : { + "globalKey" : "3e9099" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "meta" : { + "globalKey" : "f9327ec8" + } + } ], + "meta" : { + "globalKey" : "8d7d7d2e" + } + } + }, + "meta" : { + "globalKey" : "8d7d7d2e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 1.48, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 1.00, + "operand" : 0.48, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + }, { + "value" : { + "value" : 14800000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "6d2e1415" + } + }, { + "price" : [ { + "value" : { + "value" : 1.5, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "ExchangeRate", + "composite" : { + "baseValue" : 1.00, + "operand" : 0.5, + "arithmeticOperator" : "Add", + "operandType" : "ForwardPoint" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 15000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-4" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Cash" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP" + }, + "identifierType" : "CurrencyCode" + } ] + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "f443bdf8" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8e102e3b", + "externalReference" : "ExecutingParty" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8e102e3c", + "externalReference" : "Counterparty" + } + } ], "tradeIdentifier" : [ { "issuer" : { "value" : "USIPREFIX", @@ -87,342 +362,6 @@ "globalKey" : "3ee041" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_Swap" - } ], - "economicTerms" : { - "payout" : { - "forwardPayout" : [ { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2012-01-25", - "meta" : { - "globalKey" : "3ee059" - } - }, - "meta" : { - "globalKey" : "3ee059" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - } - }, - "meta" : { - "globalKey" : "8f19aa36" - } - }, - "meta" : { - "globalKey" : "58f4ecbd" - } - }, { - "settlementTerms" : { - "settlementDate" : { - "valueDate" : "2002-02-25", - "meta" : { - "globalKey" : "3e9099" - } - }, - "meta" : { - "globalKey" : "3e9099" - } - }, - "underlier" : { - "foreignExchange" : { - "exchangedCurrency1" : { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b14144c1" - } - }, - "exchangedCurrency2" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "b141411f" - } - }, - "tenorPeriod" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - } - }, - "meta" : { - "globalKey" : "2e0e2aba" - } - }, - "meta" : { - "globalKey" : "c70b3501" - } - } ], - "meta" : { - "globalKey" : "33e74c7e" - } - } - }, - "meta" : { - "globalKey" : "33e74c7e" - } - }, - "meta" : { - "globalKey" : "33e74c7e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 1.48, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 1.00, - "operand" : 0.48, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 14800000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-4" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "2323dc38" - } - }, { - "price" : [ { - "value" : { - "value" : 1.5, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "ExchangeRate", - "composite" : { - "baseValue" : 1.00, - "operand" : 0.5, - "arithmeticOperator" : "Add", - "operandType" : "ForwardPoint" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] - } - }, { - "value" : { - "value" : 15000000, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "GBP" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - } - } - } - }, - "meta" : { - "globalKey" : "7ec36eb5" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8e102e3c", - "externalReference" : "Counterparty" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8e102e3b", - "externalReference" : "ExecutingParty" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -457,10 +396,10 @@ } } ], "meta" : { - "globalKey" : "f8e17bfb" + "globalKey" : "43c6bf8d" } }, "meta" : { - "globalKey" : "f8e17bfb" + "globalKey" : "43c6bf8d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.json index 30e91f6c4c..495c937585 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex30-variance-swap.json @@ -1,279 +1,245 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345", - "meta" : { - "scheme" : "http://www.citi.com/fx/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxVarianceSwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_ParameterReturnVariance" } ], - "meta" : { - "globalKey" : "984bc438" - } - } ], - "tradeDate" : { - "value" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxVarianceSwap", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_ParameterReturnVariance" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2011-04-04", + "meta" : { + "globalKey" : "3ed904" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2011-04-04", - "meta" : { - "globalKey" : "3ed904" - } + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "34d12999" + } + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "informationSource" : { + "primarySource" : { + "sourcePage" : { + "value" : "Sponsor Mid Page" + } + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "3ed8c1" } }, - "meta" : { - "globalKey" : "34d12999" - } - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "informationSource" : { - "primarySource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-31", + "meta" : { + "globalKey" : "3ed8df" } + }, + "meta" : { + "globalKey" : "3ed8df" } }, - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - }, - "primaryFxSpotRateSource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" - } - } + "periodDatesAdjustments" : { + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } + }, + "meta" : { + "globalKey" : "27e4e9" } }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-31", - "meta" : { - "globalKey" : "3ed8df" - } - }, - "meta" : { - "globalKey" : "3ed8df" - } - }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dayType" : "Business" - } - }, - "numberOfObservationDates" : 22 - }, + "dayType" : "Business" + } + }, + "numberOfObservationDates" : 22 + }, + "valuationDates" : { + "finalValuationDate" : { "valuationDates" : { - "finalValuationDate" : { - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "cef5340c" - }, - "dayType" : "Business", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - } - }, - "meta" : { - "globalKey" : "cef5340c" - } - }, + "relativeDates" : { + "periodMultiplier" : 1, + "period" : "D", "meta" : { "globalKey" : "cef5340c" - } - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "annualizationFactor" : 252, - "meanAdjustment" : true, - "varianceStrikePrice" : { - "value" : 0.1510, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" }, - "vegaNotionalAmount" : { - "value" : 100000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "dayType" : "Business", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } } + }, + "meta" : { + "globalKey" : "cef5340c" } }, "meta" : { - "globalKey" : "cbfb7b2a" + "globalKey" : "cef5340c" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "annualizationFactor" : 252, + "meanAdjustment" : true, + "varianceStrikePrice" : { + "value" : 0.1510, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "vegaNotionalAmount" : { + "value" : 100000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } } - } ], - "meta" : { - "globalKey" : "cbfb7b2a" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "81d4f811" } - }, + } ], "meta" : { - "globalKey" : "8af6d40e" + "globalKey" : "81d4f811" } }, - "meta" : { - "globalKey" : "8af6d40e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000.00 - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 33112582.78, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "38211a35" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000.00 + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + }, { + "value" : { + "value" : 33112582.78, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "ForeignExchangeRateIndex" : { "assetClass" : "ForeignExchange", "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" + "value" : { + "currency1" : { + "value" : "EUR" + }, + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency2PerCurrency1" }, - "quoteBasis" : "Currency2PerCurrency1" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quotedCurrencyPair-1" + } ] + } }, "primaryFxSpotRateSource" : { "sourcePage" : { @@ -284,30 +250,60 @@ } }, "meta" : { - "globalKey" : "dc501fba" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "73ca039c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345", + "meta" : { + "scheme" : "http://www.citi.com/fx/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "984bc438" + } + } ], + "tradeDate" : { + "value" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -358,7 +354,7 @@ } } ], "meta" : { - "globalKey" : "fd565d24" + "globalKey" : "4a02cc8b" } }, "transferHistory" : [ { @@ -408,6 +404,6 @@ } } ], "meta" : { - "globalKey" : "1a0432f3" + "globalKey" : "cc9139ec" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex31-volatility-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex31-volatility-swap.json index 223479de93..59f45555fe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex31-volatility-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/fx-derivatives/fx-ex31-volatility-swap.json @@ -1,250 +1,216 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "12345", - "meta" : { - "scheme" : "http://www.citi.com/fx/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "FxVolatilitySwap", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "ForeignExchange_ParameterReturnVolatility" } ], - "meta" : { - "globalKey" : "984bc438" - } - } ], - "tradeDate" : { - "value" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1", - "externalKey" : "TradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "FxVolatilitySwap", + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "adjustedDate" : { + "value" : "2011-04-04", + "meta" : { + "globalKey" : "3ed904" + } + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-type-simple" + "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "34d12999" } - } - }, { - "source" : "ISDA", - "productQualifier" : "ForeignExchange_ParameterReturnVolatility" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "USD" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "adjustedDate" : { - "value" : "2011-04-04", - "meta" : { - "globalKey" : "3ed904" - } + }, + "observationTerms" : { + "observationTime" : { + "hourMinuteTime" : "16:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "informationSource" : { + "primarySource" : { + "sourcePage" : { + "value" : "Sponsor Mid Page" + } + } + }, + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1" } }, "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "34d12999" - } - }, - "observationTerms" : { - "observationTime" : { - "hourMinuteTime" : "16:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "3ed8c1" } }, - "informationSource" : { - "primarySource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" + "endDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-31", + "meta" : { + "globalKey" : "3ed8df" } + }, + "meta" : { + "globalKey" : "3ed8df" } }, - "observable" : { - "index" : { - "ForeignExchangeRate" : { - "assetClass" : "ForeignExchange", - "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" - }, - "quoteBasis" : "Currency2PerCurrency1" - }, - "primaryFxSpotRateSource" : { - "sourcePage" : { - "value" : "Sponsor Mid Page" - } - } + "periodDatesAdjustments" : { + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" } + }, + "meta" : { + "globalKey" : "27e4e9" } }, - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-01", - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "meta" : { - "globalKey" : "3ed8c1" - } - }, - "endDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-31", - "meta" : { - "globalKey" : "3ed8df" - } - }, - "meta" : { - "globalKey" : "3ed8df" - } - }, - "periodDatesAdjustments" : { - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dayType" : "Business" - } - }, - "numberOfObservationDates" : 22 - }, + "dayType" : "Business" + } + }, + "numberOfObservationDates" : 22 + }, + "valuationDates" : { + "finalValuationDate" : { "valuationDates" : { - "finalValuationDate" : { - "valuationDates" : { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "cd405b6d" - }, - "dayType" : "Business", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - } - }, - "meta" : { - "globalKey" : "cd405b6d" - } - }, + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { "globalKey" : "cd405b6d" + }, + "dayType" : "Business", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } } - } - }, - "returnTerms" : { - "volatilityReturnTerms" : { - "annualizationFactor" : 252, - "meanAdjustment" : true, - "volatilityStrikePrice" : { - "value" : 0.1510, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - } + }, + "meta" : { + "globalKey" : "cd405b6d" } }, "meta" : { - "globalKey" : "8e4449fa" + "globalKey" : "cd405b6d" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "volatilityReturnTerms" : { + "annualizationFactor" : 252, + "meanAdjustment" : true, + "volatilityStrikePrice" : { + "value" : 0.1510, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" } - } ], - "meta" : { - "globalKey" : "8e4449fa" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "8230c115" } - }, + } ], "meta" : { - "globalKey" : "74c59daa" + "globalKey" : "8230c115" } }, - "meta" : { - "globalKey" : "74c59daa" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "9ca3f305" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { - "ForeignExchangeRate" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "ForeignExchangeRateIndex" : { "assetClass" : "ForeignExchange", "quotedCurrencyPair" : { - "currency1" : { - "value" : "EUR" - }, - "currency2" : { - "value" : "USD" + "value" : { + "currency1" : { + "value" : "EUR" + }, + "currency2" : { + "value" : "USD" + }, + "quoteBasis" : "Currency2PerCurrency1" }, - "quoteBasis" : "Currency2PerCurrency1" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quotedCurrencyPair-1" + } ] + } }, "primaryFxSpotRateSource" : { "sourcePage" : { @@ -255,30 +221,60 @@ } }, "meta" : { - "globalKey" : "4945a90e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "ed72c2f0" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "bc0f2fa8", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "ad2b4ce5", + "externalReference" : "partyB" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "bc0f2fa8", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "12345", + "meta" : { + "scheme" : "http://www.citi.com/fx/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "ad2b4ce5", - "externalReference" : "partyB" - } ] - } ] + "meta" : { + "globalKey" : "984bc438" + } + } ], + "tradeDate" : { + "value" : "2011-03-01", + "meta" : { + "globalKey" : "3ed8c1", + "externalKey" : "TradeDate" + } }, "party" : [ { "partyId" : [ { @@ -329,7 +325,7 @@ } } ], "meta" : { - "globalKey" : "dda3c034" + "globalKey" : "347bfa67" } }, "transferHistory" : [ { @@ -379,6 +375,6 @@ } } ], "meta" : { - "globalKey" : "7b5e59e3" + "globalKey" : "74728d90" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex01-ratio-zc-floored.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex01-ratio-zc-floored.json index 2592b61b85..0211e311b1 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex01-ratio-zc-floored.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex01-ratio-zc-floored.json @@ -1,345 +1,279 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "Party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.party1.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "b578cbc1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "Party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.party2.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "d041a96" - } - } ], - "tradeDate" : { - "value" : "2018-09-17", - "meta" : { - "globalKey" : "3f1251" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "product" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "leg_1_notionalSchedule" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12bd7b" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "669bda6" }, - "priceQuantity" : { - "quantitySchedule" : { + "floatingRateMultiplierSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-2" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "leg_1_notionalSchedule" } }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "12bd7b" + "globalKey" : "aa" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "meta" : { - "globalKey" : "669bda6" - }, - "floatingRateMultiplierSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "UKRPI" - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "initialIndexLevel" : 260.01935, - "fallbackBondApplicable" : true - } + "indexSource" : { + "value" : "UKRPI" }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISMA" + "interpolationMethod" : { + "value" : "LinearZeroYield" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-17", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2018-09-17", - "meta" : { - "globalKey" : "3f1251" - } - }, - "meta" : { - "globalKey" : "ece86949" - } - }, - "meta" : { - "globalKey" : "ece86949" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2036-11-22", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2036-11-22", - "meta" : { - "globalKey" : "3fa2d6" - } - }, - "meta" : { - "globalKey" : "ef06ec8e" - } - }, - "meta" : { - "globalKey" : "ef06ec8e" - } - }, - "calculationPeriodDatesAdjustments" : { + "initialIndexLevel" : 260.01935, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISMA" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-17", + "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { "globalKey" : "24a738" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-05-22", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece4bb0e" - } - }, + "adjustedDate" : { + "value" : "2018-09-17", "meta" : { - "globalKey" : "ece4bb0e" + "globalKey" : "3f1251" } }, - "firstRegularPeriodStartDate" : 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+ }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bf54c29" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "Party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "Party2" + }, + "meta" : { + "globalKey" : "cf26ff2a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "Party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "Party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.party1.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "b578cbc1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "Party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.party2.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "d041a96" + } + } ], + "tradeDate" : { + "value" : "2018-09-17", + "meta" : { + "globalKey" : "3f1251" + } }, "party" : [ { "partyId" : [ { @@ -632,10 +666,10 @@ } } ], "meta" : { - "globalKey" : "4bb948b2" + "globalKey" : "64747ecd" } }, "meta" : { - "globalKey" : "4bb948b2" + "globalKey" : "64747ecd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex02-ratio-zc-floored.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex02-ratio-zc-floored.json index f0fb82c023..bf7c51f7fe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex02-ratio-zc-floored.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex02-ratio-zc-floored.json @@ -1,786 +1,820 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "1111111111", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA000000000000000000000088888888", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } - } ], - "meta" : { - "globalKey" : "1817d78" - }, - "identifierType" : "UniqueTransactionIdentifier" - }, { - "issuerReference" : { - 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], - "meta" : { - "globalKey" : "cf49c1c0" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentOptionalEarlyTermination" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2019-12-05" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "ac5094c9" - } - }, - "meta" : { - "globalKey" : "ac5094c9", - "externalKey" : "cashSettlementPaymentDate" - } - }, - "meta" : { - "globalKey" : "9656842c" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "CashPriceMethod", - "valuationMethod" : { - 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} ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "acdf8d71" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "d3fd710" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "Party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "Party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentOptionalEarlyTermination", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "Party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "1111111111", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA000000000000000000000088888888", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "Party2" + "meta" : { + "globalKey" : "1817d78" + }, + "identifierType" : "UniqueTransactionIdentifier" + }, { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "Party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "88888888", + "meta" : { + "scheme" : "http://www.party1.com/swaps/trade-id" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "Party1" + } ], + "meta" : { + "globalKey" : "bb4a39f5" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "Party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.party2.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentOptionalEarlyTermination", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "Party1" - } ] - } ] + "meta" : { + "globalKey" : "d041a96" + } + } ], + "tradeDate" : { + "value" : "2014-12-05", + "meta" : { + "globalKey" : "3ef305" + } }, "party" : [ { "partyId" : [ { @@ -816,10 +850,10 @@ } } ], "meta" : { - "globalKey" : "b98beb4f" + "globalKey" : "bafeef69" } }, "meta" : { - "globalKey" : "b98beb4f" + "globalKey" : "bafeef69" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex03-par-par.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex03-par-par.json index 677caba5b0..ee2c326431 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex03-par-par.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex03-par-par.json @@ -1,172 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7eaeba26", - "externalReference" : "tradeSource" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TR2", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/trade-package-id" + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Inflation", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } } ], - "meta" : { - "globalKey" : "15ada275" - } - } ], - "tradeDate" : { - "value" : "2018-09-14", - "meta" : { - "globalKey" : "3f124e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Inflation", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12bd7b" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "669bdac" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "12bd7b" + "globalKey" : "aa" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "669bdac" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "UKRPI" - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "initialIndexLevel" : 260.01935, - "fallbackBondApplicable" : false - } + "indexSource" : { + "value" : "UKRPI" }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISMA" + "interpolationMethod" : { + "value" : "LinearZeroYield" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-05-22", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed02c30e" - } - }, - "meta" : { - "globalKey" : "ed02c30e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2036-11-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "63befe59" - } - }, - "meta" : { - "globalKey" : "63befe59" - } - }, - "calculationPeriodDatesAdjustments" : { + 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"dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -176,151 +101,146 @@ } }, "meta" : { - "globalKey" : "211e638d" + "globalKey" : "365c4b6f" } }, "meta" : { - "globalKey" : "2aa743ba", - "externalKey" : "floatingLeg2PaymentDates" + "globalKey" : "63befe59" } }, - "bondReference" : { - "bond" : { - "identifier" : { - "value" : "GB00BYZW3J87", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, - "conditionPrecedentBond" : false - }, "meta" : { - "globalKey" : "7576e286" + "globalKey" : "63befe59" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ab8" }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "80144017", + "externalKey" : "floatingLeg2CalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "12bd7b" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-05-22", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed02c30e" - } - }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "2aa743ba", + "externalKey" : "floatingLeg2PaymentDates" + } + }, + "bondReference" : { + "bond" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00BYZW3J87", "meta" : { - "globalKey" : "ed02c30e" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2036-11-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "63befe59" - } - }, - "meta" : { - "globalKey" : "63befe59" + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "conditionPrecedentBond" : false + }, + "meta" : { + "globalKey" : "bba97967" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12bd7b" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-05-22", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ab8" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "e3999720", - "externalKey" : "fixedLeg2CalcPeriodDates" + "globalKey" : "ed02c30e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed02c30e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2036-11-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -335,120 +255,215 @@ } }, "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "fixedLeg2PaymentDates" + "globalKey" : "63befe59" } }, "meta" : { - "globalKey" : "731c1a98" + "globalKey" : "63befe59" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ab8" + }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "e3999720", + "externalKey" : "fixedLeg2CalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, "meta" : { - "globalKey" : "1dc7829e" + "globalKey" : "3fe52b9c", + "externalKey" : "fixedLeg2PaymentDates" } + }, + "meta" : { + "globalKey" : "731c1a98" } - }, + } ], "meta" : { - "globalKey" : "55d93869" + "globalKey" : "2f3f37bf" } - }, - "meta" : { - "globalKey" : "55d93869" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "a9baa6ca" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "UK-RPI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "UK-RPI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "UK-RPI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "71d5291a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "39c6869f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "9960ac41" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a9a718f4", - "externalReference" : "counterpartyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cd70d9a6", - "externalReference" : "counterpartyA" + } ], + "meta" : { + "globalKey" : "9960ac41" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a9a718f4", + "externalReference" : "counterpartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cd70d9a6", + "externalReference" : "counterpartyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7eaeba26", + "externalReference" : "tradeSource" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TR2", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/trade-package-id" + } + } + } ], + "meta" : { + "globalKey" : "15ada275" + } + } ], + "tradeDate" : { + "value" : "2018-09-14", + "meta" : { + "globalKey" : "3f124e" + } }, "party" : [ { "partyId" : [ { @@ -690,7 +705,7 @@ } }, "meta" : { - "globalKey" : "ff734c34" + "globalKey" : "2ec67558" } }, "transferHistory" : [ { @@ -749,6 +764,6 @@ } } ], "meta" : { - "globalKey" : "d4ea7df2" + "globalKey" : "14abe4e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex04-proceeds.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex04-proceeds.json index 1f06ade57a..b40276c685 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex04-proceeds.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-asset-swap-ex04-proceeds.json @@ -1,172 +1,97 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "7eaeba26", - "externalReference" : "tradeSource" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TR3", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/trade-package-id" + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Inflation", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } } ], - "meta" : { - "globalKey" : "15ada276" - } - } ], - "tradeDate" : { - "value" : "2018-09-14", - "meta" : { - "globalKey" : "3f124e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Inflation", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12bd7b" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "669bdac" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "12bd7b" + "globalKey" : "aa" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "669bdac" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "UKRPI" - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "initialIndexLevel" : 260.01935, - "fallbackBondApplicable" : false - } + "indexSource" : { + "value" : "UKRPI" }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISMA" + "interpolationMethod" : { + "value" : "LinearZeroYield" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-05-22", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece4bb0e" - } - }, - "meta" : { - "globalKey" : "ece4bb0e" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2036-11-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "63befe59" - } - }, - "meta" : { - "globalKey" : "63befe59" - } - }, - "calculationPeriodDatesAdjustments" : { + "initialIndexLevel" : 260.01935, + "fallbackBondApplicable" : false + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISMA" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-05-22", + "dateAdjustments" : { "businessDayConvention" : "NONE", "meta" : { "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ab8" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "31243817", - "externalKey" : "floatingLeg2CalcPeriodDates" + "globalKey" : "ece4bb0e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "ece4bb0e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2036-11-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -176,151 +101,146 @@ } }, "meta" : { - "globalKey" : "211e638d" + "globalKey" : "365c4b6f" } }, "meta" : { - "globalKey" : "2aa743ba", - "externalKey" : "floatingLeg2PaymentDates" + "globalKey" : "63befe59" } }, - "bondReference" : { - "bond" : { - "identifier" : { - "value" : "GB00BYZW3J87", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, - "conditionPrecedentBond" : false - }, "meta" : { - "globalKey" : "b796da86" + "globalKey" : "63befe59" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ab8" }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "31243817", + "externalKey" : "floatingLeg2CalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "12bd7b" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-05-22", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece4bb0e" - } - }, + "meta" : { + "globalKey" : "211e638d" + } + }, + "meta" : { + "globalKey" : "2aa743ba", + "externalKey" : "floatingLeg2PaymentDates" + } + }, + "bondReference" : { + "bond" : { + "identifier" : [ { + "identifier" : { + "value" : "GB00BYZW3J87", "meta" : { - "globalKey" : "ece4bb0e" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2036-11-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "63befe59" - } - }, - "meta" : { - "globalKey" : "63befe59" + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "conditionPrecedentBond" : false + }, + "meta" : { + "globalKey" : "f5ab7167" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12bd7b" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-05-22", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ab8" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "d4e69f20", - "externalKey" : "fixedLeg2CalcPeriodDates" + "globalKey" : "ece4bb0e" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece4bb0e" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2036-11-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -335,120 +255,215 @@ } }, "meta" : { - "globalKey" : "3fe52b9c", - "externalKey" : "fixedLeg2PaymentDates" + "globalKey" : "63befe59" } }, "meta" : { - "globalKey" : "dbf2298" + "globalKey" : "63befe59" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ab8" + }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "d4e69f20", + "externalKey" : "fixedLeg2CalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, "meta" : { - "globalKey" : "7158829e" + "globalKey" : "3fe52b9c", + "externalKey" : "fixedLeg2PaymentDates" } + }, + "meta" : { + "globalKey" : "dbf2298" } - }, + } ], "meta" : { - "globalKey" : "a96a3869" + "globalKey" : "ff3237bf" } - }, - "meta" : { - "globalKey" : "a96a3869" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "79ada6ca" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "UK-RPI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "UK-RPI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "UK-RPI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "71d5291a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "39c6869f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 171614793.936162, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 171614793.936162, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "1a26c00c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "a9a718f4", - "externalReference" : "counterpartyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "cd70d9a6", - "externalReference" : "counterpartyA" + } ], + "meta" : { + "globalKey" : "1a26c00c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "a9a718f4", + "externalReference" : "counterpartyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "cd70d9a6", + "externalReference" : "counterpartyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "7eaeba26", + "externalReference" : "tradeSource" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TR3", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/trade-package-id" + } + } + } ], + "meta" : { + "globalKey" : "15ada276" + } + } ], + "tradeDate" : { + "value" : "2018-09-14", + "meta" : { + "globalKey" : "3f124e" + } }, "party" : [ { "partyId" : [ { @@ -690,10 +705,10 @@ } }, "meta" : { - "globalKey" : "d54c0b8a" + "globalKey" : "975a7d4c" } }, "meta" : { - "globalKey" : "d54c0b8a" + "globalKey" : "975a7d4c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex01-yoy.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex01-yoy.json index 281b3c7850..299c8588e3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex01-yoy.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex01-yoy.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,29 +59,18 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "1b71c89f", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -184,119 +85,130 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "7c04949a" } }, "meta" : { - "globalKey" : "1f75a2d6" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "1b71c89f", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "b48514ba" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "BLS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "1f75a2d6" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "1/1" + "meta" : { + "globalKey" : "b48514ba" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "BLS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -310,29 +222,18 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "1b71cead", - "externalKey" : "N101C1" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -347,133 +248,244 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "81487960" + "globalKey" : "365baaee" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "c60dddca" + "globalKey" : "1b71cead", + "externalKey" : "N101C1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "c6597c34" - } - }, - "meta" : { - "globalKey" : "c6597c34" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "b34971cc" + } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "81487960" } } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "c60dddca" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "c6597c34" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "cc63fc45" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "cc63fc45" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "30ade99" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "d3a9b8c6" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -540,7 +552,7 @@ } } ], "meta" : { - "globalKey" : "c4570b9e" + "globalKey" : "7142d757" } }, "transferHistory" : [ { @@ -599,6 +611,6 @@ } } ], "meta" : { - "globalKey" : "992ea69d" + "globalKey" : "f94a4f44" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json index 0a0ce66674..18c5ee7c25 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex02-yoy-bond-reference.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,55 +59,18 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d93d41", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,131 +85,31 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "7c04949a" } }, - "bondReference" : { - "bond" : { - "identifier" : { - "value" : "XS0125141316", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" - } - }, - "identifierType" : "ISIN" - }, - "conditionPrecedentBond" : true - }, "meta" : { - "globalKey" : "4f84cd4d" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "b48514ba" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "BLS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -348,55 +123,133 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d9434f", - "externalKey" : "N101C1" + "globalKey" : "d349efa2" + } + }, + "meta" : { + "globalKey" : "d349efa2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "98d93d41", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72d0e7b0" + } + }, + "bondReference" : { + "bond" : { + "identifier" : [ { + "identifier" : { + "value" : "XS0125141316", "meta" : { - "globalKey" : "78" + "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-ISIN" } }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "identifierType" : "ISIN" + } ], + "securityType" : "Debt" + }, + "conditionPrecedentBond" : true + }, + "meta" : { + "globalKey" : "a8279c66" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "b48514ba" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "BLS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,22 +264,18 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "e0f0b49a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "98d9434f", - "externalReference" : "N101C1" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -435,19 +284,36 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "cd37984b", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -462,141 +328,290 @@ } }, "meta" : { - "globalKey" : "cd37984b", - "externalKey" : "resetDates" + "globalKey" : "d349efa2" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "23f52e0f" + "globalKey" : "d349efa2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "a2cb8ae2" + "globalKey" : "98d9434f", + "externalKey" : "N101C1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "6a60434c" - } - }, - "meta" : { - "globalKey" : "6a60434c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "72d0e7b0" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "98d9434f", + "externalReference" : "N101C1" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "cd37984b", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cd37984b", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "23f52e0f" } } ], "meta" : { - "globalKey" : "fac5b305" + "globalKey" : "a5079d69" } - }, { - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "cde1d013" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fac5b305" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "ea25de8f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8d2092b2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -663,7 +678,7 @@ } } ], "meta" : { - "globalKey" : "1cd13bbe" + "globalKey" : "b4132720" } }, "transferHistory" : [ { @@ -722,6 +737,6 @@ } } ], "meta" : { - "globalKey" : "ff7627d" + "globalKey" : "9df69db" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json index 60f477bcec..3f1f354051 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex03-yoy-initial-level.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,55 +59,18 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d93d41", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,120 +85,31 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "7c04949a" } }, "meta" : { - "globalKey" : "7dc68504" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "30a459ea" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "BLS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "initialIndexLevel" : 0.0190, - "fallbackBondApplicable" : true + "globalKey" : "20a71d" } }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -337,55 +123,119 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d9434f", - "externalKey" : "N101C1" + "globalKey" : "d349efa2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d349efa2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "98d93d41", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72d0e7b0" + } + }, + "meta" : { + "globalKey" : "7dc68504" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "30a459ea" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "BLS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "initialIndexLevel" : 0.0190, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -400,22 +250,18 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "e0f0b49a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "98d9434f", - "externalReference" : "N101C1" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -424,19 +270,36 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "cd37984b", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -451,141 +314,290 @@ } }, "meta" : { - "globalKey" : "cd37984b", - "externalKey" : "resetDates" + "globalKey" : "d349efa2" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "2fba5801" + "globalKey" : "d349efa2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "2b136205" + "globalKey" : "98d9434f", + "externalKey" : "N101C1" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "meta" : { - "globalKey" : "eddaf" - } - }, - "meta" : { - "globalKey" : "eddaf" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "72d0e7b0" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "98d9434f", + "externalReference" : "N101C1" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "cd37984b", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cd37984b", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2fba5801" } } ], "meta" : { - "globalKey" : "fac5b305" + "globalKey" : "2b136205" } - }, { - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + } + }, + "meta" : { + "globalKey" : "eddaf" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fac5b305" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "ea25de8f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8d2092b2" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -652,7 +664,7 @@ } } ], "meta" : { - "globalKey" : "f79a76c5" + "globalKey" : "d0df12bc" } }, "transferHistory" : [ { @@ -711,6 +723,6 @@ } } ], "meta" : { - "globalKey" : "81f87b16" + "globalKey" : "e7591cbf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json index 2620f48e89..a0fd25b000 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex04-yoy-interp.json @@ -1,139 +1,51 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2003-11-15", - "meta" : { - "globalKey" : "3e9acf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_InflationSwap_FixedFloat_YearOn_Year" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -147,55 +59,18 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17965" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d93d41", - "externalKey" : "N104F4" + "globalKey" : "e0f0b49a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -210,119 +85,31 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "7c04949a" } }, "meta" : { - "globalKey" : "7dc68504" + "globalKey" : "7c04949a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "ac2f6e4b" - }, - "inflationLag" : { - "periodMultiplier" : 2, - "period" : "M", - "meta" : { - "globalKey" : "8b" - } - }, - "indexSource" : { - "value" : "UKRPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "ONS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "meta" : { - "globalKey" : "e0f0b49a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-11-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "meta" : { - "globalKey" : "7c04949a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -336,55 +123,118 @@ "globalKey" : "365baaee" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2003-11-12", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "meta" : { - "globalKey" : "d349efa2" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f73" - }, - "rollConvention" : "20" - }, "meta" : { - "globalKey" : "98d9434f", - "externalKey" : "N101C1" + "globalKey" : "d349efa2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2004-11-20", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "d349efa2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17965" + }, + "rollConvention" : "20" + }, + "meta" : { + "globalKey" : "98d93d41", + "externalKey" : "N104F4" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72d0e7b0" + } + }, + "meta" : { + "globalKey" : "7dc68504" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "ac2f6e4b" + }, + "inflationLag" : { + "periodMultiplier" : 2, + "period" : "M", + "meta" : { + "globalKey" : "8b" + } + }, + "indexSource" : { + "value" : "UKRPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "ONS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -399,22 +249,18 @@ } }, "meta" : { - "globalKey" : "72d0e7b0" + "globalKey" : "e0f0b49a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "98d9434f", - "externalReference" : "N101C1" - }, - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "e0f0b49a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-11-20", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" @@ -423,19 +269,36 @@ "globalKey" : "20a71d" } }, - "dateRelativeTo" : { - "globalReference" : "cd37984b", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", "meta" : { - "globalKey" : "aa" + "globalKey" : "365baaee" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "7c04949a" + } + }, + "meta" : { + "globalKey" : "7c04949a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2003-11-12", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -450,131 +313,280 @@ } }, "meta" : { - "globalKey" : "cd37984b", - "externalKey" : "resetDates" + "globalKey" : "d349efa2" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "ef392f1e" + "globalKey" : "d349efa2" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f73" + }, + "rollConvention" : "20" + }, "meta" : { - "globalKey" : "f754d49a" + "globalKey" : "98d9434f", + "externalKey" : "N101C1" } - } - }, - "meta" : { - "globalKey" : "f754d49a" - } - }, - "meta" : { - "globalKey" : "f754d49a" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2004-11-20", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "72d0e7b0" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "98d9434f", + "externalReference" : "N101C1" + }, + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "cd37984b", + "externalReference" : "resetDates" } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cd37984b", + "externalKey" : "resetDates" } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "ef392f1e" } } ], "meta" : { - "globalKey" : "fac5b305" + "globalKey" : "f754d49a" } - }, { - "quantity" : [ { - "value" : { - "value" : 1, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "meta" : { + "globalKey" : "f754d49a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "UK-RPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "fac5b305" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "UK-RPI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "UK-RPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + } } }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5b47acbb" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "390b1c8c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2003-11-15", + "meta" : { + "globalKey" : "3e9acf" + } }, "party" : [ { "partyId" : [ { @@ -641,10 +653,10 @@ } } ], "meta" : { - "globalKey" : "e1adf2a7" + "globalKey" : "77e11ccc" } }, "meta" : { - "globalKey" : "e1adf2a7" + "globalKey" : "77e11ccc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex05-zc.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex05-zc.json index 9b9f828758..634f17cce2 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex05-zc.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex05-zc.json @@ -1,135 +1,47 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "2005-02-20", - "meta" : { - "globalKey" : "3ea894" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "product" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "meta" : { - "globalKey" : "5afd9099" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "meta" : { - "globalKey" : "e612a099" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -143,54 +55,57 @@ "globalKey" : "365c4b6f" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-20", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "5afd9099" + } + }, + "meta" : { + "globalKey" : "5afd9099" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "5793df5b" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "5793df5b" + "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17967" - }, - "rollConvention" : "22" - }, "meta" : { - "globalKey" : "c99c723f", - "externalKey" : "N10434" + "globalKey" : "e612a099" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "e612a099" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-20", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -205,147 +120,141 @@ } }, "meta" : { - "globalKey" : "77cc2790" + "globalKey" : "5793df5b" } }, "meta" : { - "globalKey" : "b89840b4" + "globalKey" : "5793df5b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17967" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "22" + }, + "meta" : { + "globalKey" : "c99c723f", + "externalKey" : "N10434" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "ac2f6e4b" - }, - "inflationLag" : { - "periodMultiplier" : 2, - "period" : "M", - "meta" : { - "globalKey" : "8b" - } - }, - "indexSource" : { - "value" : "UKRPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" - } - }, - "mainPublication" : { - "value" : "ONS", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" - } - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "fallbackBondApplicable" : true + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "77cc2790" + } + }, + "meta" : { + "globalKey" : "b89840b4" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "1/1" + "meta" : { + "globalKey" : "ac2f6e4b" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "5afcf018" - } - }, - "meta" : { - "globalKey" : "5afcf018" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2035-02-22", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "inflationLag" : { + "periodMultiplier" : 2, + "period" : "M", + "meta" : { + "globalKey" : "8b" + } + }, + "indexSource" : { + "value" : "UKRPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-source-1-0" + } + }, + "mainPublication" : { + "value" : "ONS", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-main-publication-1-0" + } + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "fallbackBondApplicable" : true + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-02-22", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "e6120018" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "e6120018" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "25229d" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "9b05e205", - "externalKey" : "N10277" + "globalKey" : "5afcf018" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 30, - "period" : "Y", - "meta" : { - "globalKey" : "3fb" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "5afcf018" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2035-02-22", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -360,123 +269,226 @@ } }, "meta" : { - "globalKey" : "77cb870f" + "globalKey" : "e6120018" } }, - "compoundingMethod" : "None", "meta" : { - "globalKey" : "4e771854" + "globalKey" : "e6120018" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "25229d" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "64b42708" + "globalKey" : "9b05e205", + "externalKey" : "N10277" } - } - }, - "meta" : { - "globalKey" : "64b42708" - } - }, - "meta" : { - "globalKey" : "64b42708" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 30, + "period" : "Y", + "meta" : { + "globalKey" : "3fb" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "77cb870f" + } }, + "compoundingMethod" : "None", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "4e771854" } } ], - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "64b42708" + } + } + }, + "meta" : { + "globalKey" : "64b42708" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "f9769252" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } ], + "meta" : { + "globalKey" : "f9769252" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "UK-RPI", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "UK-RPI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "UK-RPI", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "8987eb5a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2ca0033", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "312ceee", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "646a4c5f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "2ca0033", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "312ceee", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "2005-02-20", + "meta" : { + "globalKey" : "3ea894" + } }, "party" : [ { "partyId" : [ { @@ -543,10 +555,10 @@ } } ], "meta" : { - "globalKey" : "e20912fd" + "globalKey" : "e5a496d6" } }, "meta" : { - "globalKey" : "e20912fd" + "globalKey" : "e5a496d6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex06-zc.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex06-zc.json index 4f16d224fe..d24073147d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex06-zc.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex06-zc.json @@ -1,5 +1,421 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:Inflation" + } + } + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-07-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2018-07-30", + "meta" : { + "globalKey" : "3f11de" + } + }, + "meta" : { + "globalKey" : "ece6b996" + } + }, + "meta" : { + "globalKey" : "ece6b996" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-07-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2023-07-30", + "meta" : { + "globalKey" : "3f39de" + } + }, + "meta" : { + "globalKey" : "ed7ce196" + } + }, + "meta" : { + "globalKey" : "ed7ce196" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "24b5c0" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "c61c66b8", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 5, + "period" : "Y", + "meta" : { + "globalKey" : "f4" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "61763076", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "c600a429" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "InflationRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "39a4032e" + }, + "inflationLag" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "indexSource" : { + "value" : "CPURNSA" + }, + "interpolationMethod" : { + "value" : "LinearZeroYield" + }, + "initialIndexLevel" : 251.52077, + "fallbackBondApplicable" : false + } + }, + "dayCountFraction" : { + "value" : "1/1" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-07-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2018-07-30", + "meta" : { + "globalKey" : "3f11de" + } + }, + "meta" : { + "globalKey" : "ece6b996" + } + }, + "meta" : { + "globalKey" : "ece6b996" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-07-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2023-07-30", + "meta" : { + "globalKey" : "3f39de" + } + }, + "meta" : { + "globalKey" : "ed7ce196" + } + }, + "meta" : { + "globalKey" : "ed7ce196" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 5, + "period" : "Y", + "meta" : { + "globalKey" : "24c4c4" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "c61c75bc", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 5, + "period" : "Y", + "meta" : { + "globalKey" : "f4" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "61763076", + "externalKey" : "paymentDates2" + } + }, + "meta" : { + "globalKey" : "f285ee61" + } + } ], + "meta" : { + "globalKey" : "4997b2ca" + } + } + }, + "meta" : { + "globalKey" : "93b3f4cb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.023, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1234567890, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "3603c1f7" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1234567890, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USA-CPI-U" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "USA-CPI-U" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "4796eb20" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e47ffb0", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8251773a", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "98ab71eb", @@ -143,410 +559,6 @@ "globalKey" : "3f1a57" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:Inflation" - } - } - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-07-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2018-07-30", - "meta" : { - "globalKey" : "3f11de" - } - }, - "meta" : { - "globalKey" : "ece6b996" - } - }, - "meta" : { - "globalKey" : "ece6b996" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-07-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2023-07-30", - "meta" : { - "globalKey" : "3f39de" - } - }, - "meta" : { - "globalKey" : "ed7ce196" - } - }, - "meta" : { - "globalKey" : "ed7ce196" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "24b5c0" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "c61c66b8", - "externalKey" : "fixedCalcPeriodDates1" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 5, - "period" : "Y", - "meta" : { - "globalKey" : "f4" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "61763076", - "externalKey" : "paymentDates1" - } - }, - "meta" : { - "globalKey" : "c600a429" - } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "inflationRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "39a4032e" - }, - "inflationLag" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "indexSource" : { - "value" : "CPURNSA" - }, - "interpolationMethod" : { - "value" : "LinearZeroYield" - }, - "initialIndexLevel" : 251.52077, - "fallbackBondApplicable" : false - } - }, - "dayCountFraction" : { - "value" : "1/1" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-07-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2018-07-30", - "meta" : { - "globalKey" : "3f11de" - } - }, - "meta" : { - "globalKey" : "ece6b996" - } - }, - "meta" : { - "globalKey" : "ece6b996" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-07-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2023-07-30", - "meta" : { - "globalKey" : "3f39de" - } - }, - "meta" : { - "globalKey" : "ed7ce196" - } - }, - "meta" : { - "globalKey" : "ed7ce196" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 5, - "period" : "Y", - "meta" : { - "globalKey" : "24c4c4" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "c61c75bc", - "externalKey" : "floatingCalcPeriodDates2" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 5, - "period" : "Y", - "meta" : { - "globalKey" : "f4" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "61763076", - "externalKey" : "paymentDates2" - } - }, - "meta" : { - "globalKey" : "f285ee61" - } - } ], - "meta" : { - "globalKey" : "4997b2ca" - } - } - }, - "meta" : { - "globalKey" : "93b3f4cb" - } - }, - "meta" : { - "globalKey" : "93b3f4cb" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.023, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1234567890, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "meta" : { - "globalKey" : "3603c1f7" - } - }, { - "quantity" : [ { - "value" : { - "value" : 1234567890, - "unit" : { - "currency" : { - "value" : "USD" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "USA-CPI-U" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, - "meta" : { - "globalKey" : "767cbeff" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2e47ffb0", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8251773a", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -686,10 +698,10 @@ } }, "meta" : { - "globalKey" : "8a35c94c" + "globalKey" : "cf41f6b1" } }, "meta" : { - "globalKey" : "8a35c94c" + "globalKey" : "cf41f6b1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex10-float-v-float-BRL.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex10-float-v-float-BRL.json index 419e14a769..5d83788e28 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex10-float-v-float-BRL.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex10-float-v-float-BRL.json @@ -1,630 +1,663 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4012bccf", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43660124A", - "meta" : { - "scheme" : "http://www.party-a.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ecb5e284" - } - }, { - "issuerReference" : { - "globalReference" : "6120e0ad", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "43660133A", - "meta" : { - "scheme" : 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"BRL" - } + "meta" : { + "globalKey" : "6eb888ea" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 474045351.35, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "inflationRateIndex" : { - "value" : "BRL-IPCA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InflationIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-IPCA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "inflationRateIndex" : { + "value" : "BRL-IPCA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/inflation-index-description-2-0" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "6cf66bbd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 474045351.35, - "unit" : { - "currency" : { - "value" : "BRL" - } + }, + "meta" : { + "globalKey" : "bd229ebe" + } + }, { + "quantity" : [ { + "value" : { + "value" : 474045351.35, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d3687040" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "6ff519c" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6120e0ad", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4012bccf", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4012bccf", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43660124A", + "meta" : { + "scheme" : "http://www.party-a.com/swaps/trade-id" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6120e0ad", - "externalReference" : "partyB" + "meta" : { + "globalKey" : "ecb5e284" + } + }, { + "issuerReference" : { + "globalReference" : "6120e0ad", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "43660133A", + "meta" : { + "scheme" : "http://www.party-b.com/swaps/trade-id" + } } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4012bccf", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "ecb65a85" + } + }, { + "issuerReference" : { + "globalReference" : "5b04bd89", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "187355008-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } - } ] + } ], + "meta" : { + "globalKey" : "62bf9b5d" + } + } ], + "tradeDate" : { + "value" : "2022-06-13", + "meta" : { + "globalKey" : "3f318d" + } }, "party" : [ { "partyId" : [ { @@ -688,10 +721,10 @@ } } ], "meta" : { - "globalKey" : "3cb65762" + "globalKey" : "912bdd9" } }, "meta" : { - "globalKey" : "3cb65762" + "globalKey" : "912bdd9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex11-CLP-fixed-v-fixed-fx-linked-notional.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex11-CLP-fixed-v-fixed-fx-linked-notional.json index 4ed7609d58..0e99597d52 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex11-CLP-fixed-v-fixed-fx-linked-notional.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex11-CLP-fixed-v-fixed-fx-linked-notional.json @@ -1,215 +1,71 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4012bccf", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "596604984", - "meta" : { - "scheme" : "http://www.party-a.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f042d692" - } - }, { - "issuerReference" : { - "globalReference" : "6120e0ad", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "BCID71046476", - "meta" : { - "scheme" : "http://www.party-b.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "5a9916fb" - } - }, { - "issuerReference" : { - "globalReference" : "5b04bd89", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "184467696-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFixed" } ], - "meta" : { - "globalKey" : "467c0493" - } - } ], - "tradeDate" : { - "value" : "2022-05-03", - "meta" : { - "globalKey" : "3f3143" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleCLP" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFixed" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleCLP" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "fc9d3dd1" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CLP.DOLAR.OBS/CLP10" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "930d6fc9" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "abbf0498", - "externalReference" : "fixedLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "6428a36b" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "9b35f8c4" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CLP.DOLAR.OBS/CLP10" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed60984d" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ed60984d" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-09-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "meta" : { - "globalKey" : "987da83f" - } - }, - "meta" : { - "globalKey" : "2eb40c4a" - } + "globalKey" : "930d6fc9" }, - "meta" : { - "globalKey" : "2eb40c4a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" @@ -220,33 +76,59 @@ "globalKey" : "4f454ae" } }, - "meta" : { - "globalKey" : "987da83f" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "abbf0498", + "externalReference" : "fixedLegPaymentDates" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "4693f12d", - "externalKey" : "fixedLegCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "6428a36b" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed60984d" + } + }, + "meta" : { + "globalKey" : "ed60984d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-09-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -263,200 +145,175 @@ } }, "meta" : { - "globalKey" : "abbf0498", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "2eb40c4a" } }, "meta" : { - "globalKey" : "cb203a68" + "globalKey" : "2eb40c4a" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "notionalScheduleCLP" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "CLF" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "9c806d7a" - }, - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "1f9c77" - } - }, - "dateRelativeTo" : { - "globalReference" : "abbf0498", - "externalReference" : "fixedLeg2PaymentDates" - } - }, - "fixingTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "CLSA" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "d329dc2b" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "abbf0498", - "externalReference" : "fixedLeg2PaymentDates" - } - } - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], "meta" : { - "globalKey" : "a0905d38" + "globalKey" : "4f454ae" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, + "meta" : { + "globalKey" : "987da83f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "4693f12d", + "externalKey" : "fixedLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], "meta" : { - "globalKey" : "12a6ef" + "globalKey" : "4f454ae" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "e14e744f" + "meta" : { + "globalKey" : "987da83f" + } + }, + "meta" : { + "globalKey" : "abbf0498", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "41a6b1b7" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "notionalScheduleCLP" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { + "value" : "CLF" }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CLP.DOLAR.OBS/CLP10" - } - } - } + "varyingNotionalFixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "9c806d7a" }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "77bea647" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "abbf0498", - "externalReference" : "fixedLeg2PaymentDates" - } ] - } + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "1f9c77" } }, + "dateRelativeTo" : { + "globalReference" : "abbf0498", + "externalReference" : "fixedLeg2PaymentDates" + } + }, + "fixingTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "CLSA" + } + }, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "48d9d9e9" + "globalKey" : "d329dc2b" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "abbf0498", + "externalReference" : "fixedLeg2PaymentDates" } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + } + } + }, + "meta" : { + "globalKey" : "a0905d38" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7fe72f42" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CLP.DOLAR.OBS/CLP10" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed60984d" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ed60984d" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2032-09-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "meta" : { - "globalKey" : "987da83f" - } - }, - "meta" : { - "globalKey" : "79ebcc4a" - } + "globalKey" : "77bea647" }, - "meta" : { - "globalKey" : "79ebcc4a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" @@ -467,33 +324,59 @@ "globalKey" : "4f454ae" } }, - "meta" : { - "globalKey" : "987da83f" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "abbf0498", + "externalReference" : "fixedLeg2PaymentDates" + } ] + } + } + }, + "meta" : { + "globalKey" : "48d9d9e9" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "df04312d", - "externalKey" : "fixedLeg2CalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed60984d" + } + }, + "meta" : { + "globalKey" : "ed60984d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2032-09-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -510,117 +393,229 @@ } }, "meta" : { - "globalKey" : "abbf0498", - "externalKey" : "fixedLeg2PaymentDates" + "globalKey" : "79ebcc4a" + } + }, + "meta" : { + "globalKey" : "79ebcc4a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" } }, "meta" : { - "globalKey" : "cf9cf26e" + "globalKey" : "987da83f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "466ed8d6" + "globalKey" : "df04312d", + "externalKey" : "fixedLeg2CalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "b3bee4a9" - } - }, - "meta" : { - "globalKey" : "b3bee4a9" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0, - "unit" : { - "currency" : { - "value" : "CLP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" } }, - "perUnitOf" : { - "currency" : { - "value" : "CLP" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" + } + }, + "meta" : { + "globalKey" : "987da83f" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 16713460000, - "unit" : { - "currency" : { - "value" : "CLP" - } + "meta" : { + "globalKey" : "abbf0498", + "externalKey" : "fixedLeg2PaymentDates" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "4a8b2dad" } } ], "meta" : { - "globalKey" : "36bdbeb4" + "globalKey" : "bb434a56" } - }, { - "price" : [ { - "value" : { - "value" : 0.0, - "priceType" : "InterestRate" + } + }, + "meta" : { + "globalKey" : "14bfad69" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0, + "unit" : { + "currency" : { + "value" : "CLP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "CLF" - } + "perUnitOf" : { + "currency" : { + "value" : "CLP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16713460000, + "unit" : { + "currency" : { + "value" : "CLP" + } } - } ], + }, "meta" : { - "globalKey" : "51cc43e3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "4012bccf", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "36bdbeb4" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6120e0ad", - "externalReference" : "partyB" + "price" : [ { + "value" : { + "value" : 0.0, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "CLF" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "51cc43e3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "4012bccf", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6120e0ad", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4012bccf", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "596604984", + "meta" : { + "scheme" : "http://www.party-a.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f042d692" + } + }, { + "issuerReference" : { + "globalReference" : "6120e0ad", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BCID71046476", + "meta" : { + "scheme" : "http://www.party-b.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5a9916fb" + } + }, { + "issuerReference" : { + "globalReference" : "5b04bd89", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "184467696-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "467c0493" + } + } ], + "tradeDate" : { + "value" : "2022-05-03", + "meta" : { + "globalKey" : "3f3143" + } }, "party" : [ { "partyId" : [ { @@ -684,10 +679,10 @@ } } ], "meta" : { - "globalKey" : "271cc78b" + "globalKey" : "cec5f4b" } }, "meta" : { - "globalKey" : "271cc78b" + "globalKey" : "cec5f4b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex12-CLP-fixed-v-ICP-fx-linked-notional.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex12-CLP-fixed-v-ICP-fx-linked-notional.json index 51f3c7bdd6..2d501c75a5 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex12-CLP-fixed-v-ICP-fx-linked-notional.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/inflation-swaps/inflation-swap-ex12-CLP-fixed-v-ICP-fx-linked-notional.json @@ -1,213 +1,71 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "4012bccf", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "596604984", - "meta" : { - "scheme" : "http://www.party-a.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f042d692" - } - }, { - "issuerReference" : { - "globalReference" : "6120e0ad", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "BCID71046476", - "meta" : { - "scheme" : "http://www.party-b.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "5a9916fb" - } - }, { - "issuerReference" : { - "globalReference" : "5b04bd89", - "externalReference" : "partyC" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "184467696-2", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRateSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "467c0493" - } - } ], - "tradeDate" : { - "value" : "2022-05-03", - "meta" : { - "globalKey" : "3f3143" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRateSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleCLP" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleCLP" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "968a6ff" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CLP.DOLAR.OBS/CLP10" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "9fd8d8f7" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "634f312c", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "70f40c99" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "a80161f2" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CLP.DOLAR.OBS/CLP10" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed60984d" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "ed60984d" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2032-09-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "meta" : { - "globalKey" : "987da83f" - } - }, - "meta" : { - "globalKey" : "79ebcc4a" - } + "globalKey" : "9fd8d8f7" }, - "meta" : { - "globalKey" : "79ebcc4a" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" @@ -218,33 +76,57 @@ "globalKey" : "4f454ae" } }, - "meta" : { - "globalKey" : "987da83f" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "634f312c", + "externalReference" : "floatingLegPaymentDates" + } ] } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ab7" - }, - "rollConvention" : "21" - }, - "meta" : { - "globalKey" : "dee106bf", - "externalKey" : "floatingLegCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "70f40c99" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed60984d" + } + }, + "meta" : { + "globalKey" : "ed60984d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2032-09-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -261,47 +143,231 @@ } }, "meta" : { - "globalKey" : "634f312c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "79ebcc4a" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "dee106bf", - "externalReference" : "floatingLegCalcPeriodDates" + "meta" : { + "globalKey" : "79ebcc4a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" + } + }, + "meta" : { + "globalKey" : "987da83f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ab7" + }, + "rollConvention" : "21" + }, + "meta" : { + "globalKey" : "dee106bf", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" + } + }, + "meta" : { + "globalKey" : "987da83f" + } + }, + "meta" : { + "globalKey" : "634f312c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "dee106bf", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "983ef42d" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" + } + }, + "dateRelativeTo" : { + "globalReference" : "5dbdacd2", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" + } + }, + "meta" : { + "globalKey" : "987da83f" + } + }, + "meta" : { + "globalKey" : "5dbdacd2", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "825fb27" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "notionalScheduleCLP" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { + "value" : "CLF" }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { + "varyingNotionalFixingDates" : { "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "983ef42d" + "globalKey" : "b7cf36fc" }, - "businessDayConvention" : "PRECEDING", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "USNY" - }, { "value" : "CLSA" } ], "meta" : { - "globalKey" : "4f454ae" + "globalKey" : "1f9c77" } }, "dateRelativeTo" : { - "globalReference" : "5dbdacd2", - "externalReference" : "floatingLegResetDates" + "globalReference" : "634f312c", + "externalReference" : "fixedLegPaymentDates" } }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + "fixingTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "CLSA" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "ee78a5ad" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "634f312c", + "externalReference" : "fixedLegPaymentDates" + } + } + } + }, + "meta" : { + "globalKey" : "ba2975bc" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "9b35f8c4" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CLP.DOLAR.OBS/CLP10" + } + } + } + }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "930d6fc9" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "USNY" @@ -312,204 +378,59 @@ "globalKey" : "4f454ae" } }, - "meta" : { - "globalKey" : "987da83f" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "634f312c", + "externalReference" : "fixedLegPaymentDates" + } ] } - }, - "meta" : { - "globalKey" : "5dbdacd2", - "externalKey" : "floatingLegResetDates" } }, "meta" : { - "globalKey" : "4ecc0d8" + "globalKey" : "6428a36b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "notionalScheduleCLP" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "CLF" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b7cf36fc" - }, - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "1f9c77" - } - }, - "dateRelativeTo" : { - "globalReference" : "634f312c", - "externalReference" : "fixedLegPaymentDates" - } - }, - "fixingTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "CLSA" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "ee78a5ad" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "634f312c", - "externalReference" : "fixedLegPaymentDates" - } - } - } - }, - "meta" : { - "globalKey" : "ba2975bc" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "fc9d3dd1" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CLP.DOLAR.OBS/CLP10" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "930d6fc9" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "634f312c", - "externalReference" : "fixedLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "6428a36b" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-09-21", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed60984d" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-09-21", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed60984d" - } - }, - "meta" : { - "globalKey" : "ed60984d" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2032-09-21", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "meta" : { - "globalKey" : "987da83f" - } - }, - "meta" : { - "globalKey" : "79ebcc4a" - } - }, - "meta" : { - "globalKey" : "79ebcc4a" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed60984d" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2032-09-21", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -525,149 +446,242 @@ "globalKey" : "987da83f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ab7" - }, - "rollConvention" : "21" - }, "meta" : { - "globalKey" : "dee106bf", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "79ebcc4a" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "CLSA" - } ], - "meta" : { - "globalKey" : "4f454ae" - } - }, - "meta" : { - "globalKey" : "987da83f" - } - }, + "meta" : { + "globalKey" : "79ebcc4a" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], "meta" : { - "globalKey" : "634f312c", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "4f454ae" } }, "meta" : { - "globalKey" : "54956312" + "globalKey" : "987da83f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ab7" + }, + "rollConvention" : "21" + }, "meta" : { - "globalKey" : "8da9d7ea" + "globalKey" : "dee106bf", + "externalKey" : "fixedLegCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "12185abd" - } - }, - "meta" : { - "globalKey" : "12185abd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 16713460000, - "unit" : { - "currency" : { - "value" : "CLP" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "CLSA" + } ], + "meta" : { + "globalKey" : "4f454ae" + } + }, + "meta" : { + "globalKey" : "987da83f" } + }, + "meta" : { + "globalKey" : "634f312c", + "externalKey" : "fixedLegPaymentDates" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "a826a7d9" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CLP-ICP" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "meta" : { + "globalKey" : "bf612112" + } + } + }, + "meta" : { + "globalKey" : "e23a3b25" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 16713460000, + "unit" : { + "currency" : { + "value" : "CLP" } } }, "meta" : { - "globalKey" : "371a48f1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 500000, - "unit" : { - "currency" : { - "value" : "CLF" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CLP-ICP" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CLP-ICP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "51cc43e3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6120e0ad", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "99357644" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "4012bccf", - "externalReference" : "partyA" + "price" : [ { + "value" : { + "value" : 0.0, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 500000, + "unit" : { + "currency" : { + "value" : "CLF" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "51cc43e3" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6120e0ad", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "4012bccf", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "4012bccf", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "596604984", + "meta" : { + "scheme" : "http://www.party-a.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f042d692" + } + }, { + "issuerReference" : { + "globalReference" : "6120e0ad", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "BCID71046476", + "meta" : { + "scheme" : "http://www.party-b.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "5a9916fb" + } + }, { + "issuerReference" : { + "globalReference" : "5b04bd89", + "externalReference" : "partyC" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "184467696-2", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "467c0493" + } + } ], + "tradeDate" : { + "value" : "2022-05-03", + "meta" : { + "globalKey" : "3f3143" + } }, "party" : [ { "partyId" : [ { @@ -731,10 +745,10 @@ } } ], "meta" : { - "globalKey" : "af8ccc1e" + "globalKey" : "ebcc6d9" } }, "meta" : { - "globalKey" : "af8ccc1e" + "globalKey" : "ebcc6d9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01-vanilla-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01-vanilla-swap.json index 2c59b9af6b..b4cecea30c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01-vanilla-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01-vanilla-swap.json @@ -1,321 +1,257 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "29b63a53" - } - }, { - "issuerReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "27fe9f96" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea1a6ec6" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "DEFR" - } ], - "meta" : { - "globalKey" : "1ff50d", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "365af8de" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "meta" : { - "globalKey" : "a8d53690" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "DEFR" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "1ff50d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365af8de" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9b" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "a26405d2", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a8d53690" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "a8d53690" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a26405d2", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "eff6d356" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "30ff5b86", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9b" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "a26405d2", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "30ff5b86", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a51964f3" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "2ad6e87a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a26405d2", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "eff6d356" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "30ff5b86", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "30ff5b86", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "a51964f3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "1994-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "meta" : { - "globalKey" : "ea1a6ec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "1999-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "93c845ff" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "93c845ff" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -330,176 +266,252 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794a" - }, - "rollConvention" : "14" - }, "meta" : { - "globalKey" : "9249d1f2", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "93c845ff" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "1ff50d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "1ff50d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "b4b47bc7" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "16ed00fa" + "globalKey" : "9e3bcf2b" } + }, + "meta" : { + "globalKey" : "b4b47bc7" } - }, + } ], "meta" : { "globalKey" : "16ed00fa" } - }, - "meta" : { - "globalKey" : "16ed00fa" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "meta" : { + "globalKey" : "16ed00fa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c0d07bed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + }, + "meta" : { + "globalKey" : "614596fd" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "EUR", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "EUR", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "371fdb8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "371fdb8a" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "29b63a53" + } + }, { + "issuerReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "27fe9f96" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -540,10 +552,10 @@ } } ], "meta" : { - "globalKey" : "1aa3ef7" + "globalKey" : "e76e4a21" } }, "meta" : { - "globalKey" : "1aa3ef7" + "globalKey" : "e76e4a21" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01a-vanilla-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01a-vanilla-swap.json index 91ef7e3861..a5de4bacbf 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01a-vanilla-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex01a-vanilla-swap.json @@ -1,132 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-1", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209462" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8eebd" + } + } ], + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3caafff" - } - } ], - "tradeDate" : { - "value" : "2018-11-06", - "meta" : { - "globalKey" : "3f12c6" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "SEST" - } ], - "meta" : { - "globalKey" : "26c833" - } - }, - "meta" : { - "globalKey" : "3661cc04" - } - }, - "meta" : { - "globalKey" : "8e9d84fe" - } - }, - "meta" : { - "globalKey" : "8e9d84fe" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "SEST" - } ], - "meta" : { - "globalKey" : "26c833" - } - }, - "meta" : { - "globalKey" : "3661cc04" - } - }, - "meta" : { - "globalKey" : "d0765cfe" - } - }, - "meta" : { - "globalKey" : "d0765cfe", - "externalKey" : "terminationDate-64209462-658" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -140,29 +76,18 @@ "globalKey" : "3661cc04" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "92fd01d5", - "externalKey" : "calculationPeriodDates-64209462-657" + "globalKey" : "8e9d84fe" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "8e9d84fe" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -177,152 +102,163 @@ } }, "meta" : { - "globalKey" : "8472594" + "globalKey" : "d0765cfe" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "92fd01d5", - "externalReference" : "calculationPeriodDates-64209462-657" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "3819a164" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "SEST" - } ], - "meta" : { - "globalKey" : "26c833" - } - }, - "dateRelativeTo" : { - "globalReference" : "dff39801", - "externalReference" : "resetDates-64209462-662" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "SEST" - } ], - "meta" : { - "globalKey" : "26c833" - } - }, - "meta" : { - "globalKey" : "3661cc04" - } - }, + "meta" : { + "globalKey" : "d0765cfe", + "externalKey" : "terminationDate-64209462-658" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "SEST" + } ], "meta" : { - "globalKey" : "dff39801", - "externalKey" : "resetDates-64209462-662" + "globalKey" : "26c833" } }, "meta" : { - "globalKey" : "24131a29" + "globalKey" : "3661cc04" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "92fd01d5", + "externalKey" : "calculationPeriodDates-64209462-657" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "SEST" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "26c833" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3661cc04" + } + }, + "meta" : { + "globalKey" : "8472594" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "92fd01d5", + "externalReference" : "calculationPeriodDates-64209462-657" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "3819a164" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "SEST" + } ], + "meta" : { + "globalKey" : "26c833" } }, - "dayCountFraction" : { - "value" : "30/360" + "dateRelativeTo" : { + "globalReference" : "dff39801", + "externalReference" : "resetDates-64209462-662" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "SEST" + } ], + "meta" : { + "globalKey" : "26c833" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "SEST" - } ], - "meta" : { - "globalKey" : "26c833" - } - }, - "meta" : { - "globalKey" : "3661cc04" - } - }, - "meta" : { - "globalKey" : "8e9d84fe" - } - }, - "meta" : { - "globalKey" : "8e9d84fe" - } - }, - "terminationDate" : { - 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"value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -336,29 +272,18 @@ "globalKey" : "3661cc04" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "92fcfbc7", - "externalKey" : "calculationPeriodDates-64209462-663" + "globalKey" : "8e9d84fe" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "8e9d84fe" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -373,145 +298,232 @@ } }, "meta" : { - "globalKey" : "b34f92e2" + "globalKey" : "d0765cfe" + } + }, + "meta" : { + "globalKey" : "d0765cfe", + "externalKey" : "terminationDate-64209462-664" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "SEST" + } ], + "meta" : { + "globalKey" : "26c833" } }, "meta" : { - "globalKey" : "964a1fb2" + "globalKey" : "3661cc04" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "4d9ef429" + "globalKey" : "92fcfbc7", + "externalKey" : "calculationPeriodDates-64209462-663" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209462" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "SEST" + } ], + "meta" : { + "globalKey" : "26c833" + } + }, + "meta" : { + "globalKey" : "3661cc04" + } + }, + "meta" : { + "globalKey" : "b34f92e2" + } }, - "source" : "Other", "meta" : { - "globalKey" : "ec8eebd" + "globalKey" : "964a1fb2" } } ], "meta" : { - "globalKey" : "ca2e9c61" + "globalKey" : "4d9ef429" } }, - "meta" : { - "globalKey" : "ca2e9c61" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "SEK" - } + "meta" : { + "globalKey" : "dd9f5021" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "SEK" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "SEK-STIBOR-SIDE" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "SEK-STIBOR-SIDE" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "SEK-STIBOR-SIDE" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "98bb0443" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00608, - "unit" : { - "currency" : { - "value" : "SEK" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "SEK" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "b0d0e905" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00608, + "unit" : { + "currency" : { + "value" : "SEK" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "SEK" - } + "perUnitOf" : { + "currency" : { + "value" : "SEK" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "SEK" + } } - } ], + }, "meta" : { - "globalKey" : "a0f14f3b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "a0f14f3b" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-1", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3caafff" + } + } ], + "tradeDate" : { + "value" : "2018-11-06", + "meta" : { + "globalKey" : "3f12c6" + } }, "party" : [ { "partyId" : [ { @@ -555,10 +567,10 @@ } } ], "meta" : { - "globalKey" : "9bf2bcf1" + "globalKey" : "e8da4b95" } }, "meta" : { - "globalKey" : "9bf2bcf1" + "globalKey" : "e8da4b95" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex02-stub-amort-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex02-stub-amort-swap.json index d86826e833..dfb644c278 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex02-stub-amort-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex02-stub-amort-swap.json @@ -1,574 +1,510 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "29b63a53" - } - }, { - "issuerReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "27fe9f96" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1995-01-16", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ea2e2b88" } }, - "dayCountFraction" : { - "value" : 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{ - "globalKey" : "d4c020f7" + "globalKey" : "c55c594b" } }, "meta" : { - "globalKey" : "d4c020f7" + "globalKey" : "c55c594b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex03-compound-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex03-compound-swap.json index 44b02b1037..896974f335 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex03-compound-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex03-compound-swap.json @@ -1,492 +1,428 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : 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{ + "globalKey" : "52fca249" + } + } ] + }, + "meta" : { + "globalKey" : "669a7230" } - }, + } ], "meta" : { "globalKey" : "586ad31b" } - }, - "meta" : { - "globalKey" : "586ad31b" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "586ad31b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { 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"globalReference" : "33f59567", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "7b5d60e0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987ead88" + } + }, { + "issuerReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56990", + "meta" : { + "scheme" : "http://www.msdw/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987f3943" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -763,10 +775,10 @@ } } ], "meta" : { - "globalKey" : "d6454b83" + "globalKey" : "a29e3a09" } }, "meta" : { - "globalKey" : "d6454b83" + "globalKey" : "a29e3a09" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04-arrears-stepup-fee-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04-arrears-stepup-fee-swap.json index 97e7f3b241..b4aa895706 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04-arrears-stepup-fee-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04-arrears-stepup-fee-swap.json @@ -1,351 +1,259 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56323", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "987ead88" - } - }, { - "issuerReference" : { - "globalReference" : "22a03742", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "56990", - "meta" : { - "scheme" : "http://www.msdw/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "987f3943" - } - } ], - "tradeDate" : { - "value" : "2000-04-25", - "meta" : { - "globalKey" : "3e8119" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - 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{ - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18abd" - }, - "rollConvention" : "27" - }, "meta" : { - "globalKey" : "225b80da", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eac74d93" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eac74d93" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2002-04-27", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -361,133 +269,237 @@ } }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "3494f012" + } + }, + "meta" : { + "globalKey" : "3494f012" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18abd" + }, + "rollConvention" : "27" + }, + "meta" : { + "globalKey" : "225b80da", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "42f910b", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c6f495d" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "e4e74682" + "globalKey" : "2ad6e87a" } + }, + "meta" : { + "globalKey" : "c6f495d" } - }, + } ], "meta" : { "globalKey" : "e4e74682" } - }, - "meta" : { - "globalKey" : "e4e74682" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "e4e74682" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332091c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "datedValue" : [ { - "date" : "2001-04-27", - "value" : 0.065, - "meta" : { - "globalKey" : "a4ca676" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f8e3836a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - 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: { - "globalReference" : "33f59567", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "fb8b5e0e" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56323", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987ead88" + } + }, { + "issuerReference" : { + "globalReference" : "22a03742", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "56990", + "meta" : { + "scheme" : "http://www.msdw/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "987f3943" + } + } ], + "tradeDate" : { + "value" : "2000-04-25", + "meta" : { + "globalKey" : "3e8119" + } }, "party" : [ { "partyId" : [ { @@ -524,7 +536,7 @@ } } ], "meta" : { - "globalKey" : "ad3a3930" + "globalKey" : "bdccba2c" } }, "transferHistory" : [ { @@ -584,6 +596,6 @@ } } ], "meta" : { - "globalKey" : "a22158c8" + "globalKey" : "57c21a4c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04a-arrears-stepup-fee-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04a-arrears-stepup-fee-swap.json index a63ea7d8b4..0a3927b544 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04a-arrears-stepup-fee-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex04a-arrears-stepup-fee-swap.json @@ -1,140 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-4", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209465" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef1a" + } + } ], + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab002" - } - } ], - "tradeDate" : { - "value" : "2018-11-14", - "meta" : { - "globalKey" : "3f12ce" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9dfa3f4b" - } - }, - "meta" : { - "globalKey" : "9dfa3f4b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "eb842f4b" - } - }, - "meta" : { - "globalKey" : "eb842f4b", - "externalKey" : "terminationDate-64209465-651" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -148,37 +84,18 @@ "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, "meta" : { - "globalKey" : "2ddb303d", - "externalKey" : "calculationPeriodDates-64209465-650" + "globalKey" : "9dfa3f4b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "9dfa3f4b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2020-11-15", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -193,152 +110,171 @@ } }, "meta" : { - "globalKey" : "3478398c" + "globalKey" : "eb842f4b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "2ddb303d", - "externalReference" : "calculationPeriodDates-64209465-650" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "53679fba" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "2ddb303d", - "externalReference" : "calculationPeriodDates-64209465-650" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "eb842f4b", + "externalKey" : "terminationDate-64209465-651" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "5934be78", - "externalKey" : "resetDates-64209465-652" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "8a0e102c" + "globalKey" : "3662e8ba" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "2ddb303d", + "externalKey" : "calculationPeriodDates-64209465-650" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "3478398c" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "2ddb303d", + "externalReference" : "calculationPeriodDates-64209465-650" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "53679fba" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], + "meta" : { + "globalKey" : "27e40a" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "dateRelativeTo" : { + "globalReference" : "2ddb303d", + "externalReference" : "calculationPeriodDates-64209465-650" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "111ea942" - } - }, - "meta" : { - "globalKey" : "111ea942" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2020-11-15", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "a98752b1" - } - }, - "meta" : { - "globalKey" : "5ea89942" - } - }, - "meta" : { - "globalKey" : "5ea89942", - "externalKey" : "terminationDate-64209465-654" + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "5934be78", + "externalKey" : "resetDates-64209465-652" + } + }, + "meta" : { + "globalKey" : "8a0e102c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-15", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -352,38 +288,19 @@ "globalKey" : "a98752b1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9c" - }, - "rollConvention" : "15" - }, "meta" : { - "globalKey" : "23b590c9", - "externalKey" : "calculationPeriodDates-64209465-653" + "globalKey" : "111ea942" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + 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"globalKey" : "23b590c9", + "externalKey" : "calculationPeriodDates-64209465-653" } - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209465" }, - "source" : "Other", - "meta" : { - "globalKey" : "ec8ef1a" - } - } ], - "meta" : { - "globalKey" : "a3c58cee" - } - }, - "meta" : { - "globalKey" : "a3c58cee" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "4b8d29a9" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "cadf3071" } } ], - "quantity" : [ { - "value" : { - "value" : 86000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "ba1badc5" + } + } + }, + "meta" : { + "globalKey" : "b693bfa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 86000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : 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- "currency" : { - "value" : "USD" - } + "datedValue" : [ { + "date" : "2019-05-15", + "value" : 0.015, + "meta" : { + "globalKey" : "a5e1c27" + } + }, { + "date" : "2019-11-15", + "value" : 0.017, + "meta" : { + "globalKey" : "a5e4aa9" + } + }, { + "date" : "2020-05-15", + "value" : 0.019, + "meta" : { + "globalKey" : "a5f142b" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 86000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "f0ca36b0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "f0ca36b0" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-4", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "b3cab002" + } + } ], + "tradeDate" : { + "value" : "2018-11-14", + "meta" : { + "globalKey" : "3f12ce" + } }, "party" : [ { "partyId" : [ { @@ -611,7 +623,7 @@ } } ], "meta" : { - "globalKey" : "98ad53a5" + "globalKey" : "2deecbe1" } }, "transferHistory" : [ { @@ -670,6 +682,6 @@ } } ], "meta" : { - "globalKey" : "fdbc5644" + "globalKey" : "944d9888" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05-long-stub-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05-long-stub-swap.json index a297c58940..3be9cd8228 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05-long-stub-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05-long-stub-swap.json @@ -1,370 +1,306 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "921934", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "f9967337" - } - }, { - "issuerReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "204334", - "meta" : { - "scheme" : "http://www.ubsw.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ed8a12d2" - } - } ], - "tradeDate" : { - "value" : "2000-04-03", - "meta" : { - "globalKey" : "3e8103" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { 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"businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "34d904af" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "453c77c5", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ed9c4f15" - }, - "dayType" : "Business", + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "24cac063", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : 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"453c77c5", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "finalStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Telerate", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] + "meta" : { + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "4cc8d850" + "globalKey" : "c10206b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "34d904af" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "ed9c4f15" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "24cac063", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "c10206b" + } + }, + "meta" : { + "globalKey" : "24cac063", + "externalKey" : "resetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "453c77c5", + "externalReference" : "floatingCalcPeriodDates" + }, + "initialStub" : { + "stubRate" : 0.05125 + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Telerate", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", "meta" : { - "globalKey" : "0" + "globalKey" : "aa" } } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-04-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac6fafd" - } - }, - "meta" : { - "globalKey" : "eac6fafd" + } ] + } + }, + "meta" : { + "globalKey" : "4cc8d850" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2005-01-05", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "c10206b" - } - }, - "meta" : { - "globalKey" : "a678db46" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-04-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "a678db46" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "meta" : { + "globalKey" : "eac6fafd" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2005-01-05", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -379,207 +315,283 @@ "globalKey" : "c10206b" } }, - "firstPeriodStartDate" : { - "adjustableDate" : { - "unadjustedDate" : "2000-03-05", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "meta" : { - "globalKey" : "eac60abd" - } - }, - "firstRegularPeriodStartDate" : "2000-10-05", - "lastRegularPeriodEndDate" : "2004-10-05", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3e" - }, - "rollConvention" : "5" - }, "meta" : { - "globalKey" : "b0de25d3", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "a678db46" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "meta" : { + "globalKey" : "a678db46" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "firstPaymentDate" : "2000-10-05", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "c10206b" + } + }, + "firstPeriodStartDate" : { + "adjustableDate" : { + "unadjustedDate" : "2000-03-05", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "c10206b" + "globalKey" : "24a738" } }, "meta" : { - "globalKey" : "2e10f41e" + "globalKey" : "eac60abd" } }, "meta" : { - "globalKey" : "2b00d442" + "globalKey" : "eac60abd" } - } ], + }, + "firstRegularPeriodStartDate" : "2000-10-05", + "lastRegularPeriodEndDate" : "2004-10-05", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3e" + }, + "rollConvention" : "5" + }, "meta" : { - "globalKey" : "325cf892" + "globalKey" : "b0de25d3", + "externalKey" : "fixedCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "325cf892" - } - }, - "meta" : { - "globalKey" : "325cf892" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.001, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "firstPaymentDate" : "2000-10-05", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "c10206b" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "2e10f41e" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "2b00d442" } } ], - "quantity" : [ { - "value" : { - "value" : 75000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "325cf892" + } + } + }, + "meta" : { + "globalKey" : "325cf892" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.001, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "dc266606" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0525, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "600100b1" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0525, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 75000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 75000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "4a7c3e4b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "6b3b6af3", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "4a7c3e4b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "921934", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f9967337" + } + }, { + "issuerReference" : { + "globalReference" : "6b3b6af3", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "204334", + "meta" : { + "scheme" : "http://www.ubsw.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ed8a12d2" + } + } ], + "tradeDate" : { + "value" : "2000-04-03", + "meta" : { + "globalKey" : "3e8103" + } }, "party" : [ { "partyId" : [ { @@ -620,10 +632,10 @@ } } ], "meta" : { - "globalKey" : "11b97f7f" + "globalKey" : "7308ae64" } }, "meta" : { - "globalKey" : "11b97f7f" + "globalKey" : "7308ae64" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.json index f6654d3c38..f4f8aace33 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex05a-long-stub-swap.json @@ -1,148 +1,90 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-5", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209466" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef39" + } + } ], + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab003" - } - } ], - "tradeDate" : { - "value" : "2019-02-28", - "meta" : { - "globalKey" : "3f189c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "fe06321" - }, - "initialRate" : { - "value" : 0.0008615, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "fe06321" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "365dde12" - } - }, - "meta" : { - "globalKey" : "1c601df1" - } - }, - "meta" : { - "globalKey" : "1c601df1" + "initialRate" : { + "value" : 0.0008615, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-02-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "365dde12" - } - }, - "meta" : { - "globalKey" : "c78f7795" - } - }, - "meta" : { - "globalKey" : "c78f7795", - "externalKey" : "terminationDate-64209466-91952" + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -156,33 +98,18 @@ "globalKey" : "365dde12" } }, - "firstRegularPeriodStartDate" : "2018-06-29", - "lastRegularPeriodEndDate" : "2023-12-29", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7c" - }, - "rollConvention" : "29" - }, "meta" : { - "globalKey" : "76f8d0e8", - "externalKey" : "calculationPeriodDates-64209466-91951" + "globalKey" : "1c601df1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-29", - "lastRegularPaymentDate" : "2023-12-29", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "1c601df1" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-02-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -197,158 +124,183 @@ } }, "meta" : { - "globalKey" : "b3819a42" + "globalKey" : "c78f7795" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "76f8d0e8", - "externalReference" : "calculationPeriodDates-64209466-91951" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a2dae6c5" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "dateRelativeTo" : { - "globalReference" : "9ffddfa7", - "externalReference" : "resetDates-64209466-91955" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "365dde12" - } - }, + "meta" : { + "globalKey" : "c78f7795", + "externalKey" : "terminationDate-64209466-91952" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "9ffddfa7", - "externalKey" : "resetDates-64209466-91955" + "globalKey" : "22da41" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "76f8d0e8", - "externalReference" : "calculationPeriodDates-64209466-91951" + "meta" : { + "globalKey" : "365dde12" + } + }, + "firstRegularPeriodStartDate" : "2018-06-29", + "lastRegularPeriodEndDate" : "2023-12-29", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7c" + }, + "rollConvention" : "29" + }, + "meta" : { + "globalKey" : "76f8d0e8", + "externalKey" : "calculationPeriodDates-64209466-91951" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-29", + "lastRegularPaymentDate" : "2023-12-29", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" } }, "meta" : { - "globalKey" : "3bc0fa2e" + "globalKey" : "365dde12" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "b3819a42" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "76f8d0e8", + "externalReference" : "calculationPeriodDates-64209466-91951" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a2dae6c5" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "22da41" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "9ffddfa7", + "externalReference" : "resetDates-64209466-91955" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-03-01", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "365dde12" - } - }, - "meta" : { - "globalKey" : "1c601df1" - } - }, - "meta" : { - "globalKey" : "1c601df1" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-02-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "22da41" - } - }, - "meta" : { - "globalKey" : "365dde12" - } - }, - "meta" : { - "globalKey" : "c78f7795" - } - }, - "meta" : { - "globalKey" : "c78f7795", - "externalKey" : "terminationDate-64209466-91957" + "meta" : { + "globalKey" : "365dde12" + } + }, + "meta" : { + "globalKey" : "9ffddfa7", + "externalKey" : "resetDates-64209466-91955" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "76f8d0e8", + "externalReference" : "calculationPeriodDates-64209466-91951" + }, + "initialStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "JPY-TIBOR-DTIBOR01" + } ] + }, + "finalStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "JPY-TIBOR-DTIBOR01" + } ] + } + }, + "meta" : { + "globalKey" : "5e0532ae" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-03-01", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -362,33 +314,18 @@ "globalKey" : "365dde12" } }, - "firstRegularPeriodStartDate" : "2018-06-29", - "lastRegularPeriodEndDate" : "2023-12-29", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f7c" - }, - "rollConvention" : "29" - }, "meta" : { - "globalKey" : "76f8d0e8", - "externalKey" : "calculationPeriodDates-64209466-91956" + "globalKey" : "1c601df1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "firstPaymentDate" : "2018-06-29", - "lastRegularPaymentDate" : "2023-12-29", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "1c601df1" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-02-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -403,165 +340,259 @@ } }, "meta" : { - "globalKey" : "b3819a42" + "globalKey" : "c78f7795" } }, "meta" : { - "globalKey" : "82508983" + "globalKey" : "c78f7795", + "externalKey" : "terminationDate-64209466-91957" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" + } + }, + "meta" : { + "globalKey" : "365dde12" + } + }, + "firstRegularPeriodStartDate" : "2018-06-29", + "lastRegularPeriodEndDate" : "2023-12-29", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f7c" + }, + "rollConvention" : "29" + }, "meta" : { - "globalKey" : "5746a915" + "globalKey" : "76f8d0e8", + "externalKey" : "calculationPeriodDates-64209466-91956" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209466" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "firstPaymentDate" : "2018-06-29", + "lastRegularPaymentDate" : "2023-12-29", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "22da41" + } + }, + "meta" : { + "globalKey" : "365dde12" + } + }, + "meta" : { + "globalKey" : "b3819a42" + } }, - "source" : "Other", "meta" : { - "globalKey" : "ec8ef39" + "globalKey" : "82508983" } } ], "meta" : { - "globalKey" : "e2db4cc7" + "globalKey" : "86ac8095" } }, - "meta" : { - "globalKey" : "e2db4cc7" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0005, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "219c8335" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0005, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 6000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 6000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "JPY-TIBOR-DTIBOR01" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "JPY-TIBOR-DTIBOR01" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "3764ef20" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00178, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "2bde052f" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00178, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 6000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 6000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "67f57ae8" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "67f57ae8" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-5", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab003" + } + } ], + "tradeDate" : { + "value" : "2019-02-28", + "meta" : { + "globalKey" : "3f189c" + } }, "party" : [ { "partyId" : [ { @@ -605,10 +636,10 @@ } } ], "meta" : { - "globalKey" : "73cc0415" + "globalKey" : "16f70826" } }, "meta" : { - "globalKey" : "73cc0415" + "globalKey" : "16f70826" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06-xccy-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06-xccy-swap.json index 21abe6c391..20abf6084b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06-xccy-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06-xccy-swap.json @@ -1,730 +1,629 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TW9235", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "29b63a53" - } - }, { - "issuerReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "SW2000", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "27fe9f96" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "adjustedDate" : { - "value" : "1994-12-14", - "meta" : { - "globalKey" : "3e530e" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "d467e427" - } - }, + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "adjustedDate" : { + "value" : 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"externalKey" : "fixedCalcPeriodDates" + "globalKey" : "49854495" + } + } + }, + "meta" : { + "globalKey" : "be7646f3" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "1994-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "meta" : { + "globalKey" : "ea1a6ec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "1999-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -740,200 +639,313 @@ } }, "meta" : { - "globalKey" : "9e3bcf2b" + "globalKey" : "93c845ff" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "1995-12-14", - "calculationPeriod" : [ { - "adjustedStartDate" : "1994-12-14", - "adjustedEndDate" : "1995-12-14", - "meta" : { - "globalKey" : "1354d305" - }, - "notionalAmount" : 1000000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "eabb30b7" - } - }, { - "adjustedPaymentDate" : "1996-12-16", - "calculationPeriod" : [ { - "adjustedStartDate" : "1995-12-14", - "adjustedEndDate" : "1996-12-16", - "meta" : { - "globalKey" : "1715da87" - }, - "notionalAmount" : 1000000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "98aae177" - } - }, { - "adjustedPaymentDate" : "1997-12-15", - "calculationPeriod" : [ { - "adjustedStartDate" : "1996-12-16", - "adjustedEndDate" : "1997-12-15", - "meta" : { - "globalKey" : "1ad7bf84" - }, - "notionalAmount" : 1000000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "417ce5d5" - } - }, { - "adjustedPaymentDate" : "1998-12-14", - "calculationPeriod" : [ { - "adjustedStartDate" : "1997-12-15", - "adjustedEndDate" : "1998-12-14", - "meta" : { - "globalKey" : "1e984764" - }, - "notionalAmount" : 1000000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "ea4d8d16" - } - }, { - "adjustedPaymentDate" : "1999-12-14", - "calculationPeriod" : [ { - "adjustedStartDate" : "1998-12-14", - "adjustedEndDate" : "1999-12-14", - "meta" : { - "globalKey" : "2258d305" - }, - "notionalAmount" : 1000000000.00, - "fixedRate" : 0.06 - } ], - "meta" : { - "globalKey" : "94d310b7" - } - } ] + "meta" : { + "globalKey" : "93c845ff" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794a" + }, + "rollConvention" : "14" + }, + "meta" : { + "globalKey" : "9249d1f2", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "814e2ae6", + "externalReference" : "primaryBusinessCenters" + }, + "meta" : { + "globalKey" : "eb13047c" + } }, "meta" : { - "globalKey" : "5b3c1149" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "5673a437" + "globalKey" : "9e3bcf2b" } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "1995-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1994-12-14", + "adjustedEndDate" : "1995-12-14", + "meta" : { + "globalKey" : "1354d305" + }, + "notionalAmount" : 1000000000.00, + "fixedRate" : 0.06 + } ], + "meta" : { + "globalKey" : "eabb30b7" + } + }, { + "adjustedPaymentDate" : "1996-12-16", + "calculationPeriod" : [ { + "adjustedStartDate" : "1995-12-14", + "adjustedEndDate" : "1996-12-16", + "meta" : { + "globalKey" : "1715da87" + }, + "notionalAmount" : 1000000000.00, + "fixedRate" : 0.06 + } ], + "meta" : { + "globalKey" : "98aae177" + } + }, { + "adjustedPaymentDate" : "1997-12-15", + "calculationPeriod" : [ { + "adjustedStartDate" : "1996-12-16", + "adjustedEndDate" : "1997-12-15", + "meta" : { + "globalKey" : "1ad7bf84" + }, + "notionalAmount" : 1000000000.00, + "fixedRate" : 0.06 + } ], + "meta" : { + "globalKey" : "417ce5d5" + } + }, { + "adjustedPaymentDate" : "1998-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1997-12-15", + "adjustedEndDate" : "1998-12-14", + "meta" : { + "globalKey" : "1e984764" + }, + "notionalAmount" : 1000000000.00, + "fixedRate" : 0.06 + } ], + "meta" : { + "globalKey" : "ea4d8d16" + } + }, { + "adjustedPaymentDate" : "1999-12-14", + "calculationPeriod" : [ { + "adjustedStartDate" : "1998-12-14", + "adjustedEndDate" : "1999-12-14", + "meta" : { + "globalKey" : "2258d305" + }, + "notionalAmount" : 1000000000.00, + "fixedRate" : 0.06 + } ], + "meta" : { + "globalKey" : "94d310b7" + } + } ] + }, + "meta" : { + "globalKey" : "5b3c1149" } - }, + } ], "meta" : { "globalKey" : "5673a437" } - }, - "meta" : { - "globalKey" : "5673a437" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "5673a437" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000.00, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a0325171" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "f90337b5" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000.00, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000.00, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "ce3ac9dd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "5bbdd746", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "3cc9e195", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "ce3ac9dd" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5bbdd746", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TW9235", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "29b63a53" + } + }, { + "issuerReference" : { + "globalReference" : "3cc9e195", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "SW2000", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "27fe9f96" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -974,10 +986,10 @@ } } ], "meta" : { - "globalKey" : "acf5b2d7" + "globalKey" : "6b297ba9" } }, "meta" : { - "globalKey" : "acf5b2d7" + "globalKey" : "6b297ba9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06a-xccy-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06a-xccy-swap.json index 7037168fc1..204ed4ed77 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06a-xccy-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex06a-xccy-swap.json @@ -1,221 +1,149 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-6", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209467" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef58" + } + } ], + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:CrossCurrency:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab004" - } - } ], - "tradeDate" : { - "value" : "2018-09-09", - "meta" : { - "globalKey" : "3f1249" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:CrossCurrency:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" } }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "d2e9dcc8" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "5110a226" - } + "meta" : { + "globalKey" : "e475b83d" } }, "meta" : { - "globalKey" : "ab3ecdc9" + "globalKey" : "d2e9dcc8" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", + "meta" : { + "globalKey" : "3f3a4a" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "199cb740" - }, - "initialRate" : { - "value" : 1.2, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "globalKey" : "e475b83d" } + }, + "meta" : { + "globalKey" : "5110a226" + } + } + }, + "meta" : { + "globalKey" : "ab3ecdc9" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, - "meta" : { - "globalKey" : "c989554" + "meta" : { + "globalKey" : "199cb740" + }, + "initialRate" : { + "value" : 1.2, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd", - "externalKey" : "terminationDate-64209467-673" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-10", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -233,29 +161,18 @@ "globalKey" : "6ec8b45e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f54" - }, - "rollConvention" : "10" - }, "meta" : { - "globalKey" : "85331e21", - "externalKey" : "calculationPeriodDates-64209467-672" + "globalKey" : "c989554" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -274,230 +191,241 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85331e21", - "externalReference" : "calculationPeriodDates-64209467-672" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "23b867ba" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "c2218d3c", - "externalReference" : "resetDates-64209467-679" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, + "meta" : { + "globalKey" : "6fe4d6dd", + "externalKey" : "terminationDate-64209467-673" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "c2218d3c", - "externalKey" : "resetDates-64209467-679" + "globalKey" : "81e56a96" } }, - "compoundingMethod" : "Flat", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "6ec8b45e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f54" }, + "rollConvention" : "10" + }, + "meta" : { + "globalKey" : "85331e21", + "externalKey" : "calculationPeriodDates-64209467-672" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "1aae94d3" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "85331e21", + "externalReference" : "calculationPeriodDates-64209467-672" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "23b867ba" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "9dd9da07" - } - }, - "meta" : { - "globalKey" : "591c9bf0" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "9dd9da07" - } - }, - "meta" : { - "globalKey" : "3da62692" - } - } - }, + "dateRelativeTo" : { + "globalReference" : "c2218d3c", + "externalReference" : "resetDates-64209467-679" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "5c860a0d" + "globalKey" : "81e56a96" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "c2218d3c", + "externalKey" : "resetDates-64209467-679" + } + }, + "compoundingMethod" : "Flat", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "1aae94d3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "9dd9da07" } + }, + "meta" : { + "globalKey" : "591c9bf0" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", "meta" : { - "globalKey" : "c989554" + "globalKey" : "3f3a4a" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "6fe4d6dd", - "externalKey" : "terminationDate-64209467-670" + "globalKey" : "9dd9da07" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "3da62692" + } + } + }, + "meta" : { + "globalKey" : "5c860a0d" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-10", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -515,29 +443,18 @@ "globalKey" : "6ec8b45e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a97" - }, - "rollConvention" : "10" - }, "meta" : { - "globalKey" : "85332964", - "externalKey" : "calculationPeriodDates-64209467-669" + "globalKey" : "c989554" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -556,171 +473,266 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "6fe4d6dd", + "externalKey" : "terminationDate-64209467-670" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, "meta" : { - "globalKey" : "5bedc9b" + "globalKey" : "6ec8b45e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a97" + }, + "rollConvention" : "10" + }, "meta" : { - "globalKey" : "7f0b27ae" + "globalKey" : "85332964", + "externalKey" : "calculationPeriodDates-64209467-669" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209467" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, - "source" : "Other", "meta" : { - "globalKey" : "ec8ef58" + "globalKey" : "5bedc9b" } } ], "meta" : { - "globalKey" : "530187a1" + "globalKey" : "7f0b27ae" } }, - "meta" : { - "globalKey" : "530187a1" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "c64a7671" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d4974188" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.00385, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "58d9047e" + } + }, { + "price" : [ { + "value" : { + "value" : -0.00385, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "b6ef2889" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "b6ef2889" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-6", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab004" + } + } ], + "tradeDate" : { + "value" : "2018-09-09", + "meta" : { + "globalKey" : "3f1249" + } }, "party" : [ { "partyId" : [ { @@ -764,10 +776,10 @@ } } ], "meta" : { - "globalKey" : "822c6341" + "globalKey" : "7c65c431" } }, "meta" : { - "globalKey" : "822c6341" + "globalKey" : "7c65c431" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07-ois-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07-ois-swap.json index 54b4d7edf1..8bc3c4edba 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07-ois-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07-ois-swap.json @@ -1,328 +1,264 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRN12000", - "meta" : { - "scheme" : "http://www.citibank.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "250026f4" - } - }, { - "issuerReference" : { - "globalReference" : "9e39312a", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "TRN13000", - "meta" : { - "scheme" : "http://www.mizuhocap.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "25010fb2" - } - } ], - "tradeDate" : { - "value" : "2001-01-25", - "meta" : { - "globalKey" : "3e8859" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae28c55" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - 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"globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "20a71d", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "37c36a6c", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "a6474bf1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - 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], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a7a9427d", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "37c36a6c", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "a7a9427d", - "externalKey" : "resetDates" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c1f8b927" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "ba5fc4c9" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "37c36a6c", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "98ca5cd4" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "a7a9427d", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "a7a9427d", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "c1f8b927" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-01-29", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "meta" : { - "globalKey" : "eae28c55" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-04-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "9139a950" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-01-29", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "9139a950" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae28c55" + } + }, + "meta" : { + "globalKey" : "eae28c55" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-04-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,167 +273,243 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "d26aa7ed", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "9139a950" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } + "meta" : { + "globalKey" : "9139a950" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "eb13047c" + } + }, + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "d26aa7ed", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "95bca6e6" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "bc67e9b4" + "globalKey" : "214e084d" } - } ], + }, "meta" : { - "globalKey" : "be61421b" + "globalKey" : "95bca6e6" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "bc67e9b4" } - }, + } ], "meta" : { - "globalKey" : "f7651045" + "globalKey" : "be61421b" } }, - "meta" : { - "globalKey" : "f7651045" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f7651045" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9894669e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.051, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "d90f77c2" + } + }, { + "price" : [ { + "value" : { + "value" : 0.051, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000.00, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.00, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "3f5b1296" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "3f5b1296" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "9e39312a", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "9e39312a", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "6c7f6e62", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRN12000", + "meta" : { + "scheme" : "http://www.citibank.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "6c7f6e62", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "250026f4" + } + }, { + "issuerReference" : { + "globalReference" : "9e39312a", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "TRN13000", + "meta" : { + "scheme" : "http://www.mizuhocap.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "25010fb2" + } + } ], + "tradeDate" : { + "value" : "2001-01-25", + "meta" : { + "globalKey" : "3e8859" + } }, "party" : [ { "partyId" : [ { @@ -534,10 +546,10 @@ } } ], "meta" : { - "globalKey" : "81d71636" + "globalKey" : "e795ae00" } }, "meta" : { - "globalKey" : "81d71636" + "globalKey" : "e795ae00" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07a-ois-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07a-ois-swap.json index 96564d9843..d8153c13e6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07a-ois-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07a-ois-swap.json @@ -1,137 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209468" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef77" + } + } ], + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat:OIS" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2018-11-15", - "meta" : { - "globalKey" : "3f12cf" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat:OIS" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, - "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-678" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -145,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 12, - "period" : "M", - "meta" : { - "globalKey" : "1a123" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce7153b5", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -190,153 +107,172 @@ } }, "meta" : { - "globalKey" : "cf6d676a" + "globalKey" : "e180b21e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ce7153b5", - "externalReference" : "calculationPeriodDates-64209468-677" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "386630d5" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "ce7153b5", - "externalReference" : "calculationPeriodDates-64209468-677" - } - }, - "resetFrequency" : { - "periodMultiplier" : 12, - "period" : "M", - "meta" : { - "globalKey" : "1c1" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, + "meta" : { + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-678" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "4fe5048", - "externalKey" : "resetDates-64209468-680" + "globalKey" : "20a71d" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "afb1f7b1" + "globalKey" : "a98014e5" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 12, + "period" : "M", + "meta" : { + "globalKey" : "1a123" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "ce7153b5", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cf6d676a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ce7153b5", + "externalReference" : "calculationPeriodDates-64209468-677" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "386630d5" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "dateRelativeTo" : { + "globalReference" : "ce7153b5", + "externalReference" : "calculationPeriodDates-64209468-677" + } + }, + "resetFrequency" : { + "periodMultiplier" : 12, + "period" : "M", + "meta" : { + "globalKey" : "1c1" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-11-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "meta" : { - "globalKey" : "12cc4415" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e180b21e" - } - }, - "meta" : { - "globalKey" : "e180b21e", - "externalKey" : "terminationDate-64209468-682" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "4fe5048", + "externalKey" : "resetDates-64209468-680" + } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "afb1f7b1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-11-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -350,37 +286,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 5, - "period" : "Y", - "meta" : { - "globalKey" : "18850" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "ce713ae2", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "12cc4415" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "12cc4415" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -395,168 +312,263 @@ } }, "meta" : { - "globalKey" : "cf6d676a" + "globalKey" : "e180b21e" + } + }, + "meta" : { + "globalKey" : "e180b21e", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "9136f88b" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 5, + "period" : "Y", + "meta" : { + "globalKey" : "18850" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "6339bcfa" + "globalKey" : "ce713ae2", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209468" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "cf6d676a" + } }, - "source" : "Other", "meta" : { - "globalKey" : "ec8ef77" + "globalKey" : "9136f88b" } } ], "meta" : { - "globalKey" : "32e72056" + "globalKey" : "6339bcfa" } }, - "meta" : { - "globalKey" : "32e72056" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "212f6456" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA-OIS-COMPOUND" - }, - "indexTenor" : { - "periodMultiplier" : 12, - "period" : "M", - "meta" : { - "globalKey" : "1c1" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA-OIS-COMPOUND" + }, + "indexTenor" : { + "periodMultiplier" : 12, + "period" : "M", + "meta" : { + "globalKey" : "1c1" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "6dcfe798" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "a1a023c8" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2018-11-15", + "meta" : { + "globalKey" : "3f12cf" + } }, "party" : [ { "partyId" : [ { @@ -600,10 +612,10 @@ } } ], "meta" : { - "globalKey" : "1fdaa879" + "globalKey" : "ede60115" } }, "meta" : { - "globalKey" : "1fdaa879" + "globalKey" : "ede60115" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07b-ois-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07b-ois-swap.json index 12b94c7a34..912460fa3f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07b-ois-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07b-ois-swap.json @@ -1,113 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7b", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "40565867" - } - } ], - "tradeDate" : { - "value" : "2023-02-14", - "meta" : { - "globalKey" : "3f388e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed78b3b9" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed78b3b9" - } - }, - "meta" : { - "globalKey" : "ed78b3b9" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-12-31", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f1bc0fb" - } - }, - "meta" : { - "globalKey" : "f1bc0fb" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed78b3b9" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-12-31", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -121,202 +74,202 @@ "globalKey" : "3662e8ba" } }, - "firstRegularPeriodStartDate" : "2023-12-31", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "11b6b" - }, - "rollConvention" : "EOM" - }, "meta" : { - "globalKey" : "4ed9e73", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "f1bc0fb" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2023-12-31", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "f1bc0fb" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "aa422a49", - "externalKey" : "floatingLegShort" + "globalKey" : "27e4e9" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "4ed9e73", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de77b8c9" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a42ad18", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "firstRegularPeriodStartDate" : "2023-12-31", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "11b6b" + }, + "rollConvention" : "EOM" + }, + "meta" : { + "globalKey" : "4ed9e73", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2023-12-31", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "4a42ad18", - "externalKey" : "floatingLegResetDates" + "globalKey" : "27e4e9" } }, - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "4ed9e73", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "initialStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "USD-SOFR-COMPOUND" - } ] + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "aa422a49", + "externalKey" : "floatingLegShort" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "4ed9e73", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de77b8c9" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], + "meta" : { + "globalKey" : "27e40a" } }, + "dateRelativeTo" : { + "globalReference" : "4a42ad18", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "35defc05" + "globalKey" : "78" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "4a42ad18", + "externalKey" : "floatingLegResetDates" + } + }, + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "4ed9e73", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "initialStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "USD-SOFR-COMPOUND" + } ] + } + }, + "meta" : { + "globalKey" : "35defc05" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-03-01", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed78b3b9" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-03-01", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed78b3b9" - } - }, - "meta" : { - "globalKey" : "ed78b3b9" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-12-31", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f1bc0fb" - } - }, - "meta" : { - "globalKey" : "f1bc0fb" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed78b3b9" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-12-31", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -330,168 +283,227 @@ "globalKey" : "3662e8ba" } }, - "firstRegularPeriodStartDate" : "2023-12-31", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "11b6b" - }, - "rollConvention" : "EOM" - }, "meta" : { - "globalKey" : "4ed9e73", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "f1bc0fb" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "firstPaymentDate" : "2023-12-31", - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, + "meta" : { + "globalKey" : "f1bc0fb" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "aa422a49", - "externalKey" : "fixedLegShort" + "globalKey" : "27e4e9" } }, "meta" : { - "globalKey" : "6c7d8135" + "globalKey" : "3662e8ba" } - } ], + }, + "firstRegularPeriodStartDate" : "2023-12-31", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "11b6b" + }, + "rollConvention" : "EOM" + }, "meta" : { - "globalKey" : "9e3643d0" + "globalKey" : "4ed9e73", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "firstPaymentDate" : "2023-12-31", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "aa422a49", + "externalKey" : "fixedLegShort" + } + }, + "meta" : { + "globalKey" : "6c7d8135" } - }, + } ], "meta" : { "globalKey" : "9e3643d0" } - }, - "meta" : { - "globalKey" : "9e3643d0" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1200000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "9e3643d0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1200000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-COMPOUND" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-COMPOUND" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-COMPOUND" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d6a48020" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.005, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "b7642d0e" + } + }, { + "price" : [ { + "value" : { + "value" : 0.005, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1200000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1200000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], + }, "meta" : { - "globalKey" : "5b8a3bc7" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "5b8a3bc7" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7b", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "40565867" + } + } ], + "tradeDate" : { + "value" : "2023-02-14", + "meta" : { + "globalKey" : "3f388e" + } }, "party" : [ { "partyId" : [ { @@ -582,10 +594,10 @@ } }, "meta" : { - "globalKey" : "f5c48bf9" + "globalKey" : "becf52fd" } }, "meta" : { - "globalKey" : "f5c48bf9" + "globalKey" : "becf52fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07c-ois-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07c-ois-swap.json index dd1b15706e..d1fc606ab4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07c-ois-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex07c-ois-swap.json @@ -1,149 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7c", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" } ], - "meta" : { - "globalKey" : "40565868" - } - } ], - "tradeDate" : { - "value" : "2023-02-16", - "meta" : { - "globalKey" : "3f3890" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_OIS" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-02-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed77fbc8" - } - }, - "meta" : { - "globalKey" : "ed77fbc8" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2033-02-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "8e4b9cdf" - } - }, - "meta" : { - "globalKey" : "8e4b9cdf" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-02-16", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794c" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "1c6ff074", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "ed77fbc8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed77fbc8" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2033-02-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -158,179 +75,179 @@ } }, "meta" : { - "globalKey" : "b34a124d", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "8e4b9cdf" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1c6ff074", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodEndDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "c5a6875d" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "ec4d0a61", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "8e4b9cdf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "ec4d0a61", - "externalKey" : "floatingLegResetDates" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "27364399" + "globalKey" : "365c4b6f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "1c6ff074", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "b34a124d", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1c6ff074", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodEndDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "c5a6875d" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "dateRelativeTo" : { + "globalReference" : "ec4d0a61", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-02-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed77fbc8" - } - }, - "meta" : { - "globalKey" : "ed77fbc8" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2033-02-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "8e4b9cdf" - } - }, - "meta" : { - "globalKey" : "8e4b9cdf" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "ec4d0a61", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "27364399" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-02-16", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1794c" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "1c6ff074", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "ed77fbc8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed77fbc8" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2033-02-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -345,120 +262,215 @@ } }, "meta" : { - "globalKey" : "b34a124d", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "8e4b9cdf" + } + }, + "meta" : { + "globalKey" : "8e4b9cdf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "31eac988" + "globalKey" : "365c4b6f" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1794c" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "19b87de1" + "globalKey" : "1c6ff074", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "b34a124d", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "31eac988" } - }, + } ], "meta" : { "globalKey" : "19b87de1" } - }, - "meta" : { - "globalKey" : "19b87de1" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1100000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "19b87de1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1100000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-SONIA-OIS Compound" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-SONIA-OIS Compound" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-SONIA-OIS Compound" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "682b186b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.03537, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "e1e53cc7" + } + }, { + "price" : [ { + "value" : { + "value" : 0.03537, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1100000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1100000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "dd0c7198" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "dd0c7198" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7c", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "40565868" + } + } ], + "tradeDate" : { + "value" : "2023-02-16", + "meta" : { + "globalKey" : "3f3890" + } }, "party" : [ { "partyId" : [ { @@ -530,10 +542,10 @@ } }, "meta" : { - "globalKey" : "3ec0759a" + "globalKey" : "f36b03d0" } }, "meta" : { - "globalKey" : "3ec0759a" + "globalKey" : "f36b03d0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08-fra.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08-fra.json index dff8039c1b..d827251f6d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08-fra.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08-fra.json @@ -1,399 +1,411 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "be44d3fb", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "MB87623", - "meta" : { - "scheme" : "http://www.hsbc.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "f2891f38" - } - }, { - "issuerReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "AA9876", - "meta" : { - "scheme" : "http://www.abnamro.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Fra" } ], - "meta" : { - "globalKey" : "814acd2" - } - } ], - "tradeDate" : { - "value" : "1991-05-14", - "meta" : { - "globalKey" : "3e394e" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1992-01-17", - "meta" : { - "globalKey" : "3e4051" - } - }, - "meta" : { - "globalKey" : "0" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", "meta" : { - "globalKey" : "0" + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0", + "externalKey" : "resetDate" + } + }, + "terminationDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1992-01-17", "meta" : { - "globalKey" : "107" + "globalKey" : "3e4051" } }, "meta" : { - "globalKey" : "107" + "globalKey" : "0" } }, - "paymentDate" : { - "unadjustedDate" : "1991-07-17", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CHZU" - } ], - "meta" : { - "globalKey" : "1f8e60" - } - }, - "meta" : { - "globalKey" : "211caa4f" - } - }, + "meta" : { + "globalKey" : "0" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "meta" : { + "globalKey" : "107" + } + }, + "paymentDate" : { + "unadjustedDate" : "1991-07-17", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CHZU" + } ], "meta" : { - "globalKey" : "407eeb1e" + "globalKey" : "1f8e60" } }, - "discountingMethod" : { - "discountingType" : "FRA" - }, "meta" : { - "globalKey" : "2a1bc04d" + "globalKey" : "211caa4f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "407eeb1e" + } + }, + "discountingMethod" : { + "discountingType" : "FRA" + }, + "meta" : { + "globalKey" : "2a1bc04d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "adjustedDate" : { + "value" : "1991-07-17", + "meta" : { + "globalKey" : "3e39d1" } }, "meta" : { "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : "1991-07-17", - "meta" : { - "globalKey" : "3e39d1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "resetDate" - } - }, - "terminationDate" : { - "adjustableDate" : { - "adjustedDate" : { - "value" : 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{ - "globalReference" : "be44d3fb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "a887a4ca", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "e068a768" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "be44d3fb", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "MB87623", + "meta" : { + "scheme" : "http://www.hsbc.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f2891f38" + } + }, { + "issuerReference" : { + "globalReference" : "a887a4ca", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "AA9876", + "meta" : { + "scheme" : "http://www.abnamro.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "814acd2" + } + } ], + "tradeDate" : { + "value" : "1991-05-14", + "meta" : { + "globalKey" : "3e394e" + } }, "party" : [ { "partyId" : [ { @@ -431,10 +443,10 @@ } } ], "meta" : { - "globalKey" : "43f850b3" + "globalKey" : "1870e9da" } }, "meta" : { - "globalKey" : "43f850b3" + "globalKey" : "1870e9da" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08a-fra.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08a-fra.json index 947c09a936..06cb947801 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08a-fra.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex08a-fra.json @@ -1,413 +1,425 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"payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_Fra" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : 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"value" : "FpML-test-8", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab006" + } + } ], + "tradeDate" : { + "value" : "2019-01-14", + "meta" : { + "globalKey" : "3f184e" + } }, "party" : [ { "partyId" : [ { @@ -451,10 +463,10 @@ } } ], "meta" : { - "globalKey" : "692d3f9a" + "globalKey" : "6bf5660a" } }, "meta" : { - "globalKey" : "692d3f9a" + "globalKey" : "6bf5660a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09-euro-swaption-explicit.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09-euro-swaption-explicit.json index 34c61091e9..a46f0be87d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09-euro-swaption-explicit.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex09-euro-swaption-explicit.json @@ -1,594 +1,605 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : 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"quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "b900ff36" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.07, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "669dffeb" + } + }, { + "price" : [ { + "value" : { + "value" : 0.07, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "f9eb23ed" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "f9eb23ed" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-9", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab007" + } + } ], + "tradeDate" : { + "value" : "2018-09-17", + "meta" : { + "globalKey" : "3f1251" + } }, "party" : [ { "partyId" : [ { @@ -681,7 +692,7 @@ } } ], "meta" : { - "globalKey" : "8ae8a625" + "globalKey" : "6fe74620" } }, "transferHistory" : [ { @@ -740,6 +751,6 @@ } } ], "meta" : { - "globalKey" : "f25703b6" + "globalKey" : "cf1f3edb" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex10-euro-swaption-relative.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex10-euro-swaption-relative.json index b36997b909..2d5c6f8b31 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex10-euro-swaption-relative.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex10-euro-swaption-relative.json @@ -1,621 +1,632 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2000-08-30", - "meta" : { - "globalKey" : "3e821e" - } - }, - "tradableProduct" : { - 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"InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : 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}, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -651,7 +662,7 @@ } } ], "meta" : { - "globalKey" : "ee397023" + "globalKey" : "7eded0e8" } }, "transferHistory" : [ { @@ -710,6 +721,6 @@ } } ], "meta" : { - "globalKey" : "542c1c47" + "globalKey" : "38056862" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex11-euro-swaption-partial-auto-ex.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex11-euro-swaption-partial-auto-ex.json index a5d9e78289..c774164002 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex11-euro-swaption-partial-auto-ex.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex11-euro-swaption-partial-auto-ex.json @@ -1,599 +1,610 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - 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a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex12-euro-swaption-straddle-cash.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex12-euro-swaption-straddle-cash.json index 6ebb2dab64..4ded76d9ef 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex12-euro-swaption-straddle-cash.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex12-euro-swaption-straddle-cash.json @@ -1,669 +1,680 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" 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: { - "globalKey" : "8a0e381a" + "globalKey" : "d618fc9b" } }, "transferHistory" : [ { @@ -758,6 +769,6 @@ } } ], "meta" : { - "globalKey" : "ca4111f0" + "globalKey" : "aaf084cf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex13-euro-swaption-cash-with-cfs.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex13-euro-swaption-cash-with-cfs.json index e051fe2bdf..e71745d363 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex13-euro-swaption-cash-with-cfs.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex13-euro-swaption-cash-with-cfs.json @@ -1,997 +1,1008 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - 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"tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -651,7 +662,7 @@ } } ], "meta" : { - "globalKey" : "5aca963d" + "globalKey" : "655a158e" } }, "transferHistory" : [ { @@ -710,6 +721,6 @@ } } ], "meta" : { - "globalKey" : "114df5ed" + "globalKey" : "ca2a6bfc" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex15-amer-swaption.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex15-amer-swaption.json index 93974fb706..af5df28661 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex15-amer-swaption.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex15-amer-swaption.json @@ -1,656 +1,667 @@ { "trade" : { - "tradeIdentifier" : [ { - 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"scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -686,7 +697,7 @@ } } ], "meta" : { - "globalKey" : "41862e0a" + "globalKey" : "8118f361" } }, "transferHistory" : [ { @@ -745,6 +756,6 @@ } } ], "meta" : { - "globalKey" : "f06ee600" + "globalKey" : "37528249" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex16-mand-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex16-mand-term-swap.json index ad71bfc03b..55d1152c8a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex16-mand-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex16-mand-term-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,126 +78,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -306,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -314,79 +213,182 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "9ead9b90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d6b3d162", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } - }, - "meta" : { - "globalKey" : "19472b0a" - } + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6b3d162", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d6b3d162", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "e30c2739" } }, "meta" : { - "globalKey" : "c5cfdca9" + "globalKey" : "19472b0a" } - } ], + }, "meta" : { - "globalKey" : "6b0bb378" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "mandatoryEarlyTermination" : { - "mandatoryEarlyTerminationDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "meta" : { + "globalKey" : "c5cfdca9" + } + } ], + "meta" : { + "globalKey" : "6b0bb378" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "mandatoryEarlyTermination" : { + "mandatoryEarlyTerminationDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f" + } + }, + "meta" : { + "globalKey" : "da4e2f6e" + } + }, + "meta" : { + "globalKey" : "46e3a790" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentMandatoryEarlyTermination" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "meta" : { + "globalKey" : "b8738ba0" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "CashPriceMethod", + "valuationMethod" : { + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1bfa1e89" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "GBLO" @@ -397,191 +399,201 @@ "globalKey" : "428533f" } }, - "meta" : { - "globalKey" : "da4e2f6e" + "dateRelativeTo" : { + "externalReference" : "mandatoryEarlyTerminationDate0" } - }, - "meta" : { - "globalKey" : "46e3a790" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentMandatoryEarlyTermination" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "meta" : { - "globalKey" : "b8738ba0" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "CashPriceMethod", - "valuationMethod" : { - "quotationMethod" : "Mid" - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1bfa1e89" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "dateRelativeTo" : { - "externalReference" : "mandatoryEarlyTerminationDate0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "meta" : { - "globalKey" : "de3bbc95", - "externalKey" : "cashSettlement0" - } - } ] + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } }, "meta" : { - "globalKey" : "47ffddde" + "globalKey" : "de3bbc95", + "externalKey" : "cashSettlement0" } - }, - "meta" : { - "globalKey" : "47ffddde" - } + } ] + }, + "meta" : { + "globalKey" : "47ffddde" } + }, + "meta" : { + "globalKey" : "47ffddde" } - }, - "meta" : { - "globalKey" : "9c09b366" } - }, - "meta" : { - "globalKey" : "9c09b366" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - 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{ - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "4cfe9a85" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentMandatoryEarlyTermination", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentMandatoryEarlyTermination", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -617,10 +629,10 @@ } } ], "meta" : { - "globalKey" : "1f50bd4c" + "globalKey" : "7965c9c9" } }, "meta" : { - "globalKey" : "1f50bd4c" + "globalKey" : "7965c9c9" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex17-opt-euro-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex17-opt-euro-term-swap.json index 2a6249c0f2..30d0062eb3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex17-opt-euro-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex17-opt-euro-term-swap.json @@ -1,169 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae921d6" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "622268e1" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "meta" : { + "globalKey" : "9ead9b90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "622268e1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + 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"dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -179,457 +213,435 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : 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"43cda0e9" + } + } + } + }, + "meta" : { + "globalKey" : "be75a71" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" }, - "meta" : { - "globalKey" : "ff947ba6" - } + "identifierType" : "Other" } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } - }, - "meta" : { - "globalKey" : "52492d18" } } }, "meta" : { - "globalKey" : "43cda0e9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } } }, "meta" : { - "globalKey" : "be75a71" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "be75a71" + "globalKey" : "4cfe9a85" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "d62a0181" + "scheme" : "http://www.partyA.com/trade-id" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "4820adb2" + "scheme" : "http://www.partyB.com/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - } ] + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -665,10 +677,10 @@ } } ], "meta" : { - "globalKey" : "9373b8a4" + "globalKey" : "767f7f97" } }, "meta" : { - "globalKey" : "9373b8a4" + "globalKey" : "767f7f97" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex18-opt-berm-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex18-opt-berm-term-swap.json index 884b3ac907..8e896bc53c 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex18-opt-berm-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex18-opt-berm-term-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,200 +78,200 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : true, - "paymentCalculationPeriod" : [ { - "adjustedPaymentDate" : "2002-08-20", - "calculationPeriod" : [ { - "adjustedStartDate" : "2001-08-30", - "adjustedEndDate" : "2002-08-30", - "meta" : { - "globalKey" : "a1ae6f32" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "5ddc099e" - } - }, { - "adjustedPaymentDate" : "2003-08-29", - "calculationPeriod" : [ { - "adjustedStartDate" : "2002-08-28", - "adjustedEndDate" : "2003-08-29", - "meta" : { - "globalKey" : "a56e82b3" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "17bcb2b6" - } - }, { - "adjustedPaymentDate" : "2004-08-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2003-08-29", - "adjustedEndDate" : "2005-08-30", - "meta" : { - "globalKey" : "a94e02d3" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "c4160375" - } - }, { - "adjustedPaymentDate" : "2005-08-30", - "calculationPeriod" : [ { - "adjustedStartDate" : "2004-08-30", - "adjustedEndDate" : "2005-08-30", - "meta" : { - "globalKey" : "acf16f32" - }, - "notionalAmount" : 100000000, - "fixedRate" : 0.05 - } ], - "meta" : { - "globalKey" : "6e7e67d4" - } - }, { - "adjustedPaymentDate" : "2006-08-30", - "calculationPeriod" : 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"globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "dayCountFraction" : { - "value" : "ACT/360" + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2002-08-20", + "calculationPeriod" : [ { + "adjustedStartDate" : "2001-08-30", + "adjustedEndDate" : "2002-08-30", + "meta" : { + "globalKey" : "a1ae6f32" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } + "notionalAmount" : 100000000, + "fixedRate" : 0.05 + } ], + "meta" : { + "globalKey" : "5ddc099e" + } + }, { + "adjustedPaymentDate" : "2003-08-29", + "calculationPeriod" : [ { + "adjustedStartDate" : "2002-08-28", + "adjustedEndDate" : "2003-08-29", + "meta" : { + "globalKey" : "a56e82b3" }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, - "meta" : { - "globalKey" : "985d6cb3" - } + "notionalAmount" : 100000000, + "fixedRate" : 0.05 + } ], + "meta" : { + "globalKey" : "17bcb2b6" + } + }, { + "adjustedPaymentDate" : "2004-08-30", + "calculationPeriod" : [ { + "adjustedStartDate" : "2003-08-29", + "adjustedEndDate" : "2005-08-30", + "meta" : { + "globalKey" : "a94e02d3" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" + "notionalAmount" : 100000000, + "fixedRate" : 0.05 + } ], + "meta" : { + "globalKey" : "c4160375" + } + }, { + "adjustedPaymentDate" : "2005-08-30", + "calculationPeriod" : [ { + "adjustedStartDate" : "2004-08-30", + "adjustedEndDate" : "2005-08-30", + "meta" : { + "globalKey" : "acf16f32" }, + "notionalAmount" : 100000000, + "fixedRate" : 0.05 + } ], + "meta" : { + "globalKey" : "6e7e67d4" + } + }, { + "adjustedPaymentDate" : "2006-08-30", + "calculationPeriod" : [ { + "adjustedStartDate" : "2005-08-30", + "adjustedEndDate" : "2006-08-30", "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "b0b26f32" + }, + "notionalAmount" : 100000000, + "fixedRate" : 0.05 + } ], + "meta" : { + "globalKey" : "19045fd4" + } + } ] + }, + "meta" : { + "globalKey" : "fe9ba1d1" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -380,7 +279,7 @@ } 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"value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -999,10 +1011,10 @@ } } ], "meta" : { - "globalKey" : "62c4658f" + "globalKey" : "912c034c" } }, "meta" : { - "globalKey" : "62c4658f" + "globalKey" : "912c034c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex19-opt-amer-term-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex19-opt-amer-term-swap.json index 073b80d660..4e454367c3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex19-opt-amer-term-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex19-opt-amer-term-swap.json @@ -1,169 +1,203 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "eae921d6" } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "622268e1" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" + "meta" : { + "globalKey" : "e0867390" + } + }, + "meta" : { + "globalKey" : "e0867390" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "1f3fd090", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "622268e1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f3fd090", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "2a683311" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "78" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -179,155 +213,246 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "e0867390" } }, "meta" : { - "globalKey" : "2a683311" + "globalKey" : "e0867390" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e2" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f4df962", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1f4df962", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "dbca04a9" + } + } ], + "meta" : { + "globalKey" : "bc98b378" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "exerciseNotice" : [ { + "businessCenter" : { + "value" : "GBLO" + } + } ], + "followUpConfirmation" : true, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentOptionalEarlyTermination" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "businessDateRange" : { + "startDate" : "2001-08-30", + "endDate" : "2006-08-30", + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "eae921d6" + "globalKey" : "428533f" } - }, - "meta" : { - "globalKey" : "eae921d6" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "e8cfcb2e", + "externalKey" : "cashSettlementPayment0" + } + }, + "meta" : { + "globalKey" : "c18cd318" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "CashPriceMethod", + "valuationMethod" : { + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "1a701065" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "e0867390" + "dateRelativeTo" : { + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } - }, - "meta" : { - "globalKey" : "e0867390" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, - "meta" : { - "globalKey" : "985d6cb3" + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1f4df962", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "f6c064fb" } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + } ] + }, + "exerciseTerms" : { + "style" : "American", + "commencementDate" : { + "relativeDate" : { + "periodMultiplier" : -5, + "period" : "D", "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "globalKey" : "5da2c362" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "365baaee" + "dateRelativeTo" : { + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "5da2c362" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1f4df962", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : -5, "period" : "D", "meta" : { - "globalKey" : "a5cb919" + "globalKey" : "5da2c362" }, "dayType" : "Business", "businessDayConvention" : "NONE", @@ -336,345 +461,232 @@ "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" + "globalKey" : "20a71d" } }, "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "5da2c362" + } + } ], + "relevantUnderlyingDate" : { + "relativeDates" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } + "globalKey" : "5119563a" }, - "meta" : { - "globalKey" : "19472b0a" + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "e8cfcb2e", + "externalReference" : "cashSettlementPayment0" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "5119563a" + } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "latestExerciseTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" } }, "meta" : { - "globalKey" : "dbca04a9" + "globalKey" : "c9102f0" } - } ], - "meta" : { - "globalKey" : "bc98b378" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } - } ], - "followUpConfirmation" : true, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentOptionalEarlyTermination" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "businessDateRange" : { - "startDate" : "2001-08-30", - "endDate" : "2006-08-30", - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - } - }, - "meta" : { - "globalKey" : "e8cfcb2e", - "externalKey" : "cashSettlementPayment0" - } - }, - "meta" : { - "globalKey" : "c18cd318" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "CashPriceMethod", - "valuationMethod" : { - "quotationMethod" : "Mid" - }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1a701065" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "meta" : { - "globalKey" : "f6c064fb" - } - } ] - }, - "exerciseTerms" : { - "style" : "American", - "commencementDate" : { - "relativeDate" : { - "periodMultiplier" : -5, - "period" : "D", - "meta" : { - "globalKey" : "5da2c362" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } - }, - "meta" : { - "globalKey" : "5da2c362" - } - }, - "expirationDate" : [ { - "relativeDate" : { - "periodMultiplier" : -5, - "period" : "D", - "meta" : { - "globalKey" : "5da2c362" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } + "meta" : { + "globalKey" : "1cd5f3c2" + } + } + } + }, + "meta" : { + "globalKey" : "d46a5b4a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" }, - "meta" : { - "globalKey" : "5da2c362" - } + "identifierType" : "Other" } ], - "relevantUnderlyingDate" : { - "relativeDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "5119563a" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "e8cfcb2e", - "externalReference" : "cashSettlementPayment0" - } - }, - "meta" : { - "globalKey" : "5119563a" - } + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "latestExerciseTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "EUTA" + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } - }, - "meta" : { - "globalKey" : "c9102f0" } } }, "meta" : { - "globalKey" : "1cd5f3c2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } } }, "meta" : { - "globalKey" : "d46a5b4a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "d46a5b4a" + "globalKey" : "4cfe9a85" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentOptionalEarlyTermination", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "d62a0181" + "scheme" : "http://www.partyA.com/trade-id" } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", "meta" : { - "globalKey" : "4820adb2" + "scheme" : "http://www.partyB.com/trade-id" } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentOptionalEarlyTermination", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -710,10 +722,10 @@ } } ], "meta" : { - "globalKey" : "e4d692b0" + "globalKey" : "136861b5" } }, "meta" : { - "globalKey" : "e4d692b0" + "globalKey" : "136861b5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex20-euro-cancel-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex20-euro-cancel-swap.json index 5d05c88be6..138414c84e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex20-euro-cancel-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex20-euro-cancel-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1f3fd090", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,126 +78,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "e0867390" } }, "meta" : { - "globalKey" : "2a683311" + "globalKey" : "e0867390" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f3fd090", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "2a683311" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "meta" : { - "globalKey" : "e0867390" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "1f4df962", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -306,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -314,263 +213,376 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "e0867390" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1f4df962", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "e0867390" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "1f4df962", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1f4df962", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "dbca04a9" + } + } ], + "meta" : { + "globalKey" : "bc98b378" + } + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2006-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "5fb4de7f" } }, "meta" : { - "globalKey" : "dbca04a9" + "globalKey" : "5fb4de7f" } } ], - "meta" : { - "globalKey" : "bc98b378" - } - }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "Party2", - "seller" : "Party1", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - } - }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2006-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "5fb4de7f" - } - }, - "meta" : { - "globalKey" : "5fb4de7f" - } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2006-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2006-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "896fb3ae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "896fb3ae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "6afb341d" + "globalKey" : "896fb3ae" } + }, + "meta" : { + "globalKey" : "896fb3ae" + } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } + }, + "meta" : { + "globalKey" : "6afb341d" } } - }, - "meta" : { - "globalKey" : "43edbc25" } - }, - "meta" : { - "globalKey" : "43edbc25" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "43edbc25" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -606,10 +618,10 @@ } } ], "meta" : { - "globalKey" : "e4810fd2" + "globalKey" : "3aeb04b" } }, "meta" : { - "globalKey" : "e4810fd2" + "globalKey" : "3aeb04b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex21-euro-extend-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex21-euro-extend-swap.json index aa5d9191cd..61b333c2bd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex21-euro-extend-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex21-euro-extend-swap.json @@ -1,169 +1,68 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6a5a890", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -171,7 +70,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -179,126 +78,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "9ead9b90" } }, "meta" : { - "globalKey" : "9e600b11" + "globalKey" : "9ead9b90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d6a5a890", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "9e600b11" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "meta" : { - "globalKey" : "9ead9b90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d6b3d162", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -306,7 +205,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -314,263 +213,376 @@ } }, "meta" : { - "globalKey" : 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{ + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "c5cfdca9" + } + } ], + "meta" : { + "globalKey" : "6b0bb378" + } + }, + "terminationProvision" : { + "extendibleProvision" : { + "buyer" : "Party1", + "seller" : "Party2", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : 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{ - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2011-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "cb488bae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "cb488bae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "127c0c1d" + "globalKey" : "cb488bae" } + }, + "meta" : { + "globalKey" : "cb488bae" + } + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } + }, + "meta" : { + "globalKey" : "127c0c1d" } } - }, - "meta" : { - "globalKey" : "dd198c07" } - }, - "meta" : { - "globalKey" : "dd198c07" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "dd198c07" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d62a0181" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d62a0181" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "4820adb2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "4cfe9a85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -606,10 +618,10 @@ } } ], "meta" : { - "globalKey" : "77de6930" + "globalKey" : "ff6d7dad" } }, "meta" : { - "globalKey" : "77de6930" + "globalKey" : "ff6d7dad" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex22-cap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex22-cap.json index fa589bb722..b1ad205a5a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex22-cap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex22-cap.json @@ -1,179 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "capRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "d44f9f26" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -183,7 +80,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -191,187 +88,302 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { 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} } }, "meta" : { - "globalKey" : "bd346278" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "71a2e47f" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -407,10 +419,10 @@ } } ], "meta" : { - "globalKey" : "c76976e5" + "globalKey" : "c3ba23b6" } }, "meta" : { - "globalKey" : "c76976e5" + "globalKey" : "c3ba23b6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex23-floor.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex23-floor.json index 07faca043c..ec001d207a 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex23-floor.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex23-floor.json @@ -1,179 +1,76 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - 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"price-1" } }, - "meta" : { - "globalKey" : "0" - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "meta" : { - "globalKey" : "d44f9f26" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - 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"33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -407,10 +419,10 @@ } } ], "meta" : { - "globalKey" : "f2583991" + "globalKey" : "12d2048a" } }, "meta" : { - "globalKey" : "f2583991" + "globalKey" : "12d2048a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex24-collar.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex24-collar.json index 2b2a1e53cf..f6cea2451d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex24-collar.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex24-collar.json @@ -1,189 +1,86 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CapFloor" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CapFloor" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "capRateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-2" } }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "capRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - }, - "buyer" : "Receiver", - "seller" : "Payer" - }, - "floorRateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - }, - "buyer" : "Payer", - "seller" : "Receiver" - }, - "meta" : { - "globalKey" : "685c4c74" - } - } + "buyer" : "Receiver", + "seller" : "Payer" }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "meta" : { - "globalKey" : "eae74156" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "97b1a6d0" - } - }, - "meta" : { - "globalKey" : "42b38772" - } - }, - "meta" : { - "globalKey" : "42b38772" + "floorRateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "428533f", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "buyer" : "Payer", + "seller" : "Receiver" + }, + "meta" : { + "globalKey" : "685c4c74" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e5232a3f", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae74156" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae74156" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -193,7 +90,7 @@ } ], "meta" : { "globalKey" : "428533f", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -201,234 +98,349 @@ } }, "meta" : { - "globalKey" : "62832fbd" + "globalKey" : "42b38772" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e5232a3f", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "a5a85796", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "42b38772" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "428533f", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "a5a85796", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "75bcab7f" - } - } ], - "meta" : { - "globalKey" : "75bcab7f" - } - } - }, - "meta" : { - "globalKey" : "75bcab7f" - } - }, - "meta" : { - "globalKey" : "75bcab7f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "EUR" + "globalKey" : "985d6cb2" } }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0625, - "meta" : { - "globalKey" : "5c1b1be9" - } - }, { - "date" : "2003-06-30", - "value" : 0.065, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "a4ea653" - } - }, { - "date" : "2004-06-30", - "value" : 0.0675, + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e5232a3f", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0c84" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.07, + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "428533f", + "externalKey" : "paymentBusinessCenters0" + } + }, "meta" : { - "globalKey" : "7ad0ea7" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "97b1a6d0" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Min" + "meta" : { + "globalKey" : "62832fbd" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - }, { - "value" : { - "value" : 0.04, - "unit" : { - "currency" : { - "value" : "EUR" - } + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e5232a3f", + "externalReference" : "CalcPeriodDates0" }, - "datedValue" : [ { - "date" : "2002-06-30", - "value" : 0.0425, - "meta" : { - "globalKey" : "5c1b1467" - } - }, { - "date" : "2003-06-30", - "value" : 0.045, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "a4ea615" + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "resetBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "a5a85796", + "externalReference" : "resetDates0" } - }, { - "date" : "2004-06-30", - "value" : 0.0475, + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "5c1d0502" + "globalKey" : "107" } - }, { - "date" : "2005-06-30", - "value" : 0.05, + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "resetBusinessCenters0" + }, + "meta" : { + "globalKey" : "35a06081" + } + }, "meta" : { - "globalKey" : "7ad0ea5" - } - } ], - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "globalKey" : "6bdb6452" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Max" + "meta" : { + "globalKey" : "a5a85796", + "externalKey" : "resetDates0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "75bcab7f" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "75bcab7f" + } + } + }, + "meta" : { + "globalKey" : "75bcab7f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0625, + "meta" : { + "globalKey" : "5c1b1be9" + } + }, { + "date" : "2003-06-30", + "value" : 0.065, + "meta" : { + "globalKey" : "a4ea653" + } + }, { + "date" : "2004-06-30", + "value" : 0.0675, + "meta" : { + "globalKey" : "5c1d0c84" + } + }, { + "date" : "2005-06-30", + "value" : 0.07, + "meta" : { + "globalKey" : "7ad0ea7" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Min" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + }, { + "value" : { + "value" : 0.04, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "datedValue" : [ { + "date" : "2002-06-30", + "value" : 0.0425, + "meta" : { + "globalKey" : "5c1b1467" + } + }, { + "date" : "2003-06-30", + "value" : 0.045, + "meta" : { + "globalKey" : "a4ea615" + } + }, { + "date" : "2004-06-30", + "value" : 0.0475, + "meta" : { + "globalKey" : "5c1d0502" + } + }, { + "date" : "2005-06-30", + "value" : 0.05, + "meta" : { + "globalKey" : "7ad0ea5" + } + } ], + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Max" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "afac499e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "dd05a819" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -464,10 +476,10 @@ } } ], "meta" : { - "globalKey" : "96ca225f" + "globalKey" : "9f9085da" } }, "meta" : { - "globalKey" : "96ca225f" + "globalKey" : "9f9085da" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex25-fxnotional-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex25-fxnotional-swap.json index 26fabe82f4..f4c2dc98bd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex25-fxnotional-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex25-fxnotional-swap.json @@ -1,184 +1,77 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-01-09", - "meta" : { - "globalKey" : "3e8849" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleJPY" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleJPY" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "58681de7" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a98" - }, - "rollConvention" : "11" - }, "meta" : { - "globalKey" : "a55eed20", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "eb7870c3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -197,250 +90,193 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "46e069fc" } }, "meta" : { - "globalKey" : "fc18f888" + "globalKey" : "46e069fc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantityReference" : { - "globalReference" : "0", - "externalReference" : "notionalScheduleJPY" - }, - "quantityMultiplier" : { - "fxLinkedNotionalSchedule" : { - "varyingNotionalCurrency" : { - "value" : "USD" - }, - "varyingNotionalFixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ef9abbd6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "4f79278" - } - }, - "dateRelativeTo" : { - "globalReference" : "32b96003", - "externalReference" : "floatingResetDates" - } - }, - "fxSpotRateSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "BankOfJapan" - } - } - }, - "fixingTime" : { - "hourMinuteTime" : "17:00:00", - "businessCenter" : { - "value" : "JPTO" - } - }, - "varyingNotionalInterimExchangePaymentDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "63745db9" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "9de62f77", - "externalReference" : "floatingPaymentDates" - } - } - } - }, + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "905d4f7c" + "globalKey" : "81e56a96" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, - "meta" : { - "globalKey" : "12a6ef" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a98" }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "a55eed20", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-01-11", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "meta" : { + "globalKey" : "fc18f888" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantityReference" : { + "globalReference" : "0", + "externalReference" : "notionalScheduleJPY" + }, + "quantityMultiplier" : { + "fxLinkedNotionalSchedule" : { + "varyingNotionalCurrency" : { + "value" : "USD" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-01-11", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "46e069fc" - } - }, + "varyingNotionalFixingDates" : { + "periodMultiplier" : -2, + "period" : "D", "meta" : { - "globalKey" : "46e069fc" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", + "globalKey" : "ef9abbd6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { - "value" : "GBLO" - }, { "value" : "USNY" }, { "value" : "JPTO" } ], "meta" : { - "globalKey" : "81e56a96" + "globalKey" : "4f79278" } }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f55" - }, - "rollConvention" : "11" - }, - "meta" : { - "globalKey" : "a55ee1dd", - "externalKey" : "floatingCalcPeriodDates" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + "dateRelativeTo" : { + "globalReference" : "32b96003", + "externalReference" : "floatingResetDates" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" + "fxSpotRateSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "BankOfJapan" } - }, - "meta" : { - "globalKey" : "58681de7" } }, - "meta" : { - "globalKey" : "9de62f77", - "externalKey" : "floatingPaymentDates" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "a55ee1dd", - "externalReference" : "floatingCalcPeriodDates" + "fixingTime" : { + "hourMinuteTime" : "17:00:00", + "businessCenter" : { + "value" : "JPTO" + } }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, + "varyingNotionalInterimExchangePaymentDates" : { + "periodMultiplier" : 0, "period" : "D", "meta" : { - "globalKey" : "fd8ae7fc" + "globalKey" : "63745db9" }, - "dayType" : "Business", "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, "dateRelativeTo" : { - "globalReference" : "32b96003", - "externalReference" : "floatingResetDates" + "globalReference" : "9de62f77", + "externalReference" : "floatingPaymentDates" } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + } + } + }, + "meta" : { + "globalKey" : "905d4f7c" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "aa" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -459,126 +295,302 @@ } }, "meta" : { - "globalKey" : "32b96003", - "externalKey" : "floatingResetDates" + "globalKey" : "46e069fc" + } + }, + "meta" : { + "globalKey" : "46e069fc" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" } }, "meta" : { - "globalKey" : "79f3608b" + "globalKey" : "58681de7" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f55" + }, + "rollConvention" : "11" + }, "meta" : { - "globalKey" : "63e9ab03" + "globalKey" : "a55ee1dd", + "externalKey" : "floatingCalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "63e9ab03" - } - }, - "meta" : { - "globalKey" : "63e9ab03" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.01, - "unit" : { - "currency" : { - "value" : "JPY" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "9de62f77", + "externalKey" : "floatingPaymentDates" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "a55ee1dd", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fd8ae7fc" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "32b96003", + "externalReference" : "floatingResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" } + }, + "meta" : { + "globalKey" : "32b96003", + "externalKey" : "floatingResetDates" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "79f3608b" } } ], "meta" : { - "globalKey" : "66617482" + "globalKey" : "63e9ab03" } - }, { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "63e9ab03" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.01, + "unit" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "JPY" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "66617482" + } + }, { + "quantity" : [ { + "value" : { + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bf5968ad" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e73016f9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-01-09", + "meta" : { + "globalKey" : "3e8849" + } }, "party" : [ { "partyId" : [ { @@ -614,10 +626,10 @@ } } ], "meta" : { - "globalKey" : "b9d1870e" + "globalKey" : "c20b30f8" } }, "meta" : { - "globalKey" : "b9d1870e" + "globalKey" : "c20b30f8" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex26-fxnotional-swap-with-cfs.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex26-fxnotional-swap-with-cfs.json index f25961638e..ad848ac665 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex26-fxnotional-swap-with-cfs.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex26-fxnotional-swap-with-cfs.json @@ -1,184 +1,426 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http:/www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http:/www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-01-09", - "meta" : { - "globalKey" : "3e8849" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalScheduleJPY" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : true, + "meta" : { + "globalKey" : "12a6ef" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalScheduleJPY" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : true, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-01-11", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, "meta" : { - "globalKey" : "12a6ef" + "globalKey" : "eb7870c3" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "eb7870c3" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-01-11", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + 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- }, - "meta" : { - "globalKey" : "eb7870c3" - } - }, - "meta" : { - "globalKey" : "eb7870c3" - } + "rollConvention" : "11" + }, + "meta" : { + "globalKey" : "a55eed20", + "externalKey" : "fixedCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : true, + "paymentCalculationPeriod" : [ { + "adjustedPaymentDate" : "2006-07-11", + "calculationPeriod" : [ { + "adjustedStartDate" : "2006-01-11", + "adjustedEndDate" : "2006-07-11", + 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: 0.01, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 1000000000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 1000000000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "66617482" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "unit" : { - "currency" : { - "value" : "USD" - } + } ], + "meta" : { + "globalKey" : "66617482" + } + }, { + "quantity" : [ { + "value" : { + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "bf5968ad" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "e73016f9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http:/www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http:/www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-01-09", + "meta" : { + "globalKey" : "3e8849" + } }, "party" : [ { "partyId" : [ { @@ -1242,10 +1254,10 @@ } } ], "meta" : { - "globalKey" : "42308c93" + "globalKey" : "eea32153" } }, "meta" : { - "globalKey" : "42308c93" + "globalKey" : "eea32153" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex27-inverse-floater.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex27-inverse-floater.json index 2243f8984d..831b45e60b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex27-inverse-floater.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex27-inverse-floater.json @@ -1,183 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "957b3c47" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "957bb0a6" - } - } ], - "tradeDate" : { - "value" : "2001-04-29", - "meta" : { - "globalKey" : "3e891d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-3" - } - } - }, - "meta" : { - "globalKey" : "0" - }, - "floatingRateMultiplierSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" + "floatingRateMultiplierSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-3" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "18f93652", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -185,7 +84,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -193,183 +92,183 @@ } }, "meta" : { - "globalKey" : "848424a" + "globalKey" : "9eb4d95c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "18f93652", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "fdec5914", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "21479e", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "9eb4d95c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "fdec5914", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "e0cd491" + "globalKey" : "985d6cb2" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "18f93652", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "848424a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "18f93652", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5a" }, - "dayCountFraction" : { - "value" : "30/360" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e", + "externalKey" : "resetBusinessCenters0" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2001-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } - }, - "meta" : { - "globalKey" : "eae921d6" - } + "dateRelativeTo" : { + "globalReference" : "fdec5914", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "21479e", + "externalReference" : "resetBusinessCenters0" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2006-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" - } - }, - "meta" : { - "globalKey" : "9eb4d95c" + "meta" : { + "globalKey" : "35a06081" + } + }, + "meta" : { + "globalKey" : "6bdb6452" + } + }, + "meta" : { + "globalKey" : "fdec5914", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "e0cd491" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2001-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "19075916", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "eae921d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "eae921d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2006-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -377,7 +276,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -385,171 +284,284 @@ } }, "meta" : { - "globalKey" : "3febc8e7" + "globalKey" : "9eb4d95c" } }, "meta" : { - "globalKey" : "83fdd54" - } - } ], - "meta" : { - "globalKey" : "d1136ca5" - } - } - }, - "meta" : { - "globalKey" : "d1136ca5" - } - }, - "meta" : { - "globalKey" : "d1136ca5" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.085, - "unit" : { - "currency" : { - "value" : "USD" + "globalKey" : "9eb4d95c" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters1" + }, + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "19075916", + "externalKey" : "CalcPeriodDates1" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-3" - } ] - } - }, { - "value" : { - "value" : -1.0, - "unit" : { - "currency" : { - "value" : "USD" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Multiply" + "meta" : { + "globalKey" : "3febc8e7" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "83fdd54" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "d1136ca5" + } + } + }, + "meta" : { + "globalKey" : "d1136ca5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.085, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" } - } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "ac74524" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } }, { - "price" : [ { - "value" : { - "value" : 0.045, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "value" : { + "value" : -1.0, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Multiply" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-3" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], + }, "meta" : { - "globalKey" : "391d5f4d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "d1bd5062" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + "price" : [ { + "value" : { + "value" : 0.045, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "391d5f4d" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2001-04-29", + "meta" : { + "globalKey" : "3e891d" + } }, "party" : [ { "partyId" : [ { @@ -585,10 +597,10 @@ } } ], "meta" : { - "globalKey" : "70b10dd0" + "globalKey" : "430df256" } }, "meta" : { - "globalKey" : "70b10dd0" + "globalKey" : "430df256" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.json index 79887c93f4..9b248ea815 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex28-bullet-payments.json @@ -1,5 +1,35 @@ { "trade" : { + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 15000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "financialUnit" : "ContractualProduct" + }, + "priceType" : "CashPrice", + "cashPrice" : { + "cashPriceType" : "Fee" + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "b5d73775" + } + } ] + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "33f59567", @@ -39,85 +69,6 @@ "globalKey" : "3e891d" } }, - "tradableProduct" : { - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 15000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "financialUnit" : "ContractualProduct" - }, - "priceType" : "CashPrice", - "cashPrice" : { - "cashPriceType" : "Fee" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "settlementTerms" : { - "settlementDate" : { - "adjustableOrRelativeDate" : { - "unadjustedDate" : "2001-07-27", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b", - "externalKey" : "businessCenters0" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - } - }, - "meta" : { - "globalKey" : "d45f9e61" - } - }, - "meta" : { - "globalKey" : "d45f9e61" - } - }, - "meta" : { - "globalKey" : "2827cb75" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -152,10 +103,10 @@ } } ], "meta" : { - "globalKey" : "6a9d5499" + "globalKey" : "ec1d7755" } }, "meta" : { - "globalKey" : "6a9d5499" + "globalKey" : "ec1d7755" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex29-non-deliverable-settlement-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex29-non-deliverable-settlement-swap.json index 257509f116..c5987cf61b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex29-non-deliverable-settlement-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex29-non-deliverable-settlement-swap.json @@ -1,233 +1,142 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : "3e530c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-0-LTAA0200000096.1" - } - }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2007-12-16", - "meta" : { - "globalKey" : "3ebb10" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "96e17152" - } - }, - "meta" : { - "globalKey" : "78e9b601" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-0-LTAA0200000096.1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2007-12-16", + "meta" : { + "globalKey" : "3ebb10" } }, - "meta" : { - "globalKey" : "42bd12fc", - "externalKey" : "PrincipalExchanges" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - "meta" : { - "globalKey" : "226239bd" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "KRW.KFTC18/KRW02" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "786cca04" - }, - "dayType" : "Business", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "6350dc53", - "externalReference" : "PaymentDatesID" - }, { - "globalReference" : "42bd12fc", - "externalReference" : "PrincipalExchanges" - } ] - } + "principalAmount" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "d4aaa0d7" + "globalKey" : "96e17152" } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "meta" : { + "globalKey" : "78e9b601" + } + } + }, + "meta" : { + "globalKey" : "42bd12fc", + "externalKey" : "PrincipalExchanges" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "7db803f0" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "KRW.KFTC18/KRW02" } - }, - "meta" : { - "globalKey" : "0" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "54261e56" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, + "globalKey" : "786cca04" + }, + "dayType" : "Business", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "705b0656" + "globalKey" : "4f5ffd5" } }, - "meta" : { - "globalKey" : "705b0656" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "6350dc53", + "externalReference" : "PaymentDatesID" + }, { + "globalReference" : "42bd12fc", + "externalReference" : "PrincipalExchanges" + } ] } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "d4aaa0d7" + } + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -243,29 +152,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10184" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -282,120 +180,131 @@ } }, "meta" : { - "globalKey" : "6350dc53", - "externalKey" : "PaymentDatesID" + "globalKey" : "705b0656" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } }, "meta" : { - "globalKey" : "4d2f181d" + "globalKey" : "987f5366" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10184" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-1-LTAA0200000096.1" + "globalKey" : "4f5ffd5" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "9172e48e" - }, - "rateTreatment" : "MoneyMarketYield", - "initialRate" : { - "value" : 0.01650000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } + "meta" : { + "globalKey" : "987f5366" + } + }, + "meta" : { + "globalKey" : "6350dc53", + "externalKey" : "PaymentDatesID" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "5d786734" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-1-LTAA0200000096.1" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "9172e48e" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, - "meta" : { - "globalKey" : "54261e56" + "rateTreatment" : "MoneyMarketYield", + "initialRate" : { + "value" : 0.01650000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "705b0656" - } - }, - "meta" : { - "globalKey" : "705b0656" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,29 +320,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10AC8" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -450,179 +348,294 @@ } }, "meta" : { - "globalKey" : "6350dc53" + "globalKey" : "705b0656" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "acf4d657", - "externalReference" : "E2000098N10AC8" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "fdf45784" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "dddb3327", - "externalReference" : "E2000098N10DDE" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "dddb3327", - "externalKey" : "E2000098N10DDE" + "globalKey" : "4f5ffd5" } }, "meta" : { - "globalKey" : "2bd58900" + "globalKey" : "987f5366" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "1391089d" + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10AC8" } - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0273000, - "unit" : { - "currency" : { - "value" : "KRW" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } + }, + "meta" : { + "globalKey" : "987f5366" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6350dc53" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "KRW" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "acf4d657", + "externalReference" : "E2000098N10AC8" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fdf45784" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "dddb3327", + "externalReference" : "E2000098N10DDE" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "dddb3327", + "externalKey" : "E2000098N10DDE" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2bd58900" } } ], "meta" : { - "globalKey" : "9612dabd" + "globalKey" : "d962ae34" } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "d962ae34" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0273000, + "unit" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "KRW" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "9612dabd" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "32f46b8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c83dfcbc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -661,10 +674,10 @@ } } ], "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } }, "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex30-swap-comp-avg-relative-date.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex30-swap-comp-avg-relative-date.json index 5d03e2095e..04a88368c3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex30-swap-comp-avg-relative-date.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex30-swap-comp-avg-relative-date.json @@ -1,177 +1,85 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "a4c148a4", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "martin", - "meta" : { - "scheme" : "http://xml.morganstanley.com/fid/ird/msTradeIdScheme/swapName" - } - } - } ], - "meta" : { - "globalKey" : "55073490" - } - }, { - "issuerReference" : { - "globalReference" : "3a74b3c0", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234567", - "meta" : { - "scheme" : "http://xml.morganstanley.com/fid/ird/counterpartyTradeIdScheme" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "dc5b8a8" - } - } ], - "tradeDate" : { - "value" : "2005-07-31", - "meta" : { - "globalKey" : "3ea9df", - "externalKey" : "tradeDate" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "notionalSchedule_0_0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : false, + "intermediatePayment" : false, + "meta" : { + "globalKey" : "12be35" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notionalSchedule_0_0" } }, - "principalPayment" : { - "initialPayment" : false, - "finalPayment" : false, - "intermediatePayment" : false, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "12be35" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "6d8c1fc6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ea9df", - "externalReference" : "tradeDate" - }, - "relativeDateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - } - }, - "meta" : { - "globalKey" : "6d8c1fc6", - "externalKey" : "effectiveDate_0_0" - } + "globalKey" : "6d8c1fc6" }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "Y", - "meta" : { - "globalKey" : "f10af5ca" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "dateRelativeTo" : { - "globalReference" : "6d8c1fc6", - "externalReference" : "effectiveDate_0_0" - } - }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "f10af5ca", - "externalKey" : "terminationDate_0_0" + "globalKey" : "21479e" } }, - "calculationPeriodDatesAdjustments" : { + "dateRelativeTo" : { + "globalReference" : "3ea9df", + "externalReference" : "tradeDate" + }, + "relativeDateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -186,30 +94,238 @@ "meta" : { "globalKey" : "97b8e49c" } + } + }, + "meta" : { + "globalKey" : "6d8c1fc6", + "externalKey" : "effectiveDate_0_0" + } + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "Y", + "meta" : { + "globalKey" : "f10af5ca" }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "2b8c" - }, - "rollConvention" : "2" + "globalKey" : "42f910b" + } + }, + "dateRelativeTo" : { + "globalReference" : "6d8c1fc6", + "externalReference" 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"meta" : { + "scheme" : "http://xml.morganstanley.com/fid/ird/counterpartyTradeIdScheme" + } + } + } ], + "meta" : { + "globalKey" : "dc5b8a8" + } + } ], + "tradeDate" : { + "value" : "2005-07-31", + "meta" : { + "globalKey" : "3ea9df", + "externalKey" : "tradeDate" + } }, "party" : [ { "partyId" : [ { @@ -956,10 +968,10 @@ } } ], "meta" : { - "globalKey" : "cf2a8e2" + "globalKey" : "fe31ee20" } }, "meta" : { - "globalKey" : "cf2a8e2" + "globalKey" : "fe31ee20" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex31-non-deliverable-settlement-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex31-non-deliverable-settlement-swap.json index 257509f116..c5987cf61b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex31-non-deliverable-settlement-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex31-non-deliverable-settlement-swap.json @@ -1,233 +1,142 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "E2000098N10184", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "3e06abe1" - } - }, { - "issuerReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1234", - "meta" : { - "scheme" : "http://www.barclays.com/swaps/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9591fab6" - } - } ], - "tradeDate" : { - "value" : "1994-12-12", - "meta" : { - "globalKey" : 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{ - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "96e17152" - } - }, - "meta" : { - "globalKey" : "78e9b601" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-0-LTAA0200000096.1" + } + }, + "principalPayment" : { + "initialPayment" : false, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2007-12-16", + "meta" : { + "globalKey" : "3ebb10" } }, - "meta" : { - "globalKey" : "42bd12fc", - "externalKey" : "PrincipalExchanges" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" }, - 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"acf4d657", - "externalKey" : "E2000098N10184" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -282,120 +180,131 @@ } }, "meta" : { - "globalKey" : "6350dc53", - "externalKey" : "PaymentDatesID" + "globalKey" : "705b0656" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } }, "meta" : { - "globalKey" : "4d2f181d" + "globalKey" : "987f5366" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10184" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0", - "externalKey" : "E2000098notional-1-LTAA0200000096.1" + "globalKey" : "4f5ffd5" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "9172e48e" - }, - "rateTreatment" : "MoneyMarketYield", - "initialRate" : { - "value" : 0.01650000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" - } + "meta" : { + "globalKey" : "987f5366" + } + }, + "meta" : { + "globalKey" : "6350dc53", + "externalKey" : "PaymentDatesID" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "5d786734" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0", + "externalKey" : "E2000098notional-1-LTAA0200000096.1" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "9172e48e" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "54261e56" - } - }, - "meta" : { - "globalKey" : "54261e56" + "rateTreatment" : "MoneyMarketYield", + "initialRate" : { + "value" : 0.01650000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2007-12-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4f5ffd5" - } - }, - "meta" : { - "globalKey" : "987f5366" - } - }, - "meta" : { - "globalKey" : "705b0656" - } - }, - "meta" : { - "globalKey" : "705b0656" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -411,29 +320,18 @@ "globalKey" : "987f5366" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a9d" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "acf4d657", - "externalKey" : "E2000098N10AC8" + "globalKey" : "54261e56" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "54261e56" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2007-12-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -450,179 +348,294 @@ } }, "meta" : { - "globalKey" : "6350dc53" + "globalKey" : "705b0656" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "acf4d657", - "externalReference" : "E2000098N10AC8" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "fdf45784" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "dddb3327", - "externalReference" : "E2000098N10DDE" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "705b0656" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "dddb3327", - "externalKey" : "E2000098N10DDE" + "globalKey" : "4f5ffd5" } }, "meta" : { - "globalKey" : "2bd58900" + "globalKey" : "987f5366" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a9d" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "1391089d" + "globalKey" : "acf4d657", + "externalKey" : "E2000098N10AC8" } - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "meta" : { - "globalKey" : "1391089d" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0273000, - "unit" : { - "currency" : { - "value" : "KRW" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "KRW" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4f5ffd5" + } + }, + "meta" : { + "globalKey" : "987f5366" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "6350dc53" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 26415000000.00, - "unit" : { - "currency" : { - "value" : "KRW" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "acf4d657", + "externalReference" : "E2000098N10AC8" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "fdf45784" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "dddb3327", + "externalReference" : "E2000098N10DDE" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "dddb3327", + "externalKey" : "E2000098N10DDE" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "2bd58900" } } ], "meta" : { - "globalKey" : "9612dabd" + "globalKey" : "d962ae34" } - }, { - "quantity" : [ { - "value" : { - "value" : 25000000.00, - "unit" : { - "currency" : { - "value" : "USD" - } + } + }, + "meta" : { + "globalKey" : "d962ae34" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0273000, + "unit" : { + "currency" : { + "value" : "KRW" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "KRW" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 26415000000.00, + "unit" : { + "currency" : { + "value" : "KRW" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "9612dabd" + } + }, { + "quantity" : [ { + "value" : { + "value" : 25000000.00, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "32f46b8a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "8b7071c", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "f9ea7c0d", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "c83dfcbc" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "8b7071c", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "E2000098N10184", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "3e06abe1" + } + }, { + "issuerReference" : { + "globalReference" : "f9ea7c0d", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1234", + "meta" : { + "scheme" : "http://www.barclays.com/swaps/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "9591fab6" + } + } ], + "tradeDate" : { + "value" : "1994-12-12", + "meta" : { + "globalKey" : "3e530c" + } }, "party" : [ { "partyId" : [ { @@ -661,10 +674,10 @@ } } ], "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } }, "meta" : { - "globalKey" : "f42e6552" + "globalKey" : "185fe09b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex32-zero-coupon-swap-normal-rate.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex32-zero-coupon-swap-normal-rate.json index b8ae8747c0..cb8c6ea4fe 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex32-zero-coupon-swap-normal-rate.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex32-zero-coupon-swap-normal-rate.json @@ -1,221 +1,85 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "5b6941a5", - "externalReference" : "tradeSource" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "1-2", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" - } + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } }, { - "identifier" : { - "value" : "11111111", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/alpha-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "80748ff5" - } - }, { - "issuerReference" : { - "globalReference" : "8251773a", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc123", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "409350a5" - } - }, { - "issuerReference" : { - "globalReference" : "2e47ffb0", - "externalReference" : "clearingDCO" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LCH00000000001", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat" } } }, { - "identifier" : { - "value" : "STM", - "meta" : { - "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-classification" - } - } - } ], - "meta" : { - "globalKey" : "5683d2c7" - } - }, { - "issuer" : { - "value" : "1010000051", - "meta" : { - "scheme" : "USINamespace" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "XX11111111XXX1111111111111111111", - "meta" : { - "scheme" : "USI" - } - } - } ], - "meta" : { - "globalKey" : "765a215f" - } - }, { - "issuer" : { - "value" : "1010000051", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "XX11111111XXX1111111111111111111", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "6d78b379" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2010-07-06", - "meta" : { - "globalKey" : "3ed1c6" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2051-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2051-06-30", - "meta" : { - "globalKey" : "40119e" - } - }, - "meta" : { - "globalKey" : "f0a6c956" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2051-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f0a6c956" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2052-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "adjustedDate" : { - "value" : "2052-06-28", - "meta" : { - "globalKey" : "40299c" - } - }, - "meta" : { - "globalKey" : "626b7491" - } - }, + "adjustedDate" : { + "value" : "2051-06-30", "meta" : { - "globalKey" : "626b7491" + "globalKey" : "40119e" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2052-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -229,138 +93,138 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "adjustedDate" : { + "value" : "2052-06-28", "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" + "globalKey" : "40299c" + } }, "meta" : { - "globalKey" : "ddf61d0d", - "externalKey" : "fixedCalcPeriodDates1" + "globalKey" : "626b7491" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "626b7491" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aacaea08", - "externalKey" : "paymentDates1" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "5157687a" + "globalKey" : "365c4b6f" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "ddf61d0d", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "aacaea08", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "5157687a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2051-06-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2051-06-30", - "meta" : { - "globalKey" : "40119e" - } - }, - "meta" : { - "globalKey" : "f0a6c956" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2051-06-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "f0a6c956" + "globalKey" : "24a738" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2052-06-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "adjustedDate" : { - "value" : "2052-06-28", - "meta" : { - "globalKey" : "40299c" - } - }, - "meta" : { - "globalKey" : "626b7491" - } - }, + "adjustedDate" : { + "value" : "2051-06-30", "meta" : { - "globalKey" : "626b7491" + "globalKey" : "40119e" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "meta" : { + "globalKey" : "f0a6c956" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2052-06-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -374,218 +238,366 @@ "globalKey" : "365c4b6f" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", + "adjustedDate" : { + "value" : "2052-06-28", "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" + "globalKey" : "40299c" + } }, "meta" : { - "globalKey" : "ddd2e77a", - "externalKey" : "floatingCalcPeriodDates2" + "globalKey" : "626b7491" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "626b7491" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "aacaea08", - "externalKey" : "paymentDates2" + "globalKey" : "21479e" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "ddd2e77a", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "b7e54b1b", - "externalKey" : "fixingDates2" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "b92a5516", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "ddd2e77a", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "b92a5516", - "externalKey" : "resetDates2" + "globalKey" : "21479e" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6c8dea8a" + "globalKey" : "365c4b6f" } - } ], + }, "meta" : { - "globalKey" : "f0255ad0" + "globalKey" : "aacaea08", + "externalKey" : "paymentDates2" } - } - }, - "meta" : { - "globalKey" : "4672ae35" - } - }, - "meta" : { - "globalKey" : "4672ae35" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.040610, - "unit" : { - "currency" : { - "value" : "GBP" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "ddd2e77a", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "b7e54b1b", + "externalKey" : "fixingDates2" + }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "b92a5516", + "externalReference" : "resetDates2" } }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 9000000, - "unit" : { - "currency" : { - "value" : "GBP" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" } + }, + "meta" : { + "globalKey" : "b92a5516", + "externalKey" : "resetDates2" } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "globalKey" : "6c8dea8a" } } ], "meta" : { - "globalKey" : "2f4bf470" + "globalKey" : "f0255ad0" } - }, { - "quantity" : [ { - "value" : { - "value" : 9000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "meta" : { + "globalKey" : "4672ae35" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.040610, + "unit" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "GBP" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 9000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "2f4bf470" + } + }, { + "quantity" : [ { + "value" : { + "value" : 9000000, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9aacf7b2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "179368c5" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e47ffb0", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8251773a", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "5b6941a5", + "externalReference" : "tradeSource" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "1-2", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + } + }, { + "identifier" : { + "value" : "11111111", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/alpha-trade-id" } - } ] + } } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2e47ffb0", - "externalReference" : "party2" + "meta" : { + "globalKey" : "80748ff5" + } + }, { + "issuerReference" : { + "globalReference" : "8251773a", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc123", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "409350a5" + } + }, { + "issuerReference" : { + "globalReference" : "2e47ffb0", + "externalReference" : "clearingDCO" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LCH00000000001", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-id" + } } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8251773a", - "externalReference" : "party1" + "identifier" : { + "value" : "STM", + "meta" : { + "scheme" : "http://www.lchclearnet.com/clearlink/coding-scheme/trade-classification" + } } - } ] + } ], + "meta" : { + "globalKey" : "5683d2c7" + } + }, { + "issuer" : { + "value" : "1010000051", + "meta" : { + "scheme" : "USINamespace" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "XX11111111XXX1111111111111111111", + "meta" : { + "scheme" : "USI" + } + } + } ], + "meta" : { + "globalKey" : "765a215f" + } + }, { + "issuer" : { + "value" : "1010000051", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "XX11111111XXX1111111111111111111", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "6d78b379" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2010-07-06", + "meta" : { + "globalKey" : "3ed1c6" + } }, "party" : [ { "partyId" : [ { @@ -724,10 +736,10 @@ } }, "meta" : { - "globalKey" : "2b600648" + "globalKey" : "bbd6c65d" } }, "meta" : { - "globalKey" : "2b600648" + "globalKey" : "bbd6c65d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex33-BRL-CDI-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex33-BRL-CDI-swap.json index 9cc6503db3..6dd941d875 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex33-BRL-CDI-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex33-BRL-CDI-swap.json @@ -1,376 +1,132 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "fa8ff89a", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "987654321-0", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" } ], - "meta" : { - "globalKey" : "3ffe0b9d" - } - } ], - "tradeDate" : { - "value" : "2012-06-29", - "meta" : { - "globalKey" : "3ee19d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "futureValueNotional" : { - "quantity" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "currency" : { - "value" : "BRL" - }, - "calculationPeriodNumberOfDays" : 122, - "valueDate" : "2013-03-26" - }, - "meta" : { - "globalKey" : "4076a9c" - } - }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "7fe8b009" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "1483817f", - "externalKey" : "fixedLegFxFixingDates" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "efeee7e7", - "externalReference" : "fixedLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "e77415a3" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "futureValueNotional" : { + "quantity" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "dayCountFraction" : { - "value" : "CAL/252" + "currency" : { + "value" : "BRL" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-26", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "meta" : { - "globalKey" : "efeee7e7" + "calculationPeriodNumberOfDays" : 122, + "valueDate" : "2013-03-26" + }, + "meta" : { + "globalKey" : "4076a9c" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "1e816afc" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "efeee7e7", - "externalKey" : "fixedLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "94beb296", - "externalKey" : "fixedLegCalcPeriodDates" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "ValuationDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "ea4abbbd" + "globalKey" : "1483817f", + "externalKey" : "fixedLegFxFixingDates" }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", + "dayType" : "Business", + "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { + "value" : "BRBD" + }, { "value" : "USNY" } ], "meta" : { - "globalKey" : "27e4e9" + "globalKey" : "3f03a97" } }, - "meta" : { - "globalKey" : "212500d8" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "efeee7e7", + "externalReference" : "fixedLegTerminationDate" + } ] } - }, - "meta" : { - "globalKey" : "97d62622" } }, "meta" : { - "globalKey" : "9f71f0ea" + "globalKey" : "e77415a3" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "6b0d901b" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "BRL.PTAX/BRL09" - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "ffa86191", - "externalKey" : "floatingLegFxFixingDates" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3f03a97" - } - }, - "dateRelativeToCalculationPeriodDates" : { - "calculationPeriodDatesReference" : [ { - "globalReference" : "efeee7e7", - "externalReference" : "floatingLegTerminationDate" - } ] - } - } - }, - "meta" : { - "globalKey" : "d298f5b5" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "866f31bf" - }, - "initialRate" : { - "value" : 0.10432, - "unit" : { - "currency" : { - "value" : "BRL" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" - } - }, - "priceType" : "InterestRate" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ec345b12" } }, - "dayCountFraction" : { - "value" : "CAL/252" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2012-09-26", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "meta" : { - "globalKey" : "ec345b12" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2013-03-26", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "BRBD" - } ], - "meta" : { - "globalKey" : "1f3c92" - } - }, - "meta" : { - "globalKey" : "211c5881" - } - }, - "meta" : { - "globalKey" : "efeee7e7" - } - }, - "meta" : { - "globalKey" : "efeee7e7", - "externalKey" : "floatingLegTerminationDate" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ec345b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-26", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -384,88 +140,191 @@ "globalKey" : "211c5881" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "1187dc4d", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "efeee7e7" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "ValuationDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" + "meta" : { + "globalKey" : "efeee7e7", + "externalKey" : "fixedLegTerminationDate" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "94beb296", + "externalKey" : "fixedLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "ValuationDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } + }, + "meta" : { + "globalKey" : "97d62622" + } + }, + "meta" : { + "globalKey" : "f1a73dfd" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "9a64b0e" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "BRL.PTAX/BRL09" } - }, - "meta" : { - "globalKey" : "212500d8" } - }, - "meta" : { - "globalKey" : "97d62622" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "1187dc4d", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : -1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "a7117093" + "globalKey" : "ffa86191", + "externalKey" : "floatingLegFxFixingDates" }, "dayType" : "Business", "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { "value" : "BRBD" + }, { + "value" : "USNY" } ], "meta" : { - "globalKey" : "1f3c92" + "globalKey" : "3f03a97" } }, - "dateRelativeTo" : { - "globalReference" : "ef2f9828", - "externalReference" : "floatingLegResetDates" + "dateRelativeToCalculationPeriodDates" : { + "calculationPeriodDatesReference" : [ { + "globalReference" : "efeee7e7", + "externalReference" : "floatingLegTerminationDate" + } ] + } + } + }, + "meta" : { + "globalKey" : "d298f5b5" + } + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "866f31bf" + }, + "initialRate" : { + "value" : 0.10432, + "unit" : { + "currency" : { + "value" : "BRL" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "T", + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "CAL/252" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2012-09-26", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "73" + "globalKey" : "24a738" } }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "ec345b12" + } + }, + "meta" : { + "globalKey" : "ec345b12" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2013-03-26", + "dateAdjustments" : { "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -480,149 +339,304 @@ } }, "meta" : { - "globalKey" : "ef2f9828", - "externalKey" : "floatingLegResetDates" + "globalKey" : "efeee7e7" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "b6ec809d" + "globalKey" : "efeee7e7", + "externalKey" : "floatingLegTerminationDate" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "meta" : { + "globalKey" : "211c5881" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "46dc6773" + "globalKey" : "1187dc4d", + "externalKey" : "floatingLegCalcPeriodDates" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent", - "calculationAgentBusinessCenter" : { - "value" : "USNY" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "ValuationDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9" + } + }, + "meta" : { + "globalKey" : "212500d8" + } + }, + "meta" : { + "globalKey" : "97d62622" } - } - }, - "meta" : { - "globalKey" : "93c2b146" - } - }, - "meta" : { - "globalKey" : "93c2b146" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0876, - "unit" : { - "currency" : { - "value" : "BRL" + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "1187dc4d", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "a7117093" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "dateRelativeTo" : { + "globalReference" : "ef2f9828", + "externalReference" : "floatingLegResetDates" } }, - "perUnitOf" : { - "currency" : { - "value" : "BRL" + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "BRBD" + } ], + "meta" : { + "globalKey" : "1f3c92" + } + }, + "meta" : { + "globalKey" : "211c5881" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "ef2f9828", + "externalKey" : "floatingLegResetDates" + } }, + "compoundingMethod" : "Flat", "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "f2490e32" } } ], - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "BRL" - } + "meta" : { + "globalKey" : "559769af" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent", + "calculationAgentBusinessCenter" : { + "value" : "USNY" + } + } + }, + "meta" : { + "globalKey" : "ec7a3582" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0876, + "unit" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - }, { - "value" : { - "value" : 104149148.42, - "unit" : { - "currency" : { - "value" : "BRL" - } + "perUnitOf" : { + "currency" : { + "value" : "BRL" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "BRL" + } } - } ], + }, "meta" : { - "globalKey" : "bbfc6361" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 100000000.0, - "unit" : { - "currency" : { - "value" : "BRL" - } + "value" : { + "value" : 104149148.42, + "unit" : { + "currency" : { + "value" : "BRL" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "BRL-CDI" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "bbfc6361" + } + }, { + "quantity" : [ { + "value" : { + "value" : 100000000.0, + "unit" : { + "currency" : { + "value" : "BRL" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "BRL-CDI" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "BRL-CDI" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "7c30e9d0" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "fa8ff89a", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "defe9a0c" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "ded9c798", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "fa8ff89a", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "ded9c798", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "fa8ff89a", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "fa8ff89a", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "987654321-0", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "fa8ff89a", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "3ffe0b9d" + } + } ], + "tradeDate" : { + "value" : "2012-06-29", + "meta" : { + "globalKey" : "3ee19d" + } }, "party" : [ { "partyId" : [ { @@ -664,10 +678,10 @@ } } ], "meta" : { - "globalKey" : "238bed8b" + "globalKey" : "de6c5d71" } }, "meta" : { - "globalKey" : "238bed8b" + "globalKey" : "de6c5d71" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex34-MXN-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex34-MXN-swap.json index 5cfbdfde2f..3047115b5f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex34-MXN-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex34-MXN-swap.json @@ -1,165 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "70f2800e", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "xyz1234", - "meta" : { - "scheme" : "buyside-trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "36aee370" - } - }, { - "issuerReference" : { - "globalReference" : "731259a8", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "abc1234", - "meta" : { - "scheme" : "sellside-trade-id" - } - } - } ], - "meta" : { - "globalKey" : "4d7c7218" - } - } ], - "tradeDate" : { - "value" : "2010-12-12", - "meta" : { - "globalKey" : "3ed30c" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "meta" : { - "globalKey" : "365f5852" - } - }, - "meta" : { - "globalKey" : "15291604" - } - }, - "meta" : { - "globalKey" : "15291604" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365f5852" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "251890" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "85c51c58", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "ebfaeec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebfaeec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -174,179 +75,179 @@ } }, "meta" : { - "globalKey" : "5129fe60" + "globalKey" : "15291604" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85c51c58", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, - "period" : "D", - "meta" : { - "globalKey" : "8faea27a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "dateRelativeTo" : { - "globalReference" : "ea9690ae", - "externalReference" : "resetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "meta" : { - "globalKey" : "365f5852" - } - }, + "meta" : { + "globalKey" : "15291604" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], "meta" : { - "globalKey" : "ea9690ae", - "externalKey" : "resetDates" + "globalKey" : "245481" } }, "meta" : { - "globalKey" : "f75b1e07" + "globalKey" : "365f5852" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "251890" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "85c51c58", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "245481" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365f5852" + } + }, + "meta" : { + "globalKey" : "5129fe60" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "85c51c58", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "8faea27a" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" } }, - "dayCountFraction" : { - "value" : "30E/360" + "dateRelativeTo" : { + "globalReference" : "ea9690ae", + "externalReference" : "resetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2010-12-14", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "meta" : { - "globalKey" : "ebfaeec6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2015-12-14", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, - "meta" : { - "globalKey" : "365f5852" - } - }, - "meta" : { - "globalKey" : "15291604" - } - }, - "meta" : { - "globalKey" : "15291604" + "meta" : { + "globalKey" : "365f5852" + } + }, + "meta" : { + "globalKey" : "ea9690ae", + "externalKey" : "resetDates" + } + }, + "meta" : { + "globalKey" : "f75b1e07" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "MXMC" - } ], - "meta" : { - "globalKey" : "245481" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2010-12-14", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "365f5852" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "251890" - }, - "rollConvention" : "NONE" - }, "meta" : { - "globalKey" : "85c51c58", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "ebfaeec6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebfaeec6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-12-14", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -361,126 +262,237 @@ } }, "meta" : { - "globalKey" : "5129fe60" + "globalKey" : "15291604" + } + }, + "meta" : { + "globalKey" : "15291604" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" } }, "meta" : { - "globalKey" : "ec28ade2" + "globalKey" : "365f5852" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "251890" + }, + "rollConvention" : "NONE" + }, "meta" : { - "globalKey" : "71885329" + "globalKey" : "85c51c58", + "externalKey" : "fixedCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "MXMC" + } ], + "meta" : { + "globalKey" : "245481" + } + }, + "meta" : { + "globalKey" : "365f5852" + } + }, + "meta" : { + "globalKey" : "5129fe60" + } + }, + "meta" : { + "globalKey" : "ec28ade2" } - }, + } ], "meta" : { "globalKey" : "71885329" } - }, - "meta" : { - "globalKey" : "71885329" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "MXN" - } + "meta" : { + "globalKey" : "71885329" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "MXN" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "MXN-TIIE-Banxico" - }, - "indexTenor" : { - "periodMultiplier" : 28, - "period" : "D", - "meta" : { - "globalKey" : "3a8" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "MXN-TIIE-Banxico" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "MXN-TIIE-Banxico" + }, + "indexTenor" : { + "periodMultiplier" : 28, + "period" : "D", + "meta" : { + "globalKey" : "3a8" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d3c627a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.06, - "unit" : { - "currency" : { - "value" : "MXN" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "MXN" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "475244e7" + } + }, { + "price" : [ { + "value" : { + "value" : 0.06, + "unit" : { + "currency" : { + "value" : "MXN" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 50000000.00, - "unit" : { - "currency" : { - "value" : "MXN" - } + "perUnitOf" : { + "currency" : { + "value" : "MXN" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 50000000.00, + "unit" : { + "currency" : { + "value" : "MXN" + } } - } ], + }, "meta" : { - "globalKey" : "1ca19ce9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "731259a8", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "70f2800e", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "1ca19ce9" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "731259a8", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "70f2800e", + "externalReference" : "party1" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "70f2800e", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "xyz1234", + "meta" : { + "scheme" : "buyside-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "36aee370" + } + }, { + "issuerReference" : { + "globalReference" : "731259a8", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "abc1234", + "meta" : { + "scheme" : "sellside-trade-id" + } + } + } ], + "meta" : { + "globalKey" : "4d7c7218" + } + } ], + "tradeDate" : { + "value" : "2010-12-12", + "meta" : { + "globalKey" : "3ed30c" + } }, "party" : [ { "partyId" : [ { @@ -524,10 +536,10 @@ } } ], "meta" : { - "globalKey" : "ab9966a8" + "globalKey" : "218d657" } }, "meta" : { - "globalKey" : "ab9966a8" + "globalKey" : "218d657" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex35-inverse-floater-inverse-vs-floating.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex35-inverse-floater-inverse-vs-floating.json index 8dbab7bd57..c59a472e48 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex35-inverse-floater-inverse-vs-floating.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex35-inverse-floater-inverse-vs-floating.json @@ -1,183 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "123456", - "meta" : { - "scheme" : "http://www.partyA.com/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "ebf08478" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "654321", - "meta" : { - "scheme" : "http://www.partyB.com/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "f4a3eab1" - } - } ], - "tradeDate" : { - "value" : "2009-04-29", - "meta" : { - "globalKey" : "3ec91d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "spreadSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, - "meta" : { - "globalKey" : "0" - }, - "floatingRateMultiplierSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "0" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "e08db15c" - } - }, - "meta" : { - "globalKey" : "e08db15c" + "floatingRateMultiplierSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f92" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "d72b1e52", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ebd961d6" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebd961d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -185,7 +84,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -193,181 +92,181 @@ } }, "meta" : { - "globalKey" : "848424a" + "globalKey" : "e08db15c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d72b1e52", - "externalReference" : "CalcPeriodDates0" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5a" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e", - "externalKey" : "resetBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "fdec5914", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "21479e", - "externalReference" : "resetBusinessCenters0" - }, - "meta" : { - "globalKey" : "35a06081" - } - }, - "meta" : { - "globalKey" : "6bdb6452" - } + "meta" : { + "globalKey" : "e08db15c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "fdec5914", - "externalKey" : "resetDates0" + "globalKey" : "622268e1" } }, "meta" : { - "globalKey" : "4a9ebc91" + "globalKey" : "985d6cb2" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f92" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "d72b1e52", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters0" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } + "meta" : { + "globalKey" : "3662e8ba" + } + }, + "meta" : { + "globalKey" : "848424a" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d72b1e52", + "externalReference" : "CalcPeriodDates0" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5a" }, - "dayCountFraction" : { - "value" : "30/360" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e", + "externalKey" : "resetBusinessCenters0" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-08-30", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "meta" : { - "globalKey" : "ebd961d6" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "e08db15c" - } - }, - "meta" : { - "globalKey" : "e08db15c" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, - "meta" : { - "globalKey" : "985d6cb3" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" + "dateRelativeTo" : { + "globalReference" : "fdec5914", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "21479e", + "externalReference" : "resetBusinessCenters0" }, "meta" : { - "globalKey" : "d7394116", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "35a06081" + } + }, + "meta" : { + "globalKey" : "6bdb6452" + } + }, + "meta" : { + "globalKey" : "fdec5914", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "4a9ebc91" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-08-30", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "107" + "globalKey" : "24a738" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ebd961d6" + } + }, + "meta" : { + "globalKey" : "ebd961d6" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -375,7 +274,7 @@ } ], "meta" : { "globalKey" : "27e4e9", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -383,226 +282,358 @@ } }, "meta" : { - "globalKey" : "3febc8e7" + "globalKey" : "e08db15c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d7394116", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "258bb3e6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "resetBusinessCenters1" - } - }, - "dateRelativeTo" : { - "globalReference" : "29ac0bc3", - "externalReference" : "resetDates1" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "resetBusinessCenters1" - }, - "meta" : { - "globalKey" : "35a06082" - } - }, - "meta" : { - "globalKey" : "6bdb6453" - } + "meta" : { + "globalKey" : "e08db15c" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "29ac0bc3", - "externalKey" : "resetDates1" + "globalKey" : "622268e2" } }, "meta" : { - "globalKey" : "68bfa375" + "globalKey" : "985d6cb3" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "162c98c4" + "globalKey" : "d7394116", + "externalKey" : "CalcPeriodDates1" } - } - }, - "meta" : { - "globalKey" : "162c98c4" - } - }, - "meta" : { - "globalKey" : "162c98c4" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0325, - "unit" : { - "currency" : { - "value" : "USD" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "3662e8ba" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "3febc8e7" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - }, { - "value" : { - "value" : -1.0, - "unit" : { - "currency" : { - "value" : "USD" - } + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d7394116", + "externalReference" : "CalcPeriodDates1" }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "258bb3e6" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "27e4e9", + "externalKey" : "resetBusinessCenters1" + } + }, + "dateRelativeTo" : { + "globalReference" : "29ac0bc3", + "externalReference" : "resetDates1" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Multiply" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "resetBusinessCenters1" + }, "meta" : { - "globalKey" : "aa" + "globalKey" : "35a06082" } + }, + "meta" : { + "globalKey" : "6bdb6453" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] + "globalKey" : "29ac0bc3", + "externalKey" : "resetDates1" } + }, + "meta" : { + "globalKey" : "68bfa375" } + } ], + "meta" : { + "globalKey" : "162c98c4" + } + } + }, + "meta" : { + "globalKey" : "162c98c4" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0325, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" }, "meta" : { - "globalKey" : "15d000b9" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } }, { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "value" : { + "value" : -1.0, + "unit" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Multiply" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "5332145f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "8415cc6d" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "f8e4e087" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123456", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "ebf08478" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "654321", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "f4a3eab1" + } + } ], + "tradeDate" : { + "value" : "2009-04-29", + "meta" : { + "globalKey" : "3ec91d" + } }, "party" : [ { "partyId" : [ { @@ -638,10 +669,10 @@ } } ], "meta" : { - "globalKey" : "bc990650" + "globalKey" : "e6998832" } }, "meta" : { - "globalKey" : "bc990650" + "globalKey" : "e6998832" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex36-amer-swaption-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex36-amer-swaption-pred-clearing.json index 5aedf04752..cf13d54e7e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex36-amer-swaption-pred-clearing.json +++ 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"33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + }, { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59568", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyA.com/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] - }, { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59568", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "957b3c47" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "123", + "meta" : { + "scheme" : "http://www.partyB.com/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "957bb0a6" + } + } ], + "tradeDate" : { + "value" : "2000-08-30", + "meta" : { + "globalKey" : "3e821e" + } }, "party" : [ { "partyId" : [ { @@ -724,7 +735,7 @@ } } ], "meta" : { - "globalKey" : "f9e3784d" + "globalKey" : "c99caa96" } }, "transferHistory" : [ { @@ -783,6 +794,6 @@ } } ], "meta" : { - "globalKey" : "58c849dd" + "globalKey" : "fc7af1f4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex37-zero-coupon-swap-known-amount-schedule.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex37-zero-coupon-swap-known-amount-schedule.json index 5dd299a3c5..10ab5a57d6 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex37-zero-coupon-swap-known-amount-schedule.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex37-zero-coupon-swap-known-amount-schedule.json @@ -1,5 +1,494 @@ { "trade" : { + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" + } + }, { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat" + } + } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "priceSchedule" : [ { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } ], + "meta" : { + "globalKey" : "0" + } + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-09-18", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2008-09-18", + "meta" : { + "globalKey" : "3ec252" + } + }, + "meta" : { + "globalKey" : "ebbc1d0a" + } + }, + "meta" : { + "globalKey" : "ebbc1d0a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-06-15", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "adjustedDate" : { + "value" : "2025-06-16", + "meta" : { + "globalKey" : "3f4990" + } + }, + "meta" : { + "globalKey" : "b4702bf" + } + }, + "meta" : { + "globalKey" : "b4702bf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "24b525" + }, + "rollConvention" : "NONE" + }, + "meta" : { + "globalKey" : "3c10356a", + "externalKey" : "fixedCalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "aaca4987", + "externalKey" : "paymentDates1" + } + }, + "meta" : { + "globalKey" : "c511e132" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-09-18", + "dateAdjustments" : { + "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "24a738" + } + }, + "adjustedDate" : { + "value" : "2008-09-18", + "meta" : { + "globalKey" : "3ec252" + } + }, + "meta" : { + "globalKey" : "ebbc1d0a" + } + }, + "meta" : { + "globalKey" : "ebbc1d0a" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2025-06-15", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "adjustedDate" : { + "value" : "2025-06-16", + "meta" : { + "globalKey" : "3f4990" + } + }, + "meta" : { + "globalKey" : "b4702bf" + } + }, + "meta" : { + "globalKey" : "b4702bf" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "firstRegularPeriodStartDate" : "2008-12-15", + "stubPeriodType" : "ShortInitial", + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f59" + }, + "rollConvention" : "15" + }, + "meta" : { + "globalKey" : "d3acc270", + "externalKey" : "floatingCalcPeriodDates2" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "T", + "meta" : { + "globalKey" : "73" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "aaca4987", + "externalKey" : "paymentDates2" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d3acc270", + "externalReference" : "floatingCalcPeriodDates2" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb91b", + "externalKey" : "fixingDates2" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "dateRelativeTo" : { + "globalReference" : "72b0c169", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "72b0c169", + "externalKey" : "resetDates2" + } + }, + "compoundingMethod" : "Flat", + "stubPeriod" : { + "calculationPeriodDatesReference" : { + "globalReference" : "d3acc270", + "externalReference" : "floatingCalcPeriodDates2" + }, + "initialStub" : { + "floatingRate" : [ { + "floatingRateIndex" : "EUR-EURIBOR-Reuters", + "indexTenor" : { + "periodMultiplier" : 2, + "period" : "M", + "meta" : { + "globalKey" : "8b" + } + } + }, { + "floatingRateIndex" : "EUR-EURIBOR-Reuters", + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } ] + } + }, + "meta" : { + "globalKey" : "ac7fe7da" + } + } ], + "meta" : { + "globalKey" : "a3da950c" + } + } + }, + "meta" : { + "globalKey" : "8374f8f1" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 7000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "meta" : { + "globalKey" : "19768482" + } + }, { + "quantity" : [ { + "value" : { + "value" : 6000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "c580c29" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "2e47ffb0", + "externalReference" : "party2" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8251773a", + "externalReference" : "party1" + } + } ], "tradeIdentifier" : [ { "issuerReference" : { "globalReference" : "d5aded46", @@ -122,478 +611,6 @@ "globalKey" : "3ef2d1" } }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat" - } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat_ZeroCoupon" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "priceSchedule" : [ { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } ], - "meta" : { - "globalKey" : "0" - } - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-09-18", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2008-09-18", - "meta" : { - "globalKey" : "3ec252" - } - }, - "meta" : { - "globalKey" : "ebbc1d0a" - } - }, - "meta" : { - "globalKey" : "ebbc1d0a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-06-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "adjustedDate" : { - "value" : "2025-06-16", - "meta" : { - "globalKey" : "3f4990" - } - }, - "meta" : { - "globalKey" : "b4702bf" - } - }, - "meta" : { - "globalKey" : "b4702bf" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "24b525" - }, - "rollConvention" : "NONE" - }, - "meta" : { - "globalKey" : "3c10356a", - "externalKey" : "fixedCalcPeriodDates1" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "aaca4987", - "externalKey" : "paymentDates1" - } - }, - "meta" : { - "globalKey" : "c511e132" - } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-09-18", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "adjustedDate" : { - "value" : "2008-09-18", - "meta" : { - "globalKey" : "3ec252" - } - }, - "meta" : { - "globalKey" : "ebbc1d0a" - } - }, - "meta" : { - "globalKey" : "ebbc1d0a" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2025-06-15", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "adjustedDate" : { - "value" : "2025-06-16", - "meta" : { - "globalKey" : "3f4990" - } - }, - "meta" : { - "globalKey" : "b4702bf" - } - }, - "meta" : { - "globalKey" : "b4702bf" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "firstRegularPeriodStartDate" : "2008-12-15", - "stubPeriodType" : "ShortInitial", - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f59" - }, - "rollConvention" : "15" - }, - "meta" : { - "globalKey" : "d3acc270", - "externalKey" : "floatingCalcPeriodDates2" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "T", - "meta" : { - "globalKey" : "73" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "aaca4987", - "externalKey" : "paymentDates2" - } - }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d3acc270", - "externalReference" : "floatingCalcPeriodDates2" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb91b", - "externalKey" : "fixingDates2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "72b0c169", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "72b0c169", - "externalKey" : "resetDates2" - } - }, - "compoundingMethod" : "Flat", - "stubPeriod" : { - "calculationPeriodDatesReference" : { - "globalReference" : "d3acc270", - "externalReference" : "floatingCalcPeriodDates2" - }, - "initialStub" : { - "floatingRate" : [ { - "floatingRateIndex" : "EUR-EURIBOR-Reuters", - "indexTenor" : { - "periodMultiplier" : 2, - "period" : "M", - "meta" : { - "globalKey" : "8b" - } - } - }, { - "floatingRateIndex" : "EUR-EURIBOR-Reuters", - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - } ] - } - }, - "meta" : { - "globalKey" : "ac7fe7da" - } - } ], - "meta" : { - "globalKey" : "a3da950c" - } - } - }, - "meta" : { - "globalKey" : "8374f8f1" - } - }, - "meta" : { - "globalKey" : "8374f8f1" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 7000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "8a432c56" - } - }, { - "quantity" : [ { - "value" : { - "value" : 6000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] - } - } - }, - "meta" : { - "globalKey" : "bd378838" - } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "2e47ffb0", - "externalReference" : "party2" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8251773a", - "externalReference" : "party1" - } - } ] - }, "party" : [ { "partyId" : [ { "identifier" : { @@ -731,10 +748,10 @@ } }, "meta" : { - "globalKey" : "655893ca" + "globalKey" : "41600915" } }, "meta" : { - "globalKey" : "655893ca" + "globalKey" : "41600915" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex38-rfr-avg-swap-pmt-delay.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex38-rfr-avg-swap-pmt-delay.json index 5fd67b7868..a647a79331 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex38-rfr-avg-swap-pmt-delay.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex38-rfr-avg-swap-pmt-delay.json @@ -1,143 +1,70 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "14457d23" - }, - "calculationParameters" : { - "calculationMethod" : "Averaging", - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "14457d23" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, + "calculationParameters" : { + "calculationMethod" : "Averaging", + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "bf78b4d5" + "globalKey" : "20a71d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" - } - }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -151,37 +78,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -196,99 +104,118 @@ } }, "meta" : { - "globalKey" : "250db102" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "bfffb330" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "250db102" + } + }, + "meta" : { + "globalKey" : "bfffb330" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -302,37 +229,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -347,129 +255,233 @@ } }, "meta" : { - "globalKey" : "250db102" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "9287822b" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "1b5f54fb" + "globalKey" : "250db102" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "9287822b" } - }, + } ], "meta" : { - "globalKey" : "6ba30079" + "globalKey" : "1b5f54fb" } }, - "meta" : { - "globalKey" : "6ba30079" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "6ba30079" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +545,10 @@ } } ], "meta" : { - "globalKey" : "8a739ba2" + "globalKey" : "19b77e98" } }, "meta" : { - "globalKey" : "8a739ba2" + "globalKey" : "19b77e98" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex39-rfr-avg-swap-rate-cutoff.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex39-rfr-avg-swap-rate-cutoff.json index 842be4b3fd..fd73c7e16f 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex39-rfr-avg-swap-rate-cutoff.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex39-rfr-avg-swap-rate-cutoff.json @@ -1,146 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "24779ebe" - }, - "calculationParameters" : { - "calculationMethod" : "Averaging", - "lockoutCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "24779ebe" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } + "calculationParameters" : { + "calculationMethod" : "Averaging", + "lockoutCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -154,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -199,100 +107,119 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "6c88db0d" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "6c88db0d" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -306,37 +233,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -351,129 +259,233 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "e5d849df" + "globalKey" : "bd2c8423" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2aa6554c" } - }, + } ], "meta" : { - "globalKey" : "9d23135" + "globalKey" : "e5d849df" } }, - "meta" : { - "globalKey" : "9d23135" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "9d23135" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -537,10 +549,10 @@ } } ], "meta" : { - "globalKey" : "2f153050" + "globalKey" : "69ee9854" } }, "meta" : { - "globalKey" : "2f153050" + "globalKey" : "69ee9854" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex40-rfr-avg-swap-obs-period-shift.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex40-rfr-avg-swap-obs-period-shift.json index cd7d88ceb7..dd72cf7386 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex40-rfr-avg-swap-obs-period-shift.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex40-rfr-avg-swap-obs-period-shift.json @@ -1,155 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "a227531d" - }, - "calculationParameters" : { - "calculationMethod" : "Averaging", - "observationShiftCalculation" : { - "offsetDays" : 5, - "calculationBase" : "Standard", - "additionalBusinessDays" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - } - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "a227531d" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, + "calculationParameters" : { + "calculationMethod" : "Averaging", + "observationShiftCalculation" : { + "offsetDays" : 5, + "calculationBase" : "Standard", + "additionalBusinessDays" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "bf78b4d5" + "globalKey" : "21479e" } - }, - "meta" : { - "globalKey" : "bf78b4d5" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -163,37 +90,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -208,99 +116,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "73b41f0b" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "73b41f0b" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -314,37 +241,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -359,129 +267,233 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "d2da39a1" + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "2aa6554c" } - }, + } ], "meta" : { - "globalKey" : "ef9f049f" + "globalKey" : "d2da39a1" } }, - "meta" : { - "globalKey" : "ef9f049f" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "ef9f049f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -545,10 +557,10 @@ } } ], "meta" : { - "globalKey" : "f5082d7c" + "globalKey" : "27cd53e" } }, "meta" : { - "globalKey" : "f5082d7c" + "globalKey" : "27cd53e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex41-rfr-avg-swap-lookback.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex41-rfr-avg-swap-lookback.json index 4c6cca48ee..68286f1787 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex41-rfr-avg-swap-lookback.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex41-rfr-avg-swap-lookback.json @@ -1,146 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "24779ebe" - }, - "calculationParameters" : { - "calculationMethod" : "Averaging", - "lookbackCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "24779ebe" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } + "calculationParameters" : { + "calculationMethod" : "Averaging", + "lookbackCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -154,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -199,99 +107,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "140359ec" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "140359ec" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -305,37 +232,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -350,129 +258,233 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "4c2940e0" + "globalKey" : "bd2c8423" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2aa6554c" } - }, + } ], "meta" : { - "globalKey" : "d7b1821e" + "globalKey" : "4c2940e0" } }, - "meta" : { - "globalKey" : "d7b1821e" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "d7b1821e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -536,10 +548,10 @@ } } ], "meta" : { - "globalKey" : "f0fea91d" + "globalKey" : "c9d318fd" } }, "meta" : { - "globalKey" : "f0fea91d" + "globalKey" : "c9d318fd" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex42-rfr-compound-swap-pmt-delay.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex42-rfr-compound-swap-pmt-delay.json index c80558103c..7dc00b0684 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex42-rfr-compound-swap-pmt-delay.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex42-rfr-compound-swap-pmt-delay.json @@ -1,143 +1,70 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "8e07a486" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "8e07a486" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, + "calculationParameters" : { + "calculationMethod" : "Compounding", + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "bf78b4d5" + "globalKey" : "20a71d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" - } - }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -151,37 +78,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -196,99 +104,118 @@ } }, "meta" : { - "globalKey" : "250db102" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "876eeed3" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "250db102" + } + }, + "meta" : { + "globalKey" : "876eeed3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -302,37 +229,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "ea4abf7e" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -347,129 +255,233 @@ } }, "meta" : { - "globalKey" : "250db102" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "9287822b" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "ea4abf7e" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "341e3fb8" + "globalKey" : "250db102" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "9287822b" } - }, + } ], "meta" : { - "globalKey" : "50522ff6" + "globalKey" : "341e3fb8" } }, - "meta" : { - "globalKey" : "50522ff6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "50522ff6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +545,10 @@ } } ], "meta" : { - "globalKey" : "3e6e4705" + "globalKey" : "5d1a40d5" } }, "meta" : { - "globalKey" : "3e6e4705" + "globalKey" : "5d1a40d5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex43-rfr-compound-swap-rate-cutoff.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex43-rfr-compound-swap-rate-cutoff.json index bb816a13eb..375d61f57d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex43-rfr-compound-swap-rate-cutoff.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex43-rfr-compound-swap-rate-cutoff.json @@ -1,143 +1,70 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "8e07a486" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "8e07a486" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, + "calculationParameters" : { + "calculationMethod" : "Compounding", + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "bf78b4d5" + "globalKey" : "20a71d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" - } - }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -151,37 +78,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -196,99 +104,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "1f8dc1f4" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "1f8dc1f4" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -302,37 +229,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -347,129 +255,233 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "a6a909d8" + "globalKey" : "bd2c8423" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2aa6554c" } - }, + } ], "meta" : { - "globalKey" : "4b52f216" + "globalKey" : "a6a909d8" } }, - "meta" : { - "globalKey" : "4b52f216" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "4b52f216" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +545,10 @@ } } ], "meta" : { - "globalKey" : "4a6dd0e5" + "globalKey" : "6299baf5" } }, "meta" : { - "globalKey" : "4a6dd0e5" + "globalKey" : "6299baf5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex44-rfr-compound-swap-obs-period-shift.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex44-rfr-compound-swap-obs-period-shift.json index 8d97011848..c7ce5bbb07 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex44-rfr-compound-swap-obs-period-shift.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex44-rfr-compound-swap-obs-period-shift.json @@ -1,146 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "6d1edda9" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "observationShiftCalculation" : { - "calculationBase" : "Standard" - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "6d1edda9" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "observationShiftCalculation" : { + "calculationBase" : "Standard" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -154,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -199,99 +107,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "e7cdc317" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "e7cdc317" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -305,37 +232,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "ea4abcd4" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -350,129 +258,233 @@ } }, "meta" : { - "globalKey" : "9944996c" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "6be6a95" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "ea4abcd4" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "f658f45e" + "globalKey" : "9944996c" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "6be6a95" } - }, + } ], "meta" : { - "globalKey" : "b4c24e1c" + "globalKey" : "f658f45e" } }, - "meta" : { - "globalKey" : "b4c24e1c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "b4c24e1c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -536,10 +548,10 @@ } } ], "meta" : { - "globalKey" : "262e645f" + "globalKey" : "6571317b" } }, "meta" : { - "globalKey" : "262e645f" + "globalKey" : "6571317b" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex45-rfr-compound-swap-lookback.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex45-rfr-compound-swap-lookback.json index bb816a13eb..375d61f57d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex45-rfr-compound-swap-lookback.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex45-rfr-compound-swap-lookback.json @@ -1,143 +1,70 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "8e07a486" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "8e07a486" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, + "calculationParameters" : { + "calculationMethod" : "Compounding", + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "bf78b4d5" + "globalKey" : "20a71d" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" - } - }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -151,37 +78,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -196,99 +104,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "1f8dc1f4" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "1f8dc1f4" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -302,37 +229,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -347,129 +255,233 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" + } + }, + "meta" : { + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "a98014e5" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, "meta" : { - "globalKey" : "a6a909d8" + "globalKey" : "bd2c8423" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "2aa6554c" } - }, + } ], "meta" : { - "globalKey" : "4b52f216" + "globalKey" : "a6a909d8" } }, - "meta" : { - "globalKey" : "4b52f216" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "4b52f216" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -533,10 +545,10 @@ } } ], "meta" : { - "globalKey" : "4a6dd0e5" + "globalKey" : "6299baf5" } }, "meta" : { - "globalKey" : "4a6dd0e5" + "globalKey" : "6299baf5" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json index 846e0e89ee..17b0255f7e 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex46-rfr-compound-swap-lookback-oet-mmviq.json @@ -1,146 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "364d7961" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "364d7961" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -154,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -199,99 +107,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "bc9238cf" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "bc9238cf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -305,37 +232,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -350,276 +258,380 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "30d8705d" + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + 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"quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "2e11aa7a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -683,10 +695,10 @@ } } ], "meta" : { - "globalKey" : "d65ebd2b" + "globalKey" : "d2bb8259" } }, "meta" : { - "globalKey" : "d65ebd2b" + "globalKey" : "d2bb8259" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json index 0d28e7878b..9add4cf481 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex47-rfr-compound-swap-lookback-oet-rvfq.json @@ -1,146 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "364d7961" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "364d7961" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -154,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -199,99 +107,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "bc9238cf" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "bc9238cf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -305,37 +232,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -350,271 +258,375 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "30d8705d" + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "followUpConfirmation" : true, - "calculationAgent" : { - "calculationAgentPartyEnum" : "NonExercisingParty" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "2aa6554c" + } + } ], + "meta" : { + "globalKey" : "30d8705d" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "exerciseNotice" : [ { + "businessCenter" : { + "value" : "GBLO" + } + } ], + "followUpConfirmation" : true, + "calculationAgent" : { + "calculationAgentPartyEnum" : "NonExercisingParty" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2001-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "46e3a790" + "globalKey" : "428533f" } }, "meta" : { - "globalKey" : "46e3a790", - "externalKey" : "cashSettlementPayment0" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "532d8c1e" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "ReplacementValueFirmQuotations", - "valuationMethod" : { - "cashCollateralValuationMethod" : { - 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}, + "meta" : { + "globalKey" : "532d8c1e" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "ReplacementValueFirmQuotations", + "valuationMethod" : { + "cashCollateralValuationMethod" : { + "cashCollateralCurrency" : "EUR", + "protectedParty" : [ "Both" ], + "prescribedDocumentationAdjustment" : true + } + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "4de1387" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "ff947ba6" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "dateRelativeTo" : { - "globalReference" : "46e3a790", - "externalReference" : "cashSettlementPayment0" + "globalKey" : "428533f" } }, - "meta" : { - "globalKey" : "ff947ba6" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" + "dateRelativeTo" : { + "globalReference" : "46e3a790", + "externalReference" : "cashSettlementPayment0" } + } + }, + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "meta" : { + "globalKey" : "d432ae1b" + } + } ] + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "relativeDate" : { + "periodMultiplier" : -5, + "period" : "D", + "meta" : { + "globalKey" : "ff947ba6" }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "4158421" } }, - "meta" : { - "globalKey" : "52492d18" + "dateRelativeTo" : { + "globalReference" : "46e3a790", + "externalReference" : "cashSettlementPayment0" } + }, + "meta" : { + "globalKey" : "ff947ba6" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, "meta" : { - "globalKey" : "150bfd3b" + "globalKey" : "52492d18" } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "150bfd3b" } - }, - "meta" : { - "globalKey" : "1a363856" } }, - "meta" : { - "globalKey" : "1a363856" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "1a363856" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EONIA" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EONIA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EONIA" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e37df65d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "5a495af9" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "94fed0bd" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "94fed0bd" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -678,10 +690,10 @@ } } ], "meta" : { - "globalKey" : "8eef2a65" + "globalKey" : "833df135" } }, "meta" : { - "globalKey" : "8eef2a65" + "globalKey" : "833df135" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex48-rfr-compound-swap-lookback-oet-ccp.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex48-rfr-compound-swap-lookback-oet-ccp.json index 02028b73fe..60920e92cd 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex48-rfr-compound-swap-lookback-oet-ccp.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex48-rfr-compound-swap-lookback-oet-ccp.json @@ -1,146 +1,73 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "364d7961" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 5 - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "364d7961" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 5 }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "20a71d" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -154,37 +81,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -199,99 +107,118 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "bc9238cf" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "bc9238cf" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "a98014e5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "meta" : { - "globalKey" : "bf78b4d5" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "40a332de" - } - }, - "meta" : { - "globalKey" : "40a332de", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -305,37 +232,18 @@ "globalKey" : "a98014e5" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "465ea8ea", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf78b4d5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf78b4d5" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -350,276 +258,380 @@ } }, "meta" : { - "globalKey" : "bd2c8423" + "globalKey" : "40a332de" } }, "meta" : { - "globalKey" : "2aa6554c" + "globalKey" : "40a332de", + "externalKey" : "terminationDate-64209468-682" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "a98014e5" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, "meta" : { - "globalKey" : "30d8705d" + "globalKey" : "465ea8ea", + "externalKey" : "calculationPeriodDates-64209468-681" } }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "optionalEarlyTermination" : { - "exerciseNotice" : [ { - "businessCenter" : { - "value" : "GBLO" - } + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "followUpConfirmation" : true, - "calculationAgent" : { - "calculationAgentPartyEnum" : "NonExercisingParty" - }, - "cashSettlement" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2001-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "bd2c8423" + } + }, + "meta" : { + "globalKey" : "2aa6554c" + } + } ], + "meta" : { + "globalKey" : "30d8705d" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "optionalEarlyTermination" : { + "exerciseNotice" : [ { + "businessCenter" : { + "value" : "GBLO" + } + } ], + "followUpConfirmation" : true, + "calculationAgent" : { + "calculationAgentPartyEnum" : "NonExercisingParty" + }, + 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"partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -683,10 +695,10 @@ } } ], "meta" : { - "globalKey" : "21c67432" + "globalKey" : "9855f108" } }, "meta" : { - "globalKey" : "21c67432" + "globalKey" : "9855f108" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex49-rfr-euro-swaption-cash.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex49-rfr-euro-swaption-cash.json index d7ea1d452f..d36efc98da 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex49-rfr-euro-swaption-cash.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex49-rfr-euro-swaption-cash.json @@ -1,629 +1,640 @@ { "trade" : { - 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"value" : "62547265", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "31602fba" + } + }, { + "issuerReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "62547265", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "3160a419" + } + } ], + "tradeDate" : { + "value" : "2021-08-30", + "meta" : { + "globalKey" : "3f2a1e" + } }, "party" : [ { "partyId" : [ { @@ -715,7 +726,7 @@ } }, "meta" : { - "globalKey" : "1cca4b77" + "globalKey" : "44d1dcd9" } }, "transferHistory" : [ { @@ -774,6 +785,6 @@ } } ], "meta" : { - "globalKey" : "91462e81" + "globalKey" : "3210cfdf" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex50-rfr-euro-swaption-cleared-physical_with_met.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex50-rfr-euro-swaption-cleared-physical_with_met.json index fced4befe7..9504983b39 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex50-rfr-euro-swaption-cleared-physical_with_met.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex50-rfr-euro-swaption-cleared-physical_with_met.json @@ -1,380 +1,372 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "62546871", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - 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"dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "b5bf03d1" + "globalKey" : "365c4b6f" } }, "meta" : { "globalKey" : "b5bf03d1" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, + "meta" : { + "globalKey" : "b5bf03d1" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365c4b6f" + "globalKey" : "21479e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "bf87296c", + "externalKey" : "fixedLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", "meta" : { - "globalKey" : "bf87296c", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "78" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "78" + "globalKey" : "21479e" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "b34a124d", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "3366f25e" + } + } ], + "meta" : { + "globalKey" : "8f60f61" + } + }, + "terminationProvision" : { + "earlyTerminationProvision" : { + "mandatoryEarlyTermination" : { + "mandatoryEarlyTerminationDate" : { + "unadjustedDate" : "2021-09-29", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -389,277 +381,296 @@ } }, "meta" : { - "globalKey" : "b34a124d", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "cfba1332" } }, - "meta" : { - "globalKey" : "3366f25e" - } - } ], - "meta" : { - "globalKey" : "8f60f61" - } - }, - "terminationProvision" : { - "earlyTerminationProvision" : { - "mandatoryEarlyTermination" : { - "mandatoryEarlyTerminationDate" : { - "unadjustedDate" : "2021-09-29", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "cfba1332" - } - }, - "calculationAgent" : { - "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" + "calculationAgent" : { + "calculationAgentPartyEnum" : "AsSpecifiedInMasterAgreement" + }, + "cashSettlement" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "47b4f7b8" }, - "cashSettlement" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "47b4f7b8" + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "MidMarketIndicativeQuotations", + "valuationMethod" : { + "cashCollateralValuationMethod" : { + "applicableCsa" : "ReferenceVMCSA" + } }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "MidMarketIndicativeQuotations", - "valuationMethod" : { - "cashCollateralValuationMethod" : { - "applicableCsa" : "ReferenceVMCSA" - } - }, + "valuationDate" : { "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : -2, - "period" : "D", + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "334aef48" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "334aef48" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "externalReference" : "mandatoryEarlyTerminationDate" + "globalKey" : "21479e" } + }, + "dateRelativeTo" : { + "externalReference" : "mandatoryEarlyTerminationDate" } - }, - "valuationTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "meta" : { - "globalKey" : "54541c05" } - } ] - }, - "meta" : { - "globalKey" : "6df20a55" - } + }, + "valuationTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "meta" : { + "globalKey" : "54541c05" + } + } ] }, "meta" : { "globalKey" : "6df20a55" } + }, + "meta" : { + "globalKey" : "6df20a55" } } - }, - "meta" : { - "globalKey" : "64c50176" } }, "meta" : { "globalKey" : "64c50176" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2021-09-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "211e638d" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2021-09-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "bc3103ef" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "bc3103ef", - "externalKey" : "exercisePeriod" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "211e638d" } }, - "exerciseProcedure" : { - "manualExercise" : { - "fallbackExercise" : true - }, - "followUpConfirmation" : false - }, "meta" : { - "globalKey" : "99309b1b" + "globalKey" : "bc3103ef" } }, "meta" : { - "globalKey" : "9471e302" + "globalKey" : "bc3103ef", + "externalKey" : "exercisePeriod" } } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "fallbackExercise" : true + }, + "followUpConfirmation" : false + }, "meta" : { - "globalKey" : "9471e302" + "globalKey" : "99309b1b" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "85b17b40" } - }, + } ], "meta" : { - "globalKey" : "8bd1136c" + "globalKey" : "85b17b40" } }, - "meta" : { - "globalKey" : "8bd1136c" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "2b8b942a" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-SONIA-OIS Compound" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-SONIA-OIS Compound" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-SONIA-OIS Compound" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d5dba47a" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0075, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "545fd198" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0075, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "1d6561c3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "1d6561c3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "62546871", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "315fd1fc" + } + }, { + "issuerReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "62546871", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "3160465b" + } + } ], + "tradeDate" : { + "value" : "2021-08-30", + "meta" : { + "globalKey" : "3f2a1e" + } }, "party" : [ { "partyId" : [ { @@ -751,7 +762,7 @@ } }, "meta" : { - "globalKey" : "80c51b6" + "globalKey" : "5235b7dc" } }, "transferHistory" : [ { @@ -810,6 +821,6 @@ } } ], "meta" : { - "globalKey" : "fcfe6b73" + "globalKey" : "a92c5d8d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex51-vanilla-swap-with-fallback.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex51-vanilla-swap-with-fallback.json index b3b1c765a6..81eaf75078 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex51-vanilla-swap-with-fallback.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex51-vanilla-swap-with-fallback.json @@ -1,196 +1,96 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-1", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209462" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8eebd" + } + } ], + "taxonomy" : [ { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3caafff" - } - } ], - "tradeDate" : { - "value" : "2021-08-06", - "meta" : { - "globalKey" : "3f2a06" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "5e7cce75" - }, - "fallbackRate" : { - "floatingRateIndex" : "EUR-EONIA", - "effectiveDate" : "2021-10-23", - "calculationParameters" : { - "calculationMethod" : "Compounding", - "observationShiftCalculation" : { - "offsetDays" : 5, - "calculationBase" : "FixingDate", - "additionalBusinessDays" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - } - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - } - }, - "spreadAdjustment" : 0.0046 - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "5e7cce75" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, + "fallbackRate" : { + "floatingRateIndex" : "EUR-EONIA", + "effectiveDate" : "2021-10-23", + "calculationParameters" : { + "calculationMethod" : "Compounding", + "observationShiftCalculation" : { + "offsetDays" : 5, + "calculationBase" : "FixingDate", + "additionalBusinessDays" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "21479e" } - }, - "meta" : { - "globalKey" : "3b43d4a8" } }, - "meta" : { - "globalKey" : "3b43d4a8" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d0703be8" - } - }, - "meta" : { - "globalKey" : "d0703be8", - "externalKey" : "terminationDate-64209462-658" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { + "applicableBusinessDays" : { "businessCenter" : [ { "value" : "EUTA" } ], "meta" : { "globalKey" : "20a71d" } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204d" - }, - "rollConvention" : "6" - }, - "meta" : { - "globalKey" : "18dc5dab", - "externalKey" : "calculationPeriodDates-64209462-657" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" } }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "spreadAdjustment" : 0.0046 + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -205,44 +105,17 @@ } }, "meta" : { - "globalKey" : "841047e" + "globalKey" : "3b43d4a8" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "18dc5dab", - "externalReference" : "calculationPeriodDates-64209462-657" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "21176dce" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "68b53955", - "externalReference" : "resetDates-64209462-662" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { + "meta" : { + "globalKey" : "3b43d4a8" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -257,100 +130,163 @@ } }, "meta" : { - "globalKey" : "68b53955", - "externalKey" : "resetDates-64209462-662" + "globalKey" : "d0703be8" } }, "meta" : { - "globalKey" : "8859814" + "globalKey" : "d0703be8", + "externalKey" : "terminationDate-64209462-658" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204d" + }, + "rollConvention" : "6" + }, + "meta" : { + "globalKey" : "18dc5dab", + "externalKey" : "calculationPeriodDates-64209462-657" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "20a71d" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "841047e" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "18dc5dab", + "externalReference" : "calculationPeriodDates-64209462-657" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "21176dce" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "dayCountFraction" : { - "value" : "30/360" + "dateRelativeTo" : { + "globalReference" : "68b53955", + "externalReference" : "resetDates-64209462-662" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "3b43d4a8" - } - }, - "meta" : { - "globalKey" : "3b43d4a8" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-11-06", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "d0703be8" - } - }, - "meta" : { - "globalKey" : "d0703be8", - "externalKey" : "terminationDate-64209462-664" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "68b53955", + "externalKey" : "resetDates-64209462-662" + } + }, + "meta" : { + "globalKey" : "8859814" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -364,29 +300,18 @@ "globalKey" : "365baaee" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "1a3f" - }, - "rollConvention" : "6" - }, "meta" : { - "globalKey" : "18dc579d", - "externalKey" : "calculationPeriodDates-64209462-663" + "globalKey" : "3b43d4a8" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "3b43d4a8" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-11-06", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -401,145 +326,232 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "d0703be8" } }, "meta" : { - "globalKey" : "541b06f2" + "globalKey" : "d0703be8", + "externalKey" : "terminationDate-64209462-664" } - } ], + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "1a3f" + }, + "rollConvention" : "6" + }, "meta" : { - "globalKey" : "59237f5e" + "globalKey" : "18dc579d", + "externalKey" : "calculationPeriodDates-64209462-663" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209462" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } }, - "source" : "Other", "meta" : { - "globalKey" : "ec8eebd" + "globalKey" : "541b06f2" } } ], "meta" : { - "globalKey" : "807baf14" + "globalKey" : "59237f5e" } }, - "meta" : { - "globalKey" : "807baf14" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "e670a9ba" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-LIBOR" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-LIBOR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-LIBOR" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "6b6a29e4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.00608, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "7d39c79a" + } + }, { + "price" : [ { + "value" : { + "value" : 0.00608, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "eaf35f92" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "eaf35f92" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-1", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3caafff" + } + } ], + "tradeDate" : { + "value" : "2021-08-06", + "meta" : { + "globalKey" : "3f2a06" + } }, "party" : [ { "partyId" : [ { @@ -583,10 +595,10 @@ } } ], "meta" : { - "globalKey" : "4b5e6bb8" + "globalKey" : "fe43c11a" } }, "meta" : { - "globalKey" : "4b5e6bb8" + "globalKey" : "fe43c11a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex52-xccy-swap-fallback.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex52-xccy-swap-fallback.json index 715353c06e..fcb9b48995 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex52-xccy-swap-fallback.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex52-xccy-swap-fallback.json @@ -1,216 +1,144 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-6", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209467" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef58" + } + } ], + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:CrossCurrency:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab004" - } - } ], - "tradeDate" : { - "value" : "2018-09-09", - "meta" : { - "globalKey" : "3f1249" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:CrossCurrency:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" } }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "d2e9dcc8" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "5110a226" - } + "meta" : { + "globalKey" : "e475b83d" } }, "meta" : { - "globalKey" : "ab3ecdc9" + "globalKey" : "d2e9dcc8" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", + "meta" : { + "globalKey" : "3f3a4a" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "f60bafe8" - }, - "fallbackRate" : { - "effectiveDate" : "2021-09-24" - }, - "initialRate" : { - "value" : 1.2, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "globalKey" : "e475b83d" } + }, + "meta" : { + "globalKey" : "5110a226" + } + } + }, + "meta" : { + "globalKey" : "ab3ecdc9" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "f60bafe8" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, - "meta" : { - "globalKey" : "c989554" + "fallbackRate" : { + "effectiveDate" : "2021-09-24" + }, + "initialRate" : { + "value" : 1.2, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd", - "externalKey" : "terminationDate-64209467-673" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-10", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -228,29 +156,18 @@ "globalKey" : "6ec8b45e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f54" - }, - "rollConvention" : "10" - }, "meta" : { - "globalKey" : "85331e21", - "externalKey" : "calculationPeriodDates-64209467-672" + "globalKey" : "c989554" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -269,230 +186,241 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85331e21", - "externalReference" : "calculationPeriodDates-64209467-672" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "23b867ba" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "c2218d3c", - "externalReference" : "resetDates-64209467-679" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, + "meta" : { + "globalKey" : "6fe4d6dd", + "externalKey" : "terminationDate-64209467-673" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "c2218d3c", - "externalKey" : "resetDates-64209467-679" + "globalKey" : "81e56a96" } }, - "compoundingMethod" : "Flat", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "6ec8b45e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f54" }, + "rollConvention" : "10" + }, + "meta" : { + "globalKey" : "85331e21", + "externalKey" : "calculationPeriodDates-64209467-672" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "1dd38eff" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "85331e21", + "externalReference" : "calculationPeriodDates-64209467-672" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "23b867ba" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "9dd9da07" - } - }, - "meta" : { - "globalKey" : "591c9bf0" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "9dd9da07" - } - }, - "meta" : { - "globalKey" : "3da62692" - } - } - }, + "dateRelativeTo" : { + "globalReference" : "c2218d3c", + "externalReference" : "resetDates-64209467-679" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "5c860a0d" + "globalKey" : "81e56a96" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "c2218d3c", + "externalKey" : "resetDates-64209467-679" + } + }, + "compoundingMethod" : "Flat", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "1dd38eff" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "9dd9da07" } + }, + "meta" : { + "globalKey" : "591c9bf0" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", "meta" : { - "globalKey" : "c989554" + "globalKey" : "3f3a4a" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "6fe4d6dd", - "externalKey" : "terminationDate-64209467-670" + "globalKey" : "9dd9da07" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "3da62692" + } + } + }, + "meta" : { + "globalKey" : "5c860a0d" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-10", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -510,29 +438,18 @@ "globalKey" : "6ec8b45e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a97" - }, - "rollConvention" : "10" - }, "meta" : { - "globalKey" : "85332964", - "externalKey" : "calculationPeriodDates-64209467-669" + "globalKey" : "c989554" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -551,148 +468,243 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "6fe4d6dd", + "externalKey" : "terminationDate-64209467-670" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, "meta" : { - "globalKey" : "5bedc9b" + "globalKey" : "6ec8b45e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a97" + }, + "rollConvention" : "10" + }, "meta" : { - "globalKey" : "960b22da" + "globalKey" : "85332964", + "externalKey" : "calculationPeriodDates-64209467-669" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209467" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, - "source" : "Other", "meta" : { - "globalKey" : "ec8ef58" + "globalKey" : "5bedc9b" } } ], "meta" : { - "globalKey" : "feaa498b" + "globalKey" : "960b22da" } }, - "meta" : { - "globalKey" : "feaa498b" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "1ece4f0b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f3ae76c4" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.00385, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "b943f2c2" + } + }, { + "price" : [ { + "value" : { + "value" : -0.00385, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "b6ef2889" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "b6ef2889" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-6", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab004" + } + } ], + "tradeDate" : { + "value" : "2018-09-09", + "meta" : { + "globalKey" : "3f1249" + } }, "party" : [ { "partyId" : [ { @@ -736,10 +748,10 @@ } } ], "meta" : { - "globalKey" : "db15de5b" + "globalKey" : "2e358e0f" } }, "meta" : { - "globalKey" : "db15de5b" + "globalKey" : "2e358e0f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex53-xccy-swap-OIS.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex53-xccy-swap-OIS.json index aca69a7de0..3c25708a6b 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex53-xccy-swap-OIS.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex53-xccy-swap-OIS.json @@ -1,221 +1,149 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-6", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209467" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef58" + } + } ], + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:CrossCurrency:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab004" - } - } ], - "tradeDate" : { - "value" : "2018-09-09", - "meta" : { - "globalKey" : "3f1249" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:CrossCurrency:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" } }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "d2e9dcc8" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "5110a226" - } + "meta" : { + "globalKey" : "e475b83d" } }, "meta" : { - "globalKey" : "ab3ecdc9" + "globalKey" : "d2e9dcc8" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", + "meta" : { + "globalKey" : "3f3a4a" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, "meta" : { - "globalKey" : "199cb740" - }, - "initialRate" : { - "value" : 1.2, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "globalKey" : "e475b83d" } + }, + "meta" : { + "globalKey" : "5110a226" + } + } + }, + "meta" : { + "globalKey" : "ab3ecdc9" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, - "meta" : { - "globalKey" : "c989554" + "meta" : { + "globalKey" : "199cb740" + }, + "initialRate" : { + "value" : 1.2, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : 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{ - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -274,229 +191,240 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "85331e21", - "externalReference" : "calculationPeriodDates-64209467-672" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "23b867ba" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - 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+ "globalKey" : "6ec8b45e" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f54" }, + "rollConvention" : "10" + }, + "meta" : { + "globalKey" : "85331e21", + "externalKey" : "calculationPeriodDates-64209467-672" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", "meta" : { - "globalKey" : "d628570" + "globalKey" : "107" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" 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: "M", "meta" : { - "globalKey" : "2ddd2308" + "globalKey" : "107" } - } ], + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, "meta" : { - "globalKey" : "8c963798" + "globalKey" : "b4fb1f94" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209467" + "compoundingMethod" : "Flat", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, - "source" : "Other", "meta" : { - "globalKey" : "ec8ef58" + "globalKey" : "2ddd2308" } } ], "meta" : { - "globalKey" : "a437800b" + "globalKey" : "8c963798" } }, - "meta" : { - "globalKey" : "a437800b" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.005, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "9d5133db" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.005, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR-OIS Compound" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR-OIS Compound" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR-OIS Compound" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "9327c537" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.00385, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "2224a23e" + } + }, { + "price" : [ { + "value" : { + "value" : -0.00385, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "b6ef2889" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "b6ef2889" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-6", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab004" + } + } ], + "tradeDate" : { + "value" : "2018-09-09", + "meta" : { + "globalKey" : "3f1249" + } }, "party" : [ { "partyId" : [ { @@ -757,10 +769,10 @@ } } ], "meta" : { - "globalKey" : "ebdd0444" + "globalKey" : "1df71c85" } }, "meta" : { - "globalKey" : "ebdd0444" + "globalKey" : "1df71c85" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex54-CP-H.15-basis-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex54-CP-H.15-basis-swap.json index 370ef32eeb..a671af4439 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex54-CP-H.15-basis-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex54-CP-H.15-basis-swap.json @@ -1,131 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "58005713", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "fe22f6ac" - } - }, { - "issuerReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "58005713", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "fe236b0b" - } - } ], - "tradeDate" : { - "value" : "2021-04-07", - "meta" : { - "globalKey" : "3f2907" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-04-09", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed3db201" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-04-09", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-04-09", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "631b2773" - } - }, - "meta" : { - "globalKey" : "631b2773" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed3db201" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-04-09", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -141,230 +76,192 @@ "globalKey" : "97b8e49c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "18ce" - }, - "rollConvention" : "9" - }, "meta" : { - "globalKey" : "716c5ab6", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "631b2773" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "631b2773" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "42f910b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "716c5ab6", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de7afde8" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9" - } - }, - "dateRelativeTo" : { - "globalReference" : "52e18cfa", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "63" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "18ce" + }, + "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "716c5ab6", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "52e18cfa", - "externalKey" : "floatingLegResetDates" + "globalKey" : "42f910b" } }, - "compoundingMethod" : "Flat", "meta" : { - "globalKey" : "329fd5dc" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "716c5ab6", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de7afde8" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e4e9" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "52e18cfa", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "63" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "52e18cfa", + "externalKey" : "floatingLegResetDates" + } + }, + "compoundingMethod" : "Flat", + "meta" : { + "globalKey" : "329fd5dc" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-04-09", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2022-04-09", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "631b2773" - } - }, - "meta" : { - "globalKey" : "631b2773" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-04-09", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2050" - }, - "rollConvention" : "9" - }, "meta" : { - "globalKey" : "716c6238", - "externalKey" : "floatingLeg2CalcPeriodDates" + "globalKey" : "ed3db201" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed3db201" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2022-04-09", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -381,205 +278,339 @@ } }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLeg2PaymentDates" + "globalKey" : "631b2773" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "716c6238", - "externalReference" : "floatingLeg2CalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "3dbd1400" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "784163c0", - "externalReference" : "floatingLeg2ResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "631b2773" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "784163c0", - "externalKey" : "floatingLeg2ResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "9ec5cf85" + "globalKey" : "97b8e49c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2050" + }, + "rollConvention" : "9" + }, "meta" : { - "globalKey" : "3fd32961" + "globalKey" : "716c6238", + "externalKey" : "floatingLeg2CalcPeriodDates" } - } - }, - "meta" : { - "globalKey" : "3fd32961" - } - }, - "meta" : { - "globalKey" : "3fd32961" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLeg2PaymentDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-CP-H.15" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "716c6238", + "externalReference" : "floatingLeg2CalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "3dbd1400" }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "6c" + "globalKey" : "21479e" } + }, + "dateRelativeTo" : { + "globalReference" : "784163c0", + "externalReference" : "floatingLeg2ResetDates" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] - } - } - }, - "meta" : { - "globalKey" : "e7af2eaf" - } - }, { - "price" : [ { - "value" : { - "value" : -0.0002, - "unit" : { - "currency" : { - "value" : "USD" + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" } }, - "perUnitOf" : { - "currency" : { - "value" : "USD" + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" } }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "784163c0", + "externalKey" : "floatingLeg2ResetDates" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "9ec5cf85" } } ], - "quantity" : [ { - "value" : { - "value" : 10000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "3fd32961" + } + } + }, + "meta" : { + "globalKey" : "3fd32961" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-CP-H.15" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-CP-H.15" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "2554b255" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "a0b89489" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + "price" : [ { + "value" : { + "value" : -0.0002, + "unit" : { + "currency" : { + "value" : "USD" + } + }, + "perUnitOf" : { + "currency" : { + "value" : "USD" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "4d092a51" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "58005713", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "fe22f6ac" + } + }, { + "issuerReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "58005713", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "fe236b0b" + } + } ], + "tradeDate" : { + "value" : "2021-04-07", + "meta" : { + "globalKey" : "3f2907" + } }, "party" : [ { "partyId" : [ { @@ -670,10 +701,10 @@ } }, "meta" : { - "globalKey" : "1ab51e65" + "globalKey" : "9306e5c1" } }, "meta" : { - "globalKey" : "1ab51e65" + "globalKey" : "9306e5c1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex55-muni-basis-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex55-muni-basis-swap.json index 4910de787f..b40581b792 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex55-muni-basis-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex55-muni-basis-swap.json @@ -1,131 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "58005869", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "fe22fb0e" - } - }, { - "issuerReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "58005869", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_Basis" } ], - "meta" : { - "globalKey" : "fe236f6d" - } - } ], - "tradeDate" : { - "value" : "2021-04-07", - "meta" : { - "globalKey" : "3f2907" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_Basis" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/ACT.ISDA" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-04-09", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed3db201" } }, - "dayCountFraction" : { - "value" : "ACT/ACT.ISDA" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-04-09", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-04-09", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "88b70773" - } - }, - "meta" : { - "globalKey" : "88b70773" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed3db201" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-04-09", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -141,223 +76,185 @@ "globalKey" : "97b8e49c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2050" - }, - "rollConvention" : "9" - }, "meta" : { - "globalKey" : "bda48238", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "88b70773" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "88b70773" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLegPaymentDates" + "globalKey" : "42f910b" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "bda48238", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "de77b8c9" - }, - "businessDayConvention" : "PRECEDING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USGS" - } ], - "meta" : { - "globalKey" : "27e40a" - } - }, - "dateRelativeTo" : { - "globalReference" : "c90c8654", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "W", - "meta" : { - "globalKey" : "152ab" - }, - "weeklyRollConvention" : "THU" - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2050" + }, + "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "bda48238", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "c90c8654", - "externalKey" : "floatingLegResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "7e041d18" + "globalKey" : "97b8e49c" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "bda48238", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "de77b8c9" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "businessDayConvention" : "PRECEDING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "USGS" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "27e40a" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "dateRelativeTo" : { + "globalReference" : "c90c8654", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "W", + "meta" : { + "globalKey" : "152ab" + }, + "weeklyRollConvention" : "THU" + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "c90c8654", + "externalKey" : "floatingLegResetDates" + } + }, + "meta" : { + "globalKey" : "7e041d18" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-04-09", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "meta" : { - "globalKey" : "ed3db201" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-04-09", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, - "meta" : { - "globalKey" : "88b70773" - } - }, - "meta" : { - "globalKey" : "88b70773" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-04-09", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "97b8e49c" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "2050" - }, - "rollConvention" : "9" - }, "meta" : { - "globalKey" : "bda48238", - "externalKey" : "floatingLeg2CalcPeriodDates" + "globalKey" : "ed3db201" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ed3db201" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-04-09", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -374,175 +271,309 @@ } }, "meta" : { - "globalKey" : "85ae1a2c", - "externalKey" : "floatingLeg2PaymentDates" + "globalKey" : "88b70773" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "bda48238", - "externalReference" : "floatingLeg2CalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "3dbd1400" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "784163c0", - "externalReference" : "floatingLeg2ResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "42f910b" - } - }, - "meta" : { - "globalKey" : "97b8e49c" - } - }, + "meta" : { + "globalKey" : "88b70773" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "2050" + }, + "rollConvention" : "9" + }, + "meta" : { + "globalKey" : "bda48238", + "externalKey" : "floatingLeg2CalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "42f910b" + } + }, + "meta" : { + "globalKey" : "97b8e49c" + } + }, + "meta" : { + "globalKey" : "85ae1a2c", + "externalKey" : "floatingLeg2PaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "bda48238", + "externalReference" : "floatingLeg2CalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "3dbd1400" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "784163c0", + "externalReference" : "floatingLeg2ResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "784163c0", - "externalKey" : "floatingLeg2ResetDates" + "globalKey" : "42f910b" } }, "meta" : { - "globalKey" : "d924fae3" + "globalKey" : "97b8e49c" } - } ], + }, "meta" : { - "globalKey" : "1c1f32cb" + "globalKey" : "784163c0", + "externalKey" : "floatingLeg2ResetDates" } + }, + "meta" : { + "globalKey" : "d924fae3" } - }, + } ], "meta" : { "globalKey" : "1c1f32cb" } - }, - "meta" : { - "globalKey" : "1c1f32cb" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 150000000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "1c1f32cb" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 150000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SIFMA Municipal Swap Index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SIFMA Municipal Swap Index" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SIFMA Municipal Swap Index" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-2" - } ] } } }, "meta" : { - "globalKey" : "53616d1f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 150000000, - "unit" : { - "currency" : { - "value" : "USD" - } + }, + "meta" : { + "globalKey" : "ff4fd0dc" + } + }, { + "quantity" : [ { + "value" : { + "value" : 150000000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-2" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "922ed4a1" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "fc42dd85" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "58005869", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "fe22fb0e" + } + }, { + "issuerReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "58005869", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "fe236f6d" + } + } ], + "tradeDate" : { + "value" : "2021-04-07", + "meta" : { + "globalKey" : "3f2907" + } }, "party" : [ { "partyId" : [ { @@ -633,10 +664,10 @@ } }, "meta" : { - "globalKey" : "b37eeebb" + "globalKey" : "d5dbd1d4" } }, "meta" : { - "globalKey" : "b37eeebb" + "globalKey" : "d5dbd1d4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex56-CNREPOFIX-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex56-CNREPOFIX-swap.json index 2faa1dc74a..7dec0cbd3d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex56-CNREPOFIX-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex56-CNREPOFIX-swap.json @@ -1,131 +1,66 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "58005778", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe22f76b" - } - }, { - "issuerReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "58005778", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "fe236bca" - } - } ], - "tradeDate" : { - "value" : "2021-04-07", - "meta" : { - "globalKey" : "3f2907" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-04-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed3dae40" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-04-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed3dae40" - } - }, - "meta" : { - "globalKey" : "ed3dae40" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-04-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" - } - }, - "meta" : { - "globalKey" : "20a2ca44" - } - }, - "meta" : { - "globalKey" : "20a2ca44" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed3dae40" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-04-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -141,60 +76,175 @@ "globalKey" : "9785d44c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "W", - "meta" : { - "globalKey" : "1a03" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "eb9f854b", - "externalKey" : "floatingLegCalcPeriodDates" + "globalKey" : "20a2ca44" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" + "meta" : { + "globalKey" : "20a2ca44" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" + } + }, + "meta" : { + "globalKey" : "9785d44c" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "W", + "meta" : { + "globalKey" : "1a03" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "eb9f854b", + "externalKey" : "floatingLegCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" + } + }, + "meta" : { + "globalKey" : "9785d44c" + } + }, + "meta" : { + "globalKey" : "857b09dc", + "externalKey" : "floatingLegPaymentDates" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "eb9f854b", + "externalReference" : "floatingLegCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -1, + "period" : "D", + "meta" : { + "globalKey" : "a88deeef" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + } ], + "meta" : { + "globalKey" : "1fa1ee" + } + }, + "dateRelativeTo" : { + "globalReference" : "bb7bee71", + "externalReference" : "floatingLegResetDates" + } + }, + "resetFrequency" : { + "periodMultiplier" : 1, + "period" : "W", + "meta" : { + "globalKey" : "76" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" + } + }, + "meta" : { + "globalKey" : "9785d44c" + } + }, + "meta" : { + "globalKey" : "bb7bee71", + "externalKey" : "floatingLegResetDates" + } + }, + "compoundingMethod" : "Straight", + "meta" : { + "globalKey" : "c0068afb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "USD" + }, + "meta" : { + "globalKey" : "8a882284" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "valuationSource" : { + "settlementRateOption" : { + "settlementRateOption" : { + "value" : "CNY.SAEC/CNY01", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/settlement-rate-option-1-0" + } } - }, - "meta" : { - "globalKey" : "9785d44c" } - }, - "meta" : { - "globalKey" : "857b09dc", - "externalKey" : "floatingLegPaymentDates" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "eb9f854b", - "externalReference" : "floatingLegCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -1, + "valuationDate" : { + "fxFixingDate" : { + "periodMultiplier" : -2, "period" : "D", "meta" : { - "globalKey" : "a88deeef" + "globalKey" : "d3eb5b1e" }, "dayType" : "Business", "businessDayConvention" : "NONE", @@ -206,176 +256,62 @@ "globalKey" : "1fa1ee" } }, - "dateRelativeTo" : { - "globalReference" : "bb7bee71", - "externalReference" : "floatingLegResetDates" - } - }, - "resetFrequency" : { - "periodMultiplier" : 1, - "period" : "W", - "meta" : { - "globalKey" : "76" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" + "dateRelativeToPaymentDates" : { + "paymentDatesReference" : [ { + "globalReference" : "857b09dc", + "externalReference" : "fixedLegPaymentDates" }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" + "globalReference" : "857b09dc", + "externalReference" : "floatingLegPaymentDates" + } ] } - }, - "meta" : { - "globalKey" : "bb7bee71", - "externalKey" : "floatingLegResetDates" } }, - "compoundingMethod" : "Straight", "meta" : { - "globalKey" : "c0068afb" + "globalKey" : "537acd2b" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "settlementCurrency" : { - "value" : "USD" - }, - "meta" : { - "globalKey" : "ebef6791" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "valuationSource" : { - "settlementRateOption" : { - "settlementRateOption" : { - "value" : "CNY.SAEC/CNY01", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/settlement-rate-option-1-0" - } - } - } - } - }, - "valuationDate" : { - "fxFixingDate" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "d3eb5b1e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - } ], - "meta" : { - "globalKey" : "1fa1ee" - } - }, - "dateRelativeToPaymentDates" : { - "paymentDatesReference" : [ { - "globalReference" : "857b09dc", - "externalReference" : "fixedLegPaymentDates" - }, { - "globalReference" : "857b09dc", - "externalReference" : "floatingLegPaymentDates" - } ] - } - } - }, - "meta" : { - "globalKey" : "537acd2b" - } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-04-08", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ed3dae40" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-04-08", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ed3dae40" - } - }, - "meta" : { - "globalKey" : "ed3dae40" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-04-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" - } - }, - "meta" : { - "globalKey" : "20a2ca44" - } - }, - "meta" : { - "globalKey" : "20a2ca44" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ed3dae40" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-04-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -391,166 +327,243 @@ "globalKey" : "9785d44c" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "eb9f8b97", - "externalKey" : "fixedLegCalcPeriodDates" + "globalKey" : "20a2ca44" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "CNBE" - }, { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "3fc80bb" - } - }, - "meta" : { - "globalKey" : "9785d44c" - } - }, + "meta" : { + "globalKey" : "20a2ca44" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "857b09dc", - "externalKey" : "fixedLegPaymentDates" + "globalKey" : "3fc80bb" } }, "meta" : { - "globalKey" : "c2222be9" + "globalKey" : "9785d44c" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "441bb88e" + "globalKey" : "eb9f8b97", + "externalKey" : "fixedLegCalcPeriodDates" } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "CNBE" + }, { + "value" : "USNY" + } ], + "meta" : { + "globalKey" : "3fc80bb" + } + }, + "meta" : { + "globalKey" : "9785d44c" + } + }, + "meta" : { + "globalKey" : "857b09dc", + "externalKey" : "fixedLegPaymentDates" + } + }, + "meta" : { + "globalKey" : "c0ed7afe" } - }, + } ], "meta" : { - "globalKey" : "441bb88e" + "globalKey" : "7e2582f9" } - }, - "meta" : { - "globalKey" : "441bb88e" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "CNY" - } + "meta" : { + "globalKey" : "7e2582f9" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "CNY" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "CNY-CNREPOFIX=CFXS-Reuters" - }, - "indexTenor" : { - "periodMultiplier" : 1, - "period" : "W", - "meta" : { - "globalKey" : "76" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "CNY-CNREPOFIX=CFXS-Reuters" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "CNY-CNREPOFIX=CFXS-Reuters" + }, + "indexTenor" : { + "periodMultiplier" : 1, + "period" : "W", + "meta" : { + "globalKey" : "76" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "dc8f6ad2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.03, - "unit" : { - "currency" : { - "value" : "CNY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "CNY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "e47544a0" + } + }, { + "price" : [ { + "value" : { + "value" : 0.03, + "unit" : { + "currency" : { + "value" : "CNY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100000000, - "unit" : { - "currency" : { - "value" : "CNY" - } + "perUnitOf" : { + "currency" : { + "value" : "CNY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100000000, + "unit" : { + "currency" : { + "value" : "CNY" + } } - } ], + }, "meta" : { - "globalKey" : "44310317" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ], + "meta" : { + "globalKey" : "44310317" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "58005778", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "fe22f76b" + } + }, { + "issuerReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "58005778", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "fe236bca" + } + } ], + "tradeDate" : { + "value" : "2021-04-07", + "meta" : { + "globalKey" : "3f2907" + } }, "party" : [ { "partyId" : [ { @@ -641,10 +654,10 @@ } }, "meta" : { - "globalKey" : "4d9dd12d" + "globalKey" : "add0351a" } }, "meta" : { - "globalKey" : "4d9dd12d" + "globalKey" : "add0351a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex57-compound-index-obs-period-shift.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex57-compound-index-obs-period-shift.json index feb7f9a417..72fcfbc44d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex57-compound-index-obs-period-shift.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex57-compound-index-obs-period-shift.json @@ -1,155 +1,82 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "FpML-test-7", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "product" : { + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate::VanillaSwap" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab005" - } - } ], - "tradeDate" : { - "value" : "2021-08-13", - "meta" : { - "globalKey" : "3f2a0d" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate::VanillaSwap" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "bb2bcf3b" - }, - "calculationParameters" : { - "calculationMethod" : "CompoundedIndex", - "observationShiftCalculation" : { - "offsetDays" : 5, - "calculationBase" : "Standard", - "additionalBusinessDays" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - } - }, - "applicableBusinessDays" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "observationParameters" : { - "observationCapRate" : 0.02 - } - } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" + "meta" : { + "globalKey" : "bb2bcf3b" }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "a980b566" - } - }, + "calculationParameters" : { + "calculationMethod" : "CompoundedIndex", + "observationShiftCalculation" : { + "offsetDays" : 5, + "calculationBase" : "Standard", + "additionalBusinessDays" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "bf795556" + "globalKey" : "21479e" } - }, - "meta" : { - "globalKey" : "bf795556" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "40a3d35f" - } - }, + "applicableBusinessDays" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "40a3d35f", - "externalKey" : "terminationDate-64209468-678" + "globalKey" : "21479e" } }, - "calculationPeriodDatesAdjustments" : { + "observationParameters" : { + "observationCapRate" : 0.02 + } + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -163,37 +90,18 @@ "globalKey" : "a980b566" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "56b4d329", - "externalKey" : "calculationPeriodDates-64209468-677" + "globalKey" : "bf795556" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf795556" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -208,99 +116,118 @@ } }, "meta" : { - "globalKey" : "bd2d24a4" + "globalKey" : "40a3d35f" } }, "meta" : { - "globalKey" : "61cb36c3" + "globalKey" : "40a3d35f", + "externalKey" : "terminationDate-64209468-678" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "meta" : { + "globalKey" : "a980b566" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "56b4d329", + "externalKey" : "calculationPeriodDates-64209468-677" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "21479e" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "365c4b6f" + } + }, + "meta" : { + "globalKey" : "bd2d24a4" + } + }, + "meta" : { + "globalKey" : "61cb36c3" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-08-16", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "a980b566" - } - }, - "meta" : { - "globalKey" : "bf795556" - } - }, - "meta" : { - "globalKey" : "bf795556" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2024-08-16", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "40a3d35f" - } - }, - "meta" : { - "globalKey" : "40a3d35f", - "externalKey" : "terminationDate-64209468-682" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-08-16", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -314,37 +241,18 @@ "globalKey" : "a980b566" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "177d8" - }, - "rollConvention" : "16" - }, "meta" : { - "globalKey" : "56b4d329", - "externalKey" : "calculationPeriodDates-64209468-681" + "globalKey" : "bf795556" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "M", - "meta" : { - "globalKey" : "6c" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDaysOffset" : { - "periodMultiplier" : 1, - "period" : "D", - "meta" : { - "globalKey" : "ea4abbbd" - }, - "dayType" : "Business" - }, - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "bf795556" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2024-08-16", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -359,129 +267,233 @@ } }, "meta" : { - "globalKey" : "bd2d24a4" + "globalKey" : "40a3d35f" + } + }, + "meta" : { + "globalKey" : "40a3d35f", + "externalKey" : "terminationDate-64209468-682" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "f568f666" + "globalKey" : "a980b566" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "177d8" + }, + "rollConvention" : "16" + }, + "meta" : { + "globalKey" : "56b4d329", + "externalKey" : "calculationPeriodDates-64209468-681" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "M", + "meta" : { + "globalKey" : "6c" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDaysOffset" : { + "periodMultiplier" : 1, + "period" : "D", + "meta" : { + "globalKey" : "ea4abbbd" + }, + "dayType" : "Business" + }, + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "meta" : { + "globalKey" : "365c4b6f" + } + }, "meta" : { - "globalKey" : "4c420a03" + "globalKey" : "bd2d24a4" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "f568f666" } - }, + } ], "meta" : { - "globalKey" : "ae544481" + "globalKey" : "4c420a03" } }, - "meta" : { - "globalKey" : "ae544481" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "ae544481" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "GBP-SONIA Compounded Index" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "GBP-SONIA Compounded Index" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "GBP-SONIA Compounded Index" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "c8a9238d" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.002, - "unit" : { - "currency" : { - "value" : "GBP" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "GBP" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "950fbb02" + } + }, { + "price" : [ { + "value" : { + "value" : 0.002, + "unit" : { + "currency" : { + "value" : "GBP" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 3672000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + "perUnitOf" : { + "currency" : { + "value" : "GBP" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 3672000000, + "unit" : { + "currency" : { + "value" : "GBP" + } } - } ], + }, "meta" : { - "globalKey" : "c21166ca" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "c21166ca" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-7", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab005" + } + } ], + "tradeDate" : { + "value" : "2021-08-13", + "meta" : { + "globalKey" : "3f2a0d" + } }, "party" : [ { "partyId" : [ { @@ -545,10 +557,10 @@ } } ], "meta" : { - "globalKey" : "99d11ebd" + "globalKey" : "6b2fe60a" } }, "meta" : { - "globalKey" : "99d11ebd" + "globalKey" : "6b2fe60a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex58-xccy-swap-lookback_compound.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex58-xccy-swap-lookback_compound.json index 40cb187475..30dd45f263 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex58-xccy-swap-lookback_compound.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/interest-rate-derivatives/ird-ex58-xccy-swap-lookback_compound.json @@ -1,227 +1,155 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { + "product" : { + "identifier" : [ { "identifier" : { - "value" : "FpML-test-6", - "meta" : { - "scheme" : "http://www.partyA.com/swaps/trade-id" + "value" : "64209467" + }, + "source" : "Other", + "meta" : { + "globalKey" : "ec8ef58" + } + } ], + "taxonomy" : [ { + "source" : "Other", + "value" : { + "name" : { + "value" : "InterestRate:CrossCurrency:FixedFloat" } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" } ], - "meta" : { - "globalKey" : "b3cab004" - } - } ], - "tradeDate" : { - "value" : "2018-09-09", - "meta" : { - "globalKey" : "3f1249" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "Other", - "value" : { - "name" : { - "value" : "InterestRate:CrossCurrency:FixedFloat" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_CrossCurrency_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" } }, - "meta" : { - "globalKey" : "0" - } - }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "d2e9dcc8" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "meta" : { - "globalKey" : "e475b83d" - } - }, - "meta" : { - "globalKey" : "5110a226" - } + "meta" : { + "globalKey" : "e475b83d" } }, "meta" : { - "globalKey" : "ab3ecdc9" + "globalKey" : "d2e9dcc8" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", "meta" : { - "globalKey" : "28c03644" - }, - "calculationParameters" : { - "calculationMethod" : "Compounding", - "lookbackCalculation" : { - "offsetDays" : 5 + "globalKey" : "3f3a4a" + } + }, + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" } }, - "initialRate" : { - "value" : 1.2, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "e475b83d" } + }, + "meta" : { + "globalKey" : "5110a226" + } + } + }, + "meta" : { + "globalKey" : "ab3ecdc9" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, - "meta" : { - "globalKey" : "c989554" + "meta" : { + "globalKey" : "28c03644" + }, + "calculationParameters" : { + "calculationMethod" : "Compounding", + "lookbackCalculation" : { + "offsetDays" : 5 + } + }, + "initialRate" : { + "value" : 1.2, + "unit" : { + "currency" : { + "value" : "USD" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd", - "externalKey" : "terminationDate-64209467-673" + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "calculationPeriodDatesAdjustments" : { + "priceType" : "InterestRate" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-10", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -239,29 +167,18 @@ "globalKey" : "6ec8b45e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "17f54" - }, - "rollConvention" : "10" - }, "meta" : { - "globalKey" : "85331e21", - "externalKey" : "calculationPeriodDates-64209467-672" + "globalKey" : "c989554" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -280,172 +197,183 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "6fe4d6dd", + "externalKey" : "terminationDate-64209467-673" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, "meta" : { - "globalKey" : "c89d7df8" + "globalKey" : "6ec8b45e" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "17f54" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, + "rollConvention" : "10" + }, + "meta" : { + "globalKey" : "85331e21", + "externalKey" : "calculationPeriodDates-64209467-672" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], "meta" : { - "globalKey" : "0" + "globalKey" : "81e56a96" } }, - "principalPayment" : { - "initialPayment" : true, - "finalPayment" : true, - "intermediatePayment" : false, - "principalPaymentSchedule" : { - "initialPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2018-09-10", - "meta" : { - "globalKey" : "3f124a" - } - }, - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "principalAmount" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "9dd9da07" - } - }, - "meta" : { - "globalKey" : "591c9bf0" - } - }, - "finalPrincipalPayment" : { - "principalPaymentDate" : { - "unadjustedDate" : "2023-09-10", - "meta" : { - "globalKey" : "3f3a4a" - } - }, - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "principalAmount" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "meta" : { - "globalKey" : "9dd9da07" - } - }, - "meta" : { - "globalKey" : "3da62692" - } + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false + }, + "meta" : { + "globalKey" : "c89d7df8" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "principalPayment" : { + "initialPayment" : true, + "finalPayment" : true, + "intermediatePayment" : false, + "principalPaymentSchedule" : { + "initialPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2018-09-10", + "meta" : { + "globalKey" : "3f124a" } }, - "meta" : { - "globalKey" : "5c860a0d" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "principalAmount" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "0" + "globalKey" : "9dd9da07" } + }, + "meta" : { + "globalKey" : "591c9bf0" } }, - "dayCountFraction" : { - "value" : "ACT/365.FIXED" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-09-10", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "6ec8b45e" - } - }, - "meta" : { - "globalKey" : "c989554" - } - }, + "finalPrincipalPayment" : { + "principalPaymentDate" : { + "unadjustedDate" : "2023-09-10", "meta" : { - "globalKey" : "c989554" + "globalKey" : "3f3a4a" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2023-09-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "USNY" - }, { - "value" : "JPTO" - } ], - "meta" : { - "globalKey" : "81e56a96" - } - }, - "meta" : { - "globalKey" : "58681de7" - } - }, - "meta" : { - "globalKey" : "6fe4d6dd" + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "principalAmount" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" } }, "meta" : { - "globalKey" : "6fe4d6dd", - "externalKey" : "terminationDate-64209467-670" + "globalKey" : "9dd9da07" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "3da62692" + } + } + }, + "meta" : { + "globalKey" : "5c860a0d" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } + } + }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/365.FIXED" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-09-10", + "dateAdjustments" : { "businessDayConvention" : "NONE", "businessCenters" : { "businessCenter" : [ { @@ -463,29 +391,18 @@ "globalKey" : "6ec8b45e" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18a97" - }, - "rollConvention" : "10" - }, "meta" : { - "globalKey" : "85332964", - "externalKey" : "calculationPeriodDates-64209467-669" + "globalKey" : "c989554" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "c989554" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2023-09-10", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -504,165 +421,260 @@ } }, "meta" : { - "globalKey" : "b4fb1f94" + "globalKey" : "6fe4d6dd" } }, - "compoundingMethod" : "Flat", - "cashflowRepresentation" : { - "cashflowsMatchParameters" : false + "meta" : { + "globalKey" : "6fe4d6dd", + "externalKey" : "terminationDate-64209467-670" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } }, "meta" : { - "globalKey" : "2ddd2308" + "globalKey" : "6ec8b45e" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18a97" + }, + "rollConvention" : "10" + }, "meta" : { - "globalKey" : "547c6a10" + "globalKey" : "85332964", + "externalKey" : "calculationPeriodDates-64209467-669" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - } - }, - "productIdentifier" : [ { - "identifier" : { - "value" : "64209467" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + }, { + "value" : "USNY" + }, { + "value" : "JPTO" + } ], + "meta" : { + "globalKey" : "81e56a96" + } + }, + "meta" : { + "globalKey" : "58681de7" + } + }, + "meta" : { + "globalKey" : "b4fb1f94" + } + }, + "compoundingMethod" : "Flat", + "cashflowRepresentation" : { + "cashflowsMatchParameters" : false }, - "source" : "Other", "meta" : { - "globalKey" : "ec8ef58" + "globalKey" : "2ddd2308" } } ], "meta" : { - "globalKey" : "9cb17343" + "globalKey" : "547c6a10" } }, - "meta" : { - "globalKey" : "9cb17343" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.005, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "e8423113" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.005, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 121700000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 121700000, + "unit" : { + "currency" : { + "value" : "USD" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-SOFR" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-SOFR" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-SOFR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "a34e31a5" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : -0.00385, - "unit" : { - "currency" : { - "value" : "JPY" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "JPY" - } - }, - "priceType" : "InterestRate" + }, + "meta" : { + "globalKey" : "93924b4f" + } + }, { + "price" : [ { + "value" : { + "value" : -0.00385, + "unit" : { + "currency" : { + "value" : "JPY" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 100500000, - "unit" : { - "currency" : { - "value" : "JPY" - } + "perUnitOf" : { + "currency" : { + "value" : "JPY" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 100500000, + "unit" : { + "currency" : { + "value" : "JPY" + } } - } ], + }, "meta" : { - "globalKey" : "b6ef2889" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "1b3745e1", - "externalReference" : "partyB" + } ], + "meta" : { + "globalKey" : "b6ef2889" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "1b3745e1", + "externalReference" : "partyB" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "eb26c8f", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "FpML-test-6", + "meta" : { + "scheme" : "http://www.partyA.com/swaps/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "eb26c8f", - "externalReference" : "partyA" - } ] - } ] + "meta" : { + "globalKey" : "b3cab004" + } + } ], + "tradeDate" : { + "value" : "2018-09-09", + "meta" : { + "globalKey" : "3f1249" + } }, "party" : [ { "partyId" : [ { @@ -706,10 +718,10 @@ } } ], "meta" : { - "globalKey" : "765599ea" + "globalKey" : "bd9ce31e" } }, "meta" : { - "globalKey" : "765599ea" + "globalKey" : "bd9ce31e" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json index 43f0068744..be013ff564 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex02-variance-swap-single-stock.json @@ -1,230 +1,161 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6234", - "meta" : { - "scheme" : "http://www.partyA.com/coding-scheme/trade-id" - } - } - } ], - "meta" : { - "globalKey" : "9593cc32" - } - }, { - "issuerReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "6569", - "meta" : { - "scheme" : "http://www.partyB.com/coding-scheme/trade-id" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" } ], - "meta" : { - "globalKey" : "95944c36" - } - } ], - "tradeDate" : { - "value" : "2001-09-24", - "meta" : { - "globalKey" : "3e8a58", - "externalKey" : "d989" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_SingleName" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2004-07-21", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "25690940" - } - }, + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "meta" : { + "globalKey" : "1f7333" + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2004-07-21", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25690940", - "externalKey" : "FinalValuationDate" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25690940" } - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "IBM ordinary shares" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, - "meta" : { - "globalKey" : "293090" - } - }, - "securityType" : "Equity" }, "meta" : { - "globalKey" : "71a2381b" + "globalKey" : "25690940", + "externalKey" : "FinalValuationDate" } }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "optionsPriceValuation" : true - }, - "dividendApplicability" : { - "optionsExchangeDividends" : true, - "additionalDividends" : false - }, - "varianceStrikePrice" : { - "value" : 85.00, - "priceType" : "Variance" - }, - "exchangeTradedContractNearest" : { - "asset" : { - "Instrument" : { - "ListedDerivative" : { - "identifier" : [ { - "identifier" : { - "value" : ".IBM", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" - } - }, - "identifierType" : "Other" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XNYS", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "25690940" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "optionsPriceValuation" : true + }, + "dividendApplicability" : { + "optionsExchangeDividends" : true, + "additionalDividends" : false + }, + "varianceStrikePrice" : { + "value" : 85.00, + "priceType" : "Variance" + }, + "exchangeTradedContractNearest" : { + "value" : { + "Asset" : { + "Instrument" : { + "ListedDerivative" : { + "identifier" : [ { + "identifier" : { + "value" : ".IBM", + "meta" : { + "scheme" : "http://www.fpml.org/schemes/4.1/instrumentId" + } + }, + "identifierType" : "Other" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XNYS", "meta" : { - "globalKey" : "293090" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } }, - "relatedExchange" : [ { - "name" : { - "value" : "XCBO", - "meta" : { - "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" - } - }, + "meta" : { + "globalKey" : "293090" + } + }, + "relatedExchange" : [ { + "name" : { + "value" : "XCBO", "meta" : { - "globalKey" : "290478" + "scheme" : "http://www.fpml.org/schemes/4.1/exchangeId" } - } ] - } + }, + "meta" : { + "globalKey" : "290478" + } + } ] } } } } - }, - "meta" : { - "globalKey" : "b9853c03" } - } ], - "meta" : { - "globalKey" : "b9853c03" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "144421bc" } - }, + } ], "meta" : { - "globalKey" : "b972302d" + "globalKey" : "144421bc" } }, - "meta" : { - "globalKey" : "b972302d" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 350000, - "unit" : { - "currency" : { - "value" : "USD" - } + "meta" : { + "globalKey" : "600e8ba6" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 350000, + "unit" : { + "currency" : { + "value" : "USD" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -258,37 +189,77 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "6205ab52" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "33f59567", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "92966609" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "33f59568", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "33f59567", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "33f59567", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6234", + "meta" : { + "scheme" : "http://www.partyA.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "33f59567", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "9593cc32" + } + }, { + "issuerReference" : { + "globalReference" : "33f59568", + "externalReference" : "party2" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "6569", + "meta" : { + "scheme" : "http://www.partyB.com/coding-scheme/trade-id" + } + } + } ], + "meta" : { + "globalKey" : "95944c36" + } + } ], + "tradeDate" : { + "value" : "2001-09-24", + "meta" : { + "globalKey" : "3e8a58", + "externalKey" : "d989" + } }, "party" : [ { "partyId" : [ { @@ -374,10 +345,10 @@ } }, "meta" : { - "globalKey" : "263dd975" + "globalKey" : "ab38652d" } }, "meta" : { - "globalKey" : "263dd975" + "globalKey" : "ab38652d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json index 6d6675e5d6..7e590e72e3 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex04-dispersion-variance-swap.json @@ -1,403 +1,317 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "280234089", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDispersion" + } ], + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1da097f3" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "1b447322", + "externalReference" : "osd" + } + }, "meta" : { - "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + "globalKey" : "1da097f3" } - } - } ], - "meta" : { - "globalKey" : "877e757d" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c", - "externalKey" : "td" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDispersion" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1da097f3" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "1b447322", - "externalReference" : "osd" - } - }, + }, + "terminationDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1da06ae7" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "1da097f3" + "globalKey" : "21479e" } }, - "terminationDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1da06ae7" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7a08418", - "externalReference" : "csd" + "dateRelativeTo" : { + "globalReference" : "7a08418", + "externalReference" : "csd" + } + }, + "meta" : { + "globalKey" : "1da06ae7" + } + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "1da06ae7" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "EUR" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "7a08418", - "externalKey" : "csd" - }, - "dayType" : "Calendar", - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "a4838f25", - "externalReference" : "vd" - } - } - }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "EUR" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { - "globalKey" : "7a08418" - } - }, - "meta" : { - "globalKey" : "f9b08cad" - } - }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1b447322", - "externalKey" : "osd" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3e819c", - "externalReference" : "td" - } - }, - "meta" : { - "globalKey" : "1b447322" - } - } - } - } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-10-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, - "meta" : { - "globalKey" : "a4838f25", - "externalKey" : "vd" - } - }, - "meta" : { - "globalKey" : "a4838f25" - } + "globalKey" : "7a08418", + "externalKey" : "csd" }, - "valuationTimeType" : "Close", - "meta" : { - "globalKey" : "efc23b53" - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "STOXX50E", - "meta" : { - "scheme" : "http://www.dowjones.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" + "dayType" : "Calendar", + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" } ], - "assetClass" : "Equity" - } - }, - "meta" : { - "globalKey" : "b6fd6391" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true + "meta" : { + "globalKey" : "20a71d" + } }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.30, - "priceType" : "Variance" + "dateRelativeTo" : { + "globalReference" : "a4838f25", + "externalReference" : "vd" } } }, "meta" : { - "globalKey" : "f472d77f" + "globalKey" : "7a08418" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "AH.AS", + }, + "meta" : { + "globalKey" : "f9b08cad" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1b447322", + "externalKey" : "osd" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "scheme" : "uri:ticker" + "globalKey" : "20a71d" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, - "meta" : { - "globalKey" : "28fefb" + "dateRelativeTo" : { + "globalReference" : "3e819c", + "externalReference" : "td" } }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "aa54d505" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true - }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.35, - "priceType" : "Variance" + "meta" : { + "globalKey" : "1b447322" } } - }, - "meta" : { - "globalKey" : "ca4e42ac" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "RDSA.AS", + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-10-10", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "scheme" : "uri:ticker" + "globalKey" : "21479e" } }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch Shell A" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, "meta" : { - "globalKey" : "28fefb" + "globalKey" : "365c4b6f" } }, - "securityType" : "Equity" + "meta" : { + "globalKey" : "a4838f25", + "externalKey" : "vd" + } }, "meta" : { - "globalKey" : "745eccfe" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true - }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.40, - "priceType" : "Variance" - } + "globalKey" : "a4838f25" } }, + "valuationTimeType" : "Close", "meta" : { - "globalKey" : "b65d9f4f" + "globalKey" : "efc23b53" } - } ], + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.30, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "196c9e14" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, "meta" : { - "globalKey" : "db08f362" + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-3" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.35, + "priceType" : "Variance" + } } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" + "meta" : { + "globalKey" : "e1aee867" } - }, + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.40, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "df0b5611" + } + } ], "meta" : { - "globalKey" : "734594e6" + "globalKey" : "f429fa1e" } }, - "meta" : { - "globalKey" : "734594e6" + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "f4ce08ae" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-3" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -412,34 +326,36 @@ } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "fdc4bf53" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "3921975e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -471,27 +387,35 @@ } }, "meta" : { - "globalKey" : "348c9556" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-3" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "meta" : { + "globalKey" : "7b8ebbac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] } - } ], - "observable" : { - "asset" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { "Instrument" : { "Security" : { "identifier" : [ { @@ -523,30 +447,60 @@ } }, "meta" : { - "globalKey" : "fe968d4f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "f2c3c2d3" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "76d32c17", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "76d32c17", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "74597c1f", + "externalReference" : "party1" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "280234089", + "meta" : { + "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "74597c1f", - "externalReference" : "party1" - } ] - } ] + "meta" : { + "globalKey" : "877e757d" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c", + "externalKey" : "td" + } }, "party" : [ { "partyId" : [ { @@ -612,10 +566,10 @@ } }, "meta" : { - "globalKey" : "a8858abb" + "globalKey" : "cb4f64" } }, "meta" : { - "globalKey" : "a8858abb" + "globalKey" : "cb4f64" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json index 14b8508157..9d385c6ee4 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex05-dispersion-variance-swap-transaction-supplement.json @@ -1,342 +1,433 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "280234089", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnDispersion" + } ], + "economicTerms" : { + "effectiveDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1da097f3" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "1b447322", + "externalReference" : "osd" + } + }, "meta" : { - "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + "globalKey" : "1da097f3" } - } - } ], - "meta" : { - "globalKey" : "877e757d" - } - } ], - "tradeDate" : { - "value" : "2000-06-28", - "meta" : { - "globalKey" : "3e819c", - "externalKey" : "td" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnDispersion" - } ], - "economicTerms" : { - "effectiveDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1da097f3" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "1b447322", - "externalReference" : "osd" + }, + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "1da097f3" + "globalKey" : "0" } }, - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } - } - }, - "meta" : { - "globalKey" : "48eae291" - } - }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "relativeDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "1b447322", - "externalKey" : "osd" - }, - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "3e819c", - "externalReference" : "td" - } - }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "relativeDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "1b447322", + "externalKey" : "osd" + }, + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "1b447322" + "globalKey" : "20a71d" } + }, + "dateRelativeTo" : { + "globalReference" : "3e819c", + "externalReference" : "td" } + }, + "meta" : { + "globalKey" : "1b447322" } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2008-10-10", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "meta" : { - "globalKey" : "365c4b6f" - } - }, + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2008-10-10", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "a4838f25", - "externalKey" : "vd" + "globalKey" : "21479e" } }, "meta" : { - "globalKey" : "a4838f25" + "globalKey" : "365c4b6f" } }, - "valuationTimeType" : "Close", "meta" : { - "globalKey" : "efc23b53" - } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : "STOXX50E", - "meta" : { - "scheme" : "http://www.dowjones.com/coding-scheme/instrument-id" - } - }, - "identifierType" : "Other" - } ], - "assetClass" : "Equity" + "globalKey" : "a4838f25", + "externalKey" : "vd" } }, "meta" : { - "globalKey" : "b6fd6391" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.30, - "priceType" : "Variance" - } + "globalKey" : "a4838f25" } }, + "valuationTimeType" : "Close", "meta" : { - "globalKey" : "36254423" + "globalKey" : "efc23b53" } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-2" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.30, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "2e4fc321" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-3" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.35, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "e1aee867" + } + }, { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "dividendApplicability" : { + "allDividends" : true + }, + "initialLevel" : 0.80, + "varianceStrikePrice" : { + "value" : 0.40, + "priceType" : "Variance" + } + } + }, + "meta" : { + "globalKey" : "df0b5611" + } + } ], + "meta" : { + "globalKey" : "83d6b8eb" + } + } + }, + "meta" : { + "globalKey" : "5e795018" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "EquityIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "STOXX50E", + "meta" : { + "scheme" : "http://www.dowjones.com/coding-scheme/instrument-id" } }, - "meta" : { - "globalKey" : "48eae291" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "AH.AS", - "meta" : { - "scheme" : "uri:ticker" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Ahold" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, + "identifierType" : "Other" + } ], + "assetClass" : "Equity" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-2" + } ] + } + }, + "meta" : { + "globalKey" : "3921975e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-3" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "AH.AS", "meta" : { - "globalKey" : "28fefb" + "scheme" : "uri:ticker" } }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "aa54d505" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Ahold" }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.35, - "priceType" : "Variance" - } - } - }, - "meta" : { - "globalKey" : "46ec483b" - } - }, { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "value" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "EUR" - } - } + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE" + }, + "meta" : { + "globalKey" : "28fefb" } }, - "meta" : { - "globalKey" : "48eae291" - } - }, - "underlier" : { - "security" : { - "identifier" : [ { - "identifier" : { - "value" : "RDSA.AS", - "meta" : { - "scheme" : "uri:ticker" - } - }, - "identifierType" : "Other" - }, { - "identifier" : { - "value" : "Royal Dutch Shell A" - }, - "identifierType" : "Name" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XASE" - }, + "securityType" : "Equity" + } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-3" + } ] + } + }, + "meta" : { + "globalKey" : "7b8ebbac" + } + }, { + "quantity" : [ { + "value" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Asset" : { + "Instrument" : { + "Security" : { + "identifier" : [ { + "identifier" : { + "value" : "RDSA.AS", "meta" : { - "globalKey" : "28fefb" + "scheme" : "uri:ticker" } }, - "securityType" : "Equity" - }, - "meta" : { - "globalKey" : "745eccfe" - } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "dividendApplicability" : { - "allDividends" : true + "identifierType" : "Other" + }, { + "identifier" : { + "value" : "Royal Dutch Shell A" }, - "initialLevel" : 0.80, - "varianceStrikePrice" : { - "value" : 0.40, - "priceType" : "Variance" + "identifierType" : "Name" + } ], + "isExchangeListed" : true, + "exchange" : { + "name" : { + "value" : "XASE" + }, + "meta" : { + "globalKey" : "28fefb" } - } - }, - "meta" : { - "globalKey" : "32fba4de" + }, + "securityType" : "Equity" } - } ], - "meta" : { - "globalKey" : "8842bf66" } } }, "meta" : { - "globalKey" : "dd65ca59" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } }, "meta" : { - "globalKey" : "dd65ca59" + "globalKey" : "f2c3c2d3" } + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "76d32c17", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "74597c1f", + "externalReference" : "party1" }, - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "74597c1f", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "76d32c17", - "externalReference" : "party2" + "assignedIdentifier" : [ { + "identifier" : { + "value" : "280234089", + "meta" : { + "scheme" : "http://www.xyz.com/coding-scheme/trade-id" + } } - } ] + } ], + "meta" : { + "globalKey" : "877e757d" + } + } ], + "tradeDate" : { + "value" : "2000-06-28", + "meta" : { + "globalKey" : "3e819c", + "externalKey" : "td" + } }, "party" : [ { "partyId" : [ { @@ -401,10 +492,10 @@ } }, "meta" : { - "globalKey" : "7d0db160" + "globalKey" : "bacf664c" } }, "meta" : { - "globalKey" : "7d0db160" + "globalKey" : "bacf664c" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json index 36af1c75ed..041249115d 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex06-variance-option-transaction-supplement.json @@ -1,159 +1,115 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnVariance_Index" } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2009-01-27", - "meta" : { - "globalKey" : "3ec85b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "meta" : { - "globalKey" : "76108548" - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "76108548" + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" + } ], + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "738dbfce" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "externalReference" : "valuationDate" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" } - }, - "meta" : { - "globalKey" : "738dbfce" } }, "meta" : { - "globalKey" : "abeaab86" + "globalKey" : "738dbfce" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-27", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "abeaab86" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-27", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f9a646" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25f9a646" } + }, + "meta" : { + "globalKey" : "25f9a646" } } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-18", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-18", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "263774fd" + "globalKey" : "3a4b88ab" } }, "meta" : { @@ -163,158 +119,122 @@ "meta" : { "globalKey" : "263774fd" } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FTSE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XLON", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/exchangeId" - } - }, - "meta" : { - "globalKey" : "2927d3" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/exchangeId" - } - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "name" : "FTSE 100 INDEX", - "assetClass" : "Equity" - } }, "meta" : { - "globalKey" : "30aae271" + "globalKey" : "263774fd" } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "expectedN" : 542, - "varianceStrikePrice" : { - "value" : 225, - "priceType" : "Variance" - }, - "varianceCapFloor" : { - "varianceCap" : false - }, - "vegaNotionalAmount" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "expectedN" : 542, + "varianceStrikePrice" : { + "value" : 225, + "priceType" : "Variance" + }, + "varianceCapFloor" : { + "varianceCap" : false + }, + "vegaNotionalAmount" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" } } } - }, - "meta" : { - "globalKey" : "24e35101" } - } ], + }, "meta" : { - "globalKey" : "24e35101" + "globalKey" : "a179e32" } + } ], + "meta" : { + "globalKey" : "a179e32" } - }, - "meta" : { - "globalKey" : "24e35101" } }, "meta" : { - "globalKey" : "24e35101" + "globalKey" : "a179e32" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "75395610" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "75395610" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "c2d0cf41" } - }, + } ], "meta" : { - "globalKey" : "75395610" + "globalKey" : "c2d0cf41" } - }, - "meta" : { - "globalKey" : "75395610" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 33333.33, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "c2d0cf41" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 33333.33, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -348,35 +268,76 @@ "globalKey" : "292711" } } ], - "name" : "FTSE 100 INDEX", + "name" : { + "value" : "FTSE 100 INDEX" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "7ffa70ea" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" + }, + "meta" : { + "globalKey" : "b29b3867" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + } + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2009-01-27", + "meta" : { + "globalKey" : "3ec85b" + } }, "party" : [ { "partyId" : [ { @@ -447,7 +408,7 @@ } }, "meta" : { - "globalKey" : "f63f496e" + "globalKey" : "64fdd11a" } }, "transferHistory" : [ { @@ -498,6 +459,6 @@ } } ], "meta" : { - "globalKey" : "bbdec515" + "globalKey" : "99ac08c1" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json index 71e4d27884..98a78bf581 100644 --- a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/variance-swaps/eqvs-ex07-variance-option-transaction-supplement-pred-clearing.json @@ -1,166 +1,122 @@ { "trade" : { - "tradeIdentifier" : [ { - "issuerReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquityOption_ParameterReturnVariance_Index" } ], - "meta" : { - "globalKey" : "ec318949" - } - }, { - "issuerReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "166555", - "meta" : { - "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" - } - } - } ], - "meta" : { - "globalKey" : "ec31fda8" - } - } ], - "tradeDate" : { - "value" : "2009-01-27", - "meta" : { - "globalKey" : "3ec85b" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquityOption_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "meta" : { - "globalKey" : "a9ad5102" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", - "meta" : { - "globalKey" : "5d273b4a" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" - } ], - "economicTerms" : { - "payout" : { - "performancePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "a9ad5102" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "predeterminedClearingOrganizationParty" : "PredeterminedClearingOrganizationParty", + "meta" : { + "globalKey" : "5d273b4a" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVariance_Index" + } ], + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementCurrency" : { - "value" : "GBP" - }, - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "738dbfce" - }, - "dayType" : "CurrencyBusiness", - "businessDayConvention" : "NotApplicable", - "dateRelativeTo" : { - "externalReference" : "valuationDate" - } + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementCurrency" : { + "value" : "GBP" + }, + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", + "meta" : { + "globalKey" : "738dbfce" + }, + "dayType" : "CurrencyBusiness", + "businessDayConvention" : "NotApplicable", + "dateRelativeTo" : { + "externalReference" : "valuationDate" } - }, - "meta" : { - "globalKey" : "738dbfce" } }, "meta" : { - "globalKey" : "abeaab86" + "globalKey" : "738dbfce" } }, - "observationTerms" : { - "observationDates" : { - "periodicSchedule" : { - "startDate" : { - "adjustableDate" : { - "unadjustedDate" : "2009-01-27", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + "meta" : { + "globalKey" : "abeaab86" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2009-01-27", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "25f9a646" + "globalKey" : "3a4b88ab" } }, "meta" : { "globalKey" : "25f9a646" } + }, + "meta" : { + "globalKey" : "25f9a646" } } } - }, - "valuationDates" : { - "finalValuationDate" : { - "valuationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2011-03-18", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2011-03-18", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "263774fd" + "globalKey" : "3a4b88ab" } }, "meta" : { @@ -170,158 +126,122 @@ "meta" : { "globalKey" : "263774fd" } - } - }, - "underlier" : { - "index" : { - "EquityIndex" : { - "identifier" : [ { - "identifier" : { - "value" : ".FTSE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/instrument-id-Reuters-RIC" - } - }, - "identifierType" : "RIC" - } ], - "isExchangeListed" : true, - "exchange" : { - "name" : { - "value" : "XLON", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/exchangeId" - } - }, - "meta" : { - "globalKey" : "2927d3" - } - }, - "relatedExchange" : [ { - "name" : { - "value" : "XLIF", - "meta" : { - "scheme" : "http://www.fpml.org/spec/2002/exchangeId" - } - }, - "meta" : { - "globalKey" : "292711" - } - } ], - "name" : "FTSE 100 INDEX", - "assetClass" : "Equity" - } }, "meta" : { - "globalKey" : "30aae271" + "globalKey" : "263774fd" } - }, - "returnTerms" : { - "varianceReturnTerms" : { - "valuationTerms" : { - "futuresPriceValuation" : true - }, - "expectedN" : 542, - "varianceStrikePrice" : { - "value" : 225, - "priceType" : "Variance" - }, - "varianceCapFloor" : { - "varianceCap" : false - }, - "vegaNotionalAmount" : { - "value" : 1000000, - "unit" : { - "currency" : { - "value" : "GBP" - } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "varianceReturnTerms" : { + "valuationTerms" : { + "futuresPriceValuation" : true + }, + "expectedN" : 542, + "varianceStrikePrice" : { + "value" : 225, + "priceType" : "Variance" + }, + "varianceCapFloor" : { + "varianceCap" : false + }, + "vegaNotionalAmount" : { + "value" : 1000000, + "unit" : { + "currency" : { + "value" : "GBP" } } } - }, - "meta" : { - "globalKey" : "24e35101" } - } ], + }, "meta" : { - "globalKey" : "24e35101" + "globalKey" : "a179e32" } + } ], + "meta" : { + "globalKey" : "a179e32" } - }, - "meta" : { - "globalKey" : "24e35101" } }, "meta" : { - "globalKey" : "24e35101" + "globalKey" : "a179e32" } - }, - "optionType" : "Call", - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2015-03-20", - "dateAdjustments" : { - "businessDayConvention" : "NotApplicable", - "meta" : { - "globalKey" : "3a4b88ab" - } - }, - "meta" : { - "globalKey" : "26af9c7f" - } - }, + } + } + }, + "optionType" : "Call", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2015-03-20", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", "meta" : { - "globalKey" : "26af9c7f" - } - } ], - "expirationTimeType" : "OSP", - "exerciseProcedure" : { - "automaticExercise" : { - "isApplicable" : true + "globalKey" : "3a4b88ab" } }, "meta" : { - "globalKey" : "573a56f3" + "globalKey" : "26af9c7f" } }, "meta" : { - "globalKey" : "653b6474" + "globalKey" : "26af9c7f" } } ], + "expirationTimeType" : "OSP", + "exerciseProcedure" : { + "automaticExercise" : { + "isApplicable" : true + } + }, "meta" : { - "globalKey" : "653b6474" + "globalKey" : "573a56f3" } + }, + "meta" : { + "globalKey" : "2e681ca5" } - }, + } ], "meta" : { - "globalKey" : "653b6474" + "globalKey" : "2e681ca5" } - }, - "meta" : { - "globalKey" : "653b6474" } }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 33333.33, - "unit" : { - "currency" : { - "value" : "GBP" - } + "meta" : { + "globalKey" : "2e681ca5" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 33333.33, + "unit" : { + "currency" : { + "value" : "GBP" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "index" : { + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { "EquityIndex" : { "identifier" : [ { "identifier" : { @@ -355,42 +275,83 @@ "globalKey" : "292711" } } ], - "name" : "FTSE 100 INDEX", + "name" : { + "value" : "FTSE 100 INDEX" + }, "assetClass" : "Equity" } } }, - "settlementTerms" : { - "settlementType" : "Cash", - "meta" : { - "globalKey" : "1f7333" - } - }, "meta" : { - "globalKey" : "7ffa70ea" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "d53e12f6", - "externalReference" : "partyA" + }, + "meta" : { + "globalKey" : "b29b3867" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "7766c429", - "externalReference" : "partyB" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + } + } ], + "ancillaryParty" : [ { + "role" : "PredeterminedClearingOrganizationParty", + "partyReference" : [ { + "globalReference" : "bc8ce9ea", + "externalReference" : "clearing-svc" + } ] + } ], + "tradeIdentifier" : [ { + "issuerReference" : { + "globalReference" : "d53e12f6", + "externalReference" : "partyA" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } } } ], - "ancillaryParty" : [ { - "role" : "PredeterminedClearingOrganizationParty", - "partyReference" : [ { - "globalReference" : "bc8ce9ea", - "externalReference" : "clearing-svc" - } ] - } ] + "meta" : { + "globalKey" : "ec318949" + } + }, { + "issuerReference" : { + "globalReference" : "7766c429", + "externalReference" : "partyB" + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "166555", + "meta" : { + "scheme" : "http://www.swapswire.com/spec/2001/trade-id-1-0" + } + } + } ], + "meta" : { + "globalKey" : "ec31fda8" + } + } ], + "tradeDate" : { + "value" : "2009-01-27", + "meta" : { + "globalKey" : "3ec85b" + } }, "party" : [ { "partyId" : [ { @@ -481,7 +442,7 @@ } }, "meta" : { - "globalKey" : "165c3e63" + "globalKey" : "a6bb764d" } }, "transferHistory" : [ { @@ -532,6 +493,6 @@ } } ], "meta" : { - "globalKey" : "d3996b0a" + "globalKey" : "2baa04f4" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json new file mode 100644 index 0000000000..3df9cea681 --- /dev/null +++ b/rosetta-source/src/main/resources/result-json-files/fpml-5-13/products/volatility-swaps/eqvls-ex01-volatility-swap-index-matrix.json @@ -0,0 +1,343 @@ +{ + "trade" : { + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "EquitySwap_ParameterReturnVolatility_Index" + } ], + "economicTerms" : { + "payout" : { + "performancePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "settlementCurrency" : { + "value" : "GBP" + }, + "meta" : { + "globalKey" : "112d5" + } + }, + "observationTerms" : { + "observationDates" : { + "periodicSchedule" : { + "startDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-03-30", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26afc209" + } + }, + "meta" : { + "globalKey" : "26afc209" + } + } + } + } + }, + "valuationDates" : { + "finalValuationDate" : { + "valuationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2015-04-07", + "dateAdjustments" : { + "businessDayConvention" : "NotApplicable", + "meta" : { + "globalKey" : "3a4b88ab" + } + }, + "meta" : { + "globalKey" : "26b05bf2" + } + }, + "meta" : { + "globalKey" : "26b05bf2" + } + }, + "meta" : { + "globalKey" : "26b05bf2" + } + } + }, + "underlier" : { + "Observable" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "observable-1" + } + } + }, + "returnTerms" : { + "volatilityReturnTerms" : { + "expectedN" : 5, + "volatilityStrikePrice" : { + "value" : 299.00, + "priceType" : "Volatility" + }, + "volatilityCapFloor" : { + "applicable" : true, + "totalVolatilityCap" : 897, + "volatilityCapFactor" : 3.0 + } + } + }, + "meta" : { + "globalKey" : "e8725987" + } + } ], + "meta" : { + "globalKey" : "e8725987" + } + } + }, + "meta" : { + "globalKey" : "e8725987" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 1000.00, + "unit" : { + "currency" : { + "value" : "GBP" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], 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"calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "bfa4ff58" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "b1fc0a61" - } - }, - "meta" : { - "globalKey" : "b1fc0a61" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "bfa4ff58" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "b1fc0a61" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001AAAA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a433778" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "c7e3f0f5" + "globalKey" : "3d0efec3" } }, "meta" : { - "globalKey" : "c7e3f0f5" + "globalKey" : "3d0efec3" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "bd9e1d32" + "globalKey" : "cef2ea6" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-02-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-02-Submission-1.json index 5dd785ff37..42fa009a54 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-02-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-02-Submission-1.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001BBBB", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a51c738" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "be9dadc9", - "externalReference" : "resetDates2" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "be9dadc9", - "externalKey" : "resetDates2" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "78854196" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5c" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "be9dadc9", + "externalReference" : "resetDates2" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "be9dadc9", + "externalKey" : "resetDates2" + } + }, + "meta" : { + "globalKey" : "78854196" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "3301d19" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "dfd4a4c0" - } - }, - "meta" : { - "globalKey" : "dfd4a4c0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "3301d19" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "dfd4a4c0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001BBBB", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a51c738" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "ba658e94" + "globalKey" : "dda82e62" } }, "meta" : { - "globalKey" : "ba658e94" + "globalKey" : "dda82e62" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "9627b513" + "globalKey" : "78fd887" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-03-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-03-Submission-1.json index a4b426434e..4a59c550fd 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-03-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-03-Submission-1.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001KKKK", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7ad4d4f8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5d" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "52e21cca", - "externalReference" : "resetDates3" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "52e21cca", - "externalKey" : "resetDates3" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "cc9b097" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5d" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "52e21cca", + "externalReference" : "resetDates3" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "52e21cca", + "externalKey" : "resetDates3" + } + }, + "meta" : { + "globalKey" : "cc9b097" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "46bb3ada" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "dad3f1f" - } - }, - "meta" : { - "globalKey" : "dad3f1f" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "46bb3ada" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "dad3f1f" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001KKKK", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7ad4d4f8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "df0e6e33" + "globalKey" : "992a2001" } }, "meta" : { - "globalKey" : "df0e6e33" + "globalKey" : "992a2001" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "1f4706f0" + "globalKey" : "7e27bc64" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-04-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-04-Submission-1.json index 1f72fbfe28..52d7a56956 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-04-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-04-Submission-1.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001CCCC", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6056f8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5e" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "e7268bcb", - "externalReference" : "resetDates4" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e7268bcb", - "externalKey" : "resetDates4" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "a10e1f98" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5e" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "e7268bcb", + "externalReference" : "resetDates4" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "e7268bcb", + "externalKey" : "resetDates4" + } + }, + "meta" : { + "globalKey" : "a10e1f98" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "8a46589b" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "3b85d97e" - } - }, - "meta" : { - "globalKey" : "3b85d97e" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "8a46589b" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "3b85d97e" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001CCCC", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6056f8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "3923e192" + "globalKey" : "1b7d7560" } }, "meta" : { - "globalKey" : "3923e192" + "globalKey" : "1b7d7560" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "da40008f" + "globalKey" : "166a1803" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-05-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-05-Submission-1.json index 560ea1f6a2..9ea0f3560d 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-05-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-05-Submission-1.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001DDDD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7a6ee6b8" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d5f" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7b6afacc", - "externalReference" : "resetDates5" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "7b6afacc", - "externalKey" : "resetDates5" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "35528e99" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d5f" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "7b6afacc", + "externalReference" : "resetDates5" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "7b6afacc", + "externalKey" : "resetDates5" + } + }, + "meta" : { + "globalKey" : "35528e99" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "cdd1765c" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "695e73dd" - } - }, - "meta" : { - "globalKey" : "695e73dd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "cdd1765c" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "695e73dd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001DDDD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7a6ee6b8" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "2ba57f31" + "globalKey" : "bc16a4ff" } }, "meta" : { - "globalKey" : "2ba57f31" + "globalKey" : "bc16a4ff" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "624b8f9e" + "globalKey" : "c08cb912" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-06-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-06-Submission-1.json index 59088a5a5c..1e5b478c83 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-06-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-06-Submission-1.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001ALPHA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "4b51b4b2" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "cb73d60" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "faf69cd", - "externalReference" : "resetDates6" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "faf69cd", - "externalKey" : "resetDates6" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "c996fd9a" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "cb73d60" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "faf69cd", + "externalReference" : "resetDates6" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "faf69cd", + "externalKey" : "resetDates6" + } + }, + "meta" : { + "globalKey" : "c996fd9a" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "115c941d" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "97370e3c" - } - }, - "meta" : { - "globalKey" : "97370e3c" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "115c941d" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "97370e3c" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "57967291", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "8faefb02", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "57967291", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "8faefb02", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001ALPHA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "4b51b4b2" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "311a42e2" + "globalKey" : "3f28af30" } }, "meta" : { - "globalKey" : "311a42e2" + "globalKey" : "3f28af30" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "d4feaddf" + "globalKey" : "cf887dd3" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-1.json index 165dd8bc20..ee4913dd37 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-1.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001EEE", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8f32df" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b0" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "4d97f11d", - "externalReference" : "resetDates71" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "4d97f11d", - "externalKey" : "resetDates71" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "77f84ea" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b0" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "4d97f11d", + "externalReference" : "resetDates71" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "4d97f11d", + "externalKey" : "resetDates71" + } + }, + "meta" : { + "globalKey" : "77f84ea" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "931ef76d" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "4dc114ec" - } - }, - "meta" : { - "globalKey" : "4dc114ec" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "931ef76d" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "4dc114ec" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "fd32a49c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "2b19d7ea" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "3bc0d942" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "3bc0d942" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001EEE", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8f32df" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "3de579f9" + "globalKey" : "921b1487" } }, "meta" : { - "globalKey" : "3de579f9" + "globalKey" : "921b1487" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "7a58ed36" + "globalKey" : "2772db6a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-2.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-2.json index 35d3d4fa60..2c7808a77b 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-2.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-2.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001FFF", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe8fab1e" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b1" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "e1dc601e", - "externalReference" : "resetDates72" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "e1dc601e", - "externalKey" : "resetDates72" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "9bc3f3eb" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b1" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "e1dc601e", + "externalReference" : "resetDates72" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "e1dc601e", + "externalKey" : "resetDates72" + } + }, + "meta" : { + "globalKey" : "9bc3f3eb" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "d6aa152e" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "7b99af4b" - } - }, - "meta" : { - "globalKey" : "7b99af4b" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 6000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "d6aa152e" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "7b99af4b" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 6000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "414190b3" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3dad95b3" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 6000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 6000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "49eea74b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "49eea74b" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001FFF", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe8fab1e" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "4c4e699" + "globalKey" : "3197b359" } }, "meta" : { - "globalKey" : "4c4e699" + "globalKey" : "3197b359" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "2c94c5da" + "globalKey" : "176a7dc0" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-3.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-3.json index d70089e5a3..0479abdcea 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-3.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-07-Submission-3.json @@ -6,323 +6,272 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + "product" : { + "taxonomy" : [ { + "primaryAssetClass" : { + "value" : "InterestRate" } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001GGG", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + }, { + "source" : "ISDA", + "value" : { + "name" : { + "value" : "InterestRate:IRSwap:FixedFloat", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + } } } + }, { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "fe90235d" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "primaryAssetClass" : { - "value" : "InterestRate" - } - }, { - "source" : "ISDA", - "value" : { - "name" : { - "value" : "InterestRate:IRSwap:FixedFloat", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/product-taxonomy" + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } - } - }, { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "0" + "globalKey" : "24a738" } + }, + "meta" : { + "globalKey" : "ece3837b" } }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "USNY" - } ], - "meta" : { - "globalKey" : "27e4e9", - "externalKey" : "primaryBusinessCenters" - } - }, - "meta" : { - "globalKey" : "3662e8ba" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "meta" : { - "globalKey" : "f148ad32" - } - }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, + "businessCenter" : [ { + "value" : "USNY" + } ], "meta" : { - "globalKey" : "eb13047c" + "globalKey" : "27e4e9", + "externalKey" : "primaryBusinessCenters" } }, "meta" : { - "globalKey" : "214e084d" + "globalKey" : "3662e8ba" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "204f" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "c513c70f", - "externalKey" : "floatingCalcPeriodDates" + "globalKey" : "f148ad32" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "f148ad32" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "f33361dd" + "globalKey" : "eb13047c" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "c513c70f", - "externalReference" : "floatingCalcPeriodDates" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "880414b2" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "21479e" - } - }, - "dateRelativeTo" : { - "globalReference" : "7620cf1f", - "externalReference" : "resetDates73" - } - }, - "resetFrequency" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "214e084d" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "204f" + }, + "rollConvention" : "8" + }, + "meta" : { + "globalKey" : "c513c70f", + "externalKey" : "floatingCalcPeriodDates" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "7620cf1f", - "externalKey" : "resetDates73" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "300862ec" + "globalKey" : "214e084d" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "f33361dd" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "c513c70f", + "externalReference" : "floatingCalcPeriodDates" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "880414b2" }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "GBLO" + } ], + "meta" : { + "globalKey" : "21479e" + } + }, + "dateRelativeTo" : { + "globalReference" : "7620cf1f", + "externalReference" : "resetDates73" + } + }, + "resetFrequency" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "0" + "globalKey" : "eb13047c" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "meta" : { + "globalKey" : "214e084d" + } + }, + "meta" : { + "globalKey" : "7620cf1f", + "externalKey" : "resetDates73" + } + }, + "meta" : { + "globalKey" : "300862ec" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30E/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-02-08", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } - }, - "meta" : { - "globalKey" : "dc33ccc5" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30E/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "dc33ccc5" + "globalKey" : "24a738" } }, - "calculationPeriodDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-02-08", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCentersReference" : { @@ -337,177 +286,240 @@ "globalKey" : "214e084d" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "2b92" - }, - "rollConvention" : "8" - }, "meta" : { - "globalKey" : "1d67881f", - "externalKey" : "fixedCalcPeriodDates" + "globalKey" : "dc33ccc5" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "27e4e9", - "externalReference" : "primaryBusinessCenters" - }, - "meta" : { - "globalKey" : "eb13047c" - } - }, - "meta" : { - "globalKey" : "214e084d" - } + "meta" : { + "globalKey" : "dc33ccc5" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" }, "meta" : { - "globalKey" : "2ad6e87a" + "globalKey" : "eb13047c" } }, "meta" : { - "globalKey" : "f753703" + "globalKey" : "214e084d" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "2b92" + }, + "rollConvention" : "8" + }, "meta" : { - "globalKey" : "1a3532ef" + "globalKey" : "1d67881f", + "externalKey" : "fixedCalcPeriodDates" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "a97249aa" - } - }, - "meta" : { - "globalKey" : "a97249aa" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "quantity" : [ { - "value" : { - "value" : 5000.00, - "unit" : { - "currency" : { - "value" : "USD", + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "27e4e9", + "externalReference" : "primaryBusinessCenters" + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + "globalKey" : "eb13047c" } + }, + "meta" : { + "globalKey" : "214e084d" } + }, + "meta" : { + "globalKey" : "2ad6e87a" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "f753703" } } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "USD-LIBOR-BBA" - }, - "indexTenor" : { - "periodMultiplier" : 3, - "period" : "M", - "meta" : { - "globalKey" : "aa" - } + "meta" : { + "globalKey" : "1a3532ef" + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "a97249aa" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "quantity" : [ { + "value" : { + "value" : 5000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f097b2b2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "price" : [ { - "value" : { - "value" : 0.0253, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "USD-LIBOR-BBA" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "USD-LIBOR-BBA" + }, + "indexTenor" : { + "periodMultiplier" : 3, + "period" : "M", + "meta" : { + "globalKey" : "aa" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] + } + }, + "meta" : { + "globalKey" : "3bd44294" + } + }, { + "price" : [ { + "value" : { + "value" : 0.0253, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } - }, - "priceType" : "InterestRate" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 5000.00, - "unit" : { - "currency" : { - "value" : "USD", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" - } + "perUnitOf" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" } } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 5000.00, + "unit" : { + "currency" : { + "value" : "USD", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/iso4217" + } + } } - } ], + }, "meta" : { - "globalKey" : "e20d7a6c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ], + "meta" : { + "globalKey" : "e20d7a6c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001GGG", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe90235d" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -626,11 +638,11 @@ } } ], "meta" : { - "globalKey" : "bdd72239" + "globalKey" : "65d8945b" } }, "meta" : { - "globalKey" : "bdd72239" + "globalKey" : "65d8945b" } } } @@ -669,6 +681,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "61cd875e" + "globalKey" : "248c1026" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-08-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-08-Submission-1.json index 5cf8844a3d..7724d1a621 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-08-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-08-Submission-1.json @@ -6,688 +6,699 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001HHH", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "fe909b9c" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "settlementType" : "Cash", - "settlementDate" : { - "adjustableOrRelativeDate" : { - "relativeDate" : { - "periodMultiplier" : 2, - "period" : "D", - "meta" : { - "globalKey" : "954e996c" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } - } - }, + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "settlementType" : "Cash", + "settlementDate" : { + "adjustableOrRelativeDate" : { + "relativeDate" : { + "periodMultiplier" : 2, + "period" : "D", "meta" : { "globalKey" : "954e996c" - } - }, - "meta" : { - "globalKey" : "d46c5b55" - }, - "cashSettlementTerms" : [ { - "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", - "valuationMethod" : { - "valuationSource" : { - "informationSource" : { - "primarySource" : { - "sourceProvider" : { - "value" : "ISDA" - } - } - } - }, - "quotationMethod" : "Mid" }, - "valuationDate" : { - "valuationDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "7ae6233d" - }, - "businessDayConvention" : "NONE", - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } - } - }, - "valuationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" + } + } + }, + "meta" : { + "globalKey" : "954e996c" + } + }, + "meta" : { + "globalKey" : "d46c5b55" + }, + "cashSettlementTerms" : [ { + "cashSettlementMethod" : "ParYieldCurveUnadjustedMethod", + "valuationMethod" : { + "valuationSource" : { + "informationSource" : { + "primarySource" : { + "sourceProvider" : { + "value" : "ISDA" + } + } + } + }, + "quotationMethod" : "Mid" + }, + "valuationDate" : { + "valuationDate" : { + "periodMultiplier" : 0, + "period" : "D", "meta" : { - "globalKey" : "774ec8b6", - "externalKey" : "cashSettlement0" + "globalKey" : "7ae6233d" + }, + "businessDayConvention" : "NONE", + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" } - } ] + } }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" + "valuationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "EUTA" + } }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0", - "externalKey" : "notional0" + "meta" : { + "globalKey" : "774ec8b6", + "externalKey" : "cashSettlement0" + } + } ] + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + "meta" : { + "globalKey" : "0", + "externalKey" : "notional0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } + }, + "meta" : { + "globalKey" : "0" } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "24a738" } }, "meta" : { 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- "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "optionType" : "Straddle", + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2019-04-01", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "4a5f542f" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "4a5f542f", - "externalKey" : "europeanExercise0" - } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "GBLO" + "globalKey" : "da3b6050" } }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", + "meta" : { + "globalKey" : "4a5f542f" + } + }, + "meta" : { + "globalKey" : "4a5f542f", + "externalKey" : "europeanExercise0" + } + } ], + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "GBLO" + } + }, + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Buyer", "businessCenter" : { - "value" : "GBLO" + "value" : "BEBR" } + } + }, + "followUpConfirmation" : true + }, + "exerciseFee" : { + "payer" : "Party1", + "receiver" : "Party2", + "notionalReference" : { + "globalReference" : "0", + "externalReference" : "notional0" + }, + "feeAmount" : 100000, + "feePaymentDate" : { + "periodMultiplier" : 0, + "period" : "D", + "meta" : { + "globalKey" : "4825adb2" }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Buyer", - "businessCenter" : { - "value" : "BEBR" - } - } - }, - "followUpConfirmation" : true - }, - "exerciseFee" : { - "payer" : "Party1", - "receiver" : "Party2", - "notionalReference" : { - "globalReference" : "0", - "externalReference" : "notional0" - }, - "feeAmount" : 100000, - "feePaymentDate" : { - "periodMultiplier" : 0, - "period" : "D", - "meta" : { - "globalKey" : "4825adb2" - }, - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "dateRelativeTo" : { - "globalReference" : "4a5f542f", - "externalReference" : "europeanExercise0" - } + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d" } }, - "meta" : { - "globalKey" : "72deeed0" + "dateRelativeTo" : { + "globalReference" : "4a5f542f", + "externalReference" : "europeanExercise0" } - }, - "meta" : { - "globalKey" : "44c3b4ee" } - } ], + }, "meta" : { - "globalKey" : "44c3b4ee" + "globalKey" : "72deeed0" } }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - }, - "nonStandardisedTerms" : false - }, + "meta" : { + "globalKey" : "a30db374" + } + } ], "meta" : { - "globalKey" : "6fcd357d" + "globalKey" : "a30db374" } }, - "meta" : { - "globalKey" : "6fcd357d" - } + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "f4976137" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 13000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "perUnitOf" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 13000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "d107fc9e" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 13000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "d107fc9e" + } + }, { + "quantity" : [ { + "value" : { + "value" : 13000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "e41ee335" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "84c0e862" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001HHH", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "fe909b9c" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -786,7 +797,7 @@ } } ], "meta" : { - "globalKey" : "bb559626" + "globalKey" : "a784f725" } }, "transferHistory" : [ { @@ -845,7 +856,7 @@ } } ], "meta" : { - "globalKey" : "12a9c821" + "globalKey" : "4414bfc2" } } } @@ -884,6 +895,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "4ea0e51e" + "globalKey" : "17c7697f" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-09-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-09-Submission-1.json index c718fb7246..6b20b31b8b 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-09-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-09-Submission-1.json @@ -6,594 +6,605 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001IIII", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_Option_Swaption" } ], - "meta" : { - "globalKey" : "7ab7b578" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-05-01", - "meta" : { - "globalKey" : "3f1141" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_Option_Swaption" - } ], - "economicTerms" : { - "payout" : { - "optionPayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "4cf" - }, - "physicalSettlementTerms" : { - "clearedPhysicalSettlement" : true, - "meta" : { - "globalKey" : "4cf" - } - } - }, - "buyerSeller" : { - "buyer" : "Party1", - "seller" : "Party2" - }, - "underlier" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" + "economicTerms" : { + "payout" : { + "optionPayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "4cf" + }, + "physicalSettlementTerms" : { + "clearedPhysicalSettlement" : true, + "meta" : { + "globalKey" : "4cf" + } + } + }, + "buyerSeller" : { + "buyer" : "Party1", + "seller" : "Party2" + }, + "underlier" : { + "Product" : { + "NonTransferableProduct" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-1" + } } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ed018b7b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { - "globalKey" : "1910c290" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "1910c290" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } + "meta" : { + "globalKey" : "1910c290" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "622268e1" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "848bd68b", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "985d6cb2" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "848bd68b", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "365baaee" } }, "meta" : { - "globalKey" : "d46d3b4c" + "globalKey" : "b34971cc" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" + }, + "meta" : { + "globalKey" : "d46d3b4c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } }, - "priceQuantity" : { - "quantitySchedule" : { + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "FloatingRateIndex-1" } }, "meta" : { "globalKey" : "0" } - }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "ACT/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2019-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2019-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "ed018b7b" + "globalKey" : "24a738" } }, "meta" : { "globalKey" : "ed018b7b" } }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, + "meta" : { + "globalKey" : "ed018b7b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { - "globalKey" : "1910c290" + "globalKey" : "365baaee" } }, "meta" : { "globalKey" : "1910c290" } }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } + "meta" : { + "globalKey" : "1910c290" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "622268e2" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "8499ff5d", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "985d6cb3" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" - } - }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "8499ff5d", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "365baaee" + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "365baaee" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "8499ff5d", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "8499ff5d", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "107" + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" } }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" }, "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "e30c2739" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "19472b0a" } }, "meta" : { - "globalKey" : "aa475ea4" + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } - } ], + }, "meta" : { - "globalKey" : "dcebe9d8" + "globalKey" : "aa475ea4" } + } ], + "meta" : { + "globalKey" : "dcebe9d8" } - }, - "meta" : { - "globalKey" : "dcebe9d8" } }, "meta" : { "globalKey" : "dcebe9d8" } - }, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2021-12-30", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - }, { - "value" : "GBLO" - } ], - "meta" : { - "globalKey" : "4158421" - } - }, - "meta" : { - "globalKey" : "da3b6050" - } - }, + } + } + }, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2021-12-30", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + }, { + "value" : "GBLO" + } ], "meta" : { - "globalKey" : "e4091772" + "globalKey" : "4158421" } }, "meta" : { - "globalKey" : "e4091772" + "globalKey" : "da3b6050" } - } ], - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "exerciseProcedure" : { - "manualExercise" : { - "exerciseNotice" : { - "exerciseNoticeGiver" : "Seller", - "businessCenter" : { - "value" : "GBLO" - } - } - }, - "followUpConfirmation" : true }, "meta" : { - "globalKey" : "3375a470" + "globalKey" : "e4091772" } }, "meta" : { - "globalKey" : "5225da09" + "globalKey" : "e4091772" } } ], - "meta" : { - "globalKey" : "5225da09" - } - }, - "calculationAgent" : { - "calculationAgentParty" : "CalculationAgentIndependent" - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "e0093682" - } - }, - "meta" : { - "globalKey" : "e0093682" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" + "exerciseProcedure" : { + "manualExercise" : { + "exerciseNotice" : { + "exerciseNoticeGiver" : "Seller", + "businessCenter" : { + "value" : "GBLO" + } + } + }, + "followUpConfirmation" : true + }, + "meta" : { + "globalKey" : "3375a470" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "92479b47" } } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "92479b47" + } + }, + "calculationAgent" : { + "calculationAgentParty" : "CalculationAgentIndependent" + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "f8200484" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "8ab833b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "ancillaryParty" : [ { + "role" : "CalculationAgentIndependent", + "partyReference" : [ { + "globalReference" : "be64334", + "externalReference" : "party2" + } ] + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001IIII", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } } } ], - "ancillaryParty" : [ { - "role" : "CalculationAgentIndependent", - "partyReference" : [ { - "globalReference" : "be64334", - "externalReference" : "party2" - } ] - } ] + "meta" : { + "globalKey" : "7ab7b578" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-05-01", + "meta" : { + "globalKey" : "3f1141" + } }, "party" : [ { "partyId" : [ { @@ -692,7 +703,7 @@ } } ], "meta" : { - "globalKey" : "36e366cd" + "globalKey" : "f3a4da74" } }, "transferHistory" : [ { @@ -751,7 +762,7 @@ } } ], "meta" : { - "globalKey" : "7d635898" + "globalKey" : "ceadd491" } } } @@ -790,6 +801,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "b29b0d5c" + "globalKey" : "1b16aa15" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-10-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-10-Submission-1.json index 2e20687d48..9c9b01bcc1 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-10-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-10-Submission-1.json @@ -6,157 +6,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001JJJJ", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "7ac64538" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e308c58b", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -164,7 +76,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -172,126 +84,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "cacb6a4c" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e308c58b", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "cacb6a4c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e316ee5d", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -299,7 +211,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -307,264 +219,364 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e316ee5d", - "externalReference" : "CalcPeriodDates1" + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", + "meta" : { + "globalKey" : "622268e2" + } + }, + "meta" : { + "globalKey" : "985d6cb3" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e316ee5d", + "externalKey" : "CalcPeriodDates1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "3fe48b1b" + } + }, + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e316ee5d", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" + } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" + } + }, + "meta" : { + "globalKey" : "81484da4" + } + } ], + "meta" : { + "globalKey" : "3984c9d8" + } + }, + "terminationProvision" : { + "cancelableProvision" : { + "buyer" : "Party2", + "seller" : "Party1", + "exerciseNotice" : { + "businessCenter" : { + "value" : "GBLO" + } + }, + "followUpConfirmation" : true, + "exerciseTerms" : { + "style" : "European", + "expirationDate" : [ { + "adjustableDate" : { + "unadjustedDate" : "2026-08-15", + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", "businessCenters" : { "businessCenter" : [ { + "value" : "GBLO" + }, { "value" : "EUTA" } ], "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" + "globalKey" : "428533f" } }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } - }, - "meta" : { - "globalKey" : "19472b0a" + "globalKey" : "da4e2f6e" } }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "1bc03e7f" } }, "meta" : { - "globalKey" : "81484da4" + "globalKey" : "1bc03e7f" } } ], - "meta" : { - "globalKey" : "3984c9d8" - } - }, - "terminationProvision" : { - "cancelableProvision" : { - "buyer" : "Party2", - "seller" : "Party1", - "exerciseNotice" : { - "businessCenter" : { - "value" : "GBLO" - } - }, - "followUpConfirmation" : true, - "exerciseTerms" : { - "style" : "European", - "expirationDate" : [ { - "adjustableDate" : { - "unadjustedDate" : "2026-08-15", - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "GBLO" - }, { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "428533f" - } - }, - "meta" : { - "globalKey" : "da4e2f6e" - } - }, - "meta" : { - "globalKey" : "1bc03e7f" - } - }, - "meta" : { - "globalKey" : "1bc03e7f" - } - } ], - "relevantUnderlyingDate" : { - "adjustableDates" : { - "unadjustedDate" : [ "2026-08-30" ], - "dateAdjustments" : { - "businessDayConvention" : "FOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d" - } - }, - "meta" : { - "globalKey" : "211dc30c" - } - }, + "relevantUnderlyingDate" : { + "adjustableDates" : { + "unadjustedDate" : [ "2026-08-30" ], + "dateAdjustments" : { + "businessDayConvention" : "FOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], "meta" : { - "globalKey" : "90d313ae" + "globalKey" : "20a71d" } }, "meta" : { - "globalKey" : "90d313ae" - } - }, - "earliestExerciseTime" : { - "hourMinuteTime" : "09:00:00", - "businessCenter" : { - "value" : "BEBR" - } - }, - "expirationTime" : { - "hourMinuteTime" : "11:00:00", - "businessCenter" : { - "value" : "BEBR" + "globalKey" : "211dc30c" } }, "meta" : { - "globalKey" : "249f41d" + "globalKey" : "90d313ae" } + }, + "meta" : { + "globalKey" : "90d313ae" } - } - }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "8b5772f0" - } - }, - "meta" : { - "globalKey" : "8b5772f0" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "earliestExerciseTime" : { + "hourMinuteTime" : "09:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "expirationTime" : { + "hourMinuteTime" : "11:00:00", + "businessCenter" : { + "value" : "BEBR" } }, - "priceType" : "InterestRate" - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "meta" : { + "globalKey" : "249f41d" + } } - } ], - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "8b5772f0" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], + }, "meta" : { - "globalKey" : "8ab833b" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] } - }, { - "quantity" : [ { - "value" : { - "value" : 16000, - "unit" : { - "currency" : { - "value" : "EUR" - } + } ], + "meta" : { + "globalKey" : "8ab833b" + } + }, { + "quantity" : [ { + "value" : { + "value" : 16000, + "unit" : { + "currency" : { + "value" : "EUR" } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "d61c7d38" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "8a4ce1bf" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001JJJJ", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "7ac64538" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -683,11 +695,11 @@ } } ], "meta" : { - "globalKey" : "7a99710f" + "globalKey" : "ef66b4ca" } }, "meta" : { - "globalKey" : "7a99710f" + "globalKey" : "ef66b4ca" } } } @@ -726,6 +738,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "b598ed4c" + "globalKey" : "883ade6d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-11-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-11-Submission-1.json index fe09171566..225ab0beec 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-11-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-11-Submission-1.json @@ -6,157 +6,69 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT001PREAA", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" - } - } + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" } ], - "meta" : { - "globalKey" : "e5010f07" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, - "dayCountFraction" : { - "value" : "30/360" - }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters0" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters0" - }, - "meta" : { - "globalKey" : "622268e1" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "30/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb2" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "17984" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e308c58b", - "externalKey" : "CalcPeriodDates0" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "period" : "Y", - "meta" : { - "globalKey" : "78" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -164,7 +76,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters0" + "externalKey" : "accrualBusinessCenters0" } }, "meta" : { @@ -172,126 +84,126 @@ } }, "meta" : { - "globalKey" : "b34971cc" + "globalKey" : "a610fb90" } }, "meta" : { - "globalKey" : "cacb6a4c" + "globalKey" : "a610fb90" } - }, { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters0" }, "meta" : { - "globalKey" : "0" + "globalKey" : "622268e1" } }, - "rateSpecification" : { - "floatingRate" : { - "rateOption" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } - }, - "meta" : { - "globalKey" : "0" - } + "meta" : { + "globalKey" : "985d6cb2" + } + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "17984" + }, + "rollConvention" : "30" + }, + "meta" : { + "globalKey" : "e308c58b", + "externalKey" : "CalcPeriodDates0" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "period" : "Y", + "meta" : { + "globalKey" : "78" + } + }, + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters0" } }, - "dayCountFraction" : { - "value" : "ACT/360" + "meta" : { + "globalKey" : "365baaee" + } + }, + "meta" : { + "globalKey" : "b34971cc" + } + }, + "meta" : { + "globalKey" : "cacb6a4c" + } + }, { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "rateOption" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } }, - "calculationPeriodDates" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "dateAdjustments" : { - "businessDayConvention" : "NONE", - "meta" : { - "globalKey" : "24a738" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "meta" : { - "globalKey" : "ece3837b" - } - }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2026-08-30", - "dateAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "accrualBusinessCenters1" - } - }, - "meta" : { - "globalKey" : "365baaee" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "meta" : { - "globalKey" : "a610fb90" - } - }, - "calculationPeriodDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "accrualBusinessCenters1" - }, - "meta" : { - "globalKey" : "622268e2" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "dayCountFraction" : { + "value" : "ACT/360" + }, + "calculationPeriodDates" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "dateAdjustments" : { + "businessDayConvention" : "NONE", "meta" : { - "globalKey" : "985d6cb3" + "globalKey" : "24a738" } }, - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "18ad5" - }, - "rollConvention" : "30" - }, "meta" : { - "globalKey" : "e316ee5d", - "externalKey" : "CalcPeriodDates1" + "globalKey" : "ece3837b" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "payRelativeTo" : "CalculationPeriodEndDate", - "paymentDatesAdjustments" : { + "meta" : { + "globalKey" : "ece3837b" + } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2026-08-30", + "dateAdjustments" : { "businessDayConvention" : "MODFOLLOWING", "businessCenters" : { "businessCenter" : [ { @@ -299,7 +211,7 @@ } ], "meta" : { "globalKey" : "20a71d", - "externalKey" : "paymentBusinessCenters1" + "externalKey" : "accrualBusinessCenters1" } }, "meta" : { @@ -307,182 +219,282 @@ } }, "meta" : { - "globalKey" : "3fe48b1b" + "globalKey" : "a610fb90" } }, - "resetDates" : { - "calculationPeriodDatesReference" : { - "globalReference" : "e316ee5d", - "externalReference" : "CalcPeriodDates1" - }, - "resetRelativeTo" : "CalculationPeriodStartDate", - "fixingDates" : { - "periodMultiplier" : -2, - "period" : "D", - "meta" : { - "globalKey" : "a5cb919" - }, - "dayType" : "Business", - "businessDayConvention" : "NONE", - "businessCenters" : { - "businessCenter" : [ { - "value" : "EUTA" - } ], - "meta" : { - "globalKey" : "20a71d", - "externalKey" : "fixingBusinessCenters0" - } - }, - "dateRelativeTo" : { - "globalReference" : "3ab5f4ad", - "externalReference" : "resetDates0" - } - }, - "resetFrequency" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" - } - }, - "resetDatesAdjustments" : { - "businessDayConvention" : "MODFOLLOWING", - "businessCenters" : { - "businessCentersReference" : { - "globalReference" : "20a71d", - "externalReference" : "paymentBusinessCenters1" - }, - "meta" : { - "globalKey" : "e30c2739" - } - }, - "meta" : { - "globalKey" : "19472b0a" - } + "meta" : { + "globalKey" : "a610fb90" + } + }, + "calculationPeriodDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "accrualBusinessCenters1" }, "meta" : { - "globalKey" : "3ab5f4ad", - "externalKey" : "resetDates0" + "globalKey" : "622268e2" } }, "meta" : { - "globalKey" : "81484da4" + "globalKey" : "985d6cb3" } - } ], + }, + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "18ad5" + }, + "rollConvention" : "30" + }, "meta" : { - "globalKey" : "3984c9d8" + "globalKey" : "e316ee5d", + "externalKey" : "CalcPeriodDates1" } }, - "nonStandardisedTerms" : false - }, - "meta" : { - "globalKey" : "f71475fd" - } - }, - "meta" : { - "globalKey" : "f71475fd" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.05, - "unit" : { - "currency" : { - "value" : "EUR" + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" + "payRelativeTo" : "CalculationPeriodEndDate", + "paymentDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "paymentBusinessCenters1" + } + }, + "meta" : { + "globalKey" : "365baaee" } }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "3fe48b1b" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "EUR" + "resetDates" : { + "calculationPeriodDatesReference" : { + "globalReference" : "e316ee5d", + "externalReference" : "CalcPeriodDates1" + }, + "resetRelativeTo" : "CalculationPeriodStartDate", + "fixingDates" : { + "periodMultiplier" : -2, + "period" : "D", + "meta" : { + "globalKey" : "a5cb919" + }, + "dayType" : "Business", + "businessDayConvention" : "NONE", + "businessCenters" : { + "businessCenter" : [ { + "value" : "EUTA" + } ], + "meta" : { + "globalKey" : "20a71d", + "externalKey" : "fixingBusinessCenters0" + } + }, + "dateRelativeTo" : { + "globalReference" : "3ab5f4ad", + "externalReference" : "resetDates0" } + }, + "resetFrequency" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + }, + "resetDatesAdjustments" : { + "businessDayConvention" : "MODFOLLOWING", + "businessCenters" : { + "businessCentersReference" : { + "globalReference" : "20a71d", + "externalReference" : "paymentBusinessCenters1" + }, + "meta" : { + "globalKey" : "e30c2739" + } + }, + "meta" : { + "globalKey" : "19472b0a" + } + }, + "meta" : { + "globalKey" : "3ab5f4ad", + "externalKey" : "resetDates0" } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] + "globalKey" : "81484da4" } } ], "meta" : { - "globalKey" : "99647601" + "globalKey" : "3984c9d8" } - }, { - "quantity" : [ { - "value" : { - "value" : 10000, - "unit" : { - "currency" : { - "value" : "EUR" - } + }, + "nonStandardisedTerms" : false + }, + "meta" : { + "globalKey" : "f71475fd" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.05, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-EURIBOR-Telerate" - }, - "indexTenor" : { - "periodMultiplier" : 6, - "period" : "M", - "meta" : { - "globalKey" : "107" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "99647601" + } + }, { + "quantity" : [ { + "value" : { + "value" : 10000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "identifier" : [ { + "identifier" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "identifierType" : "Other" + } ], + "assetClass" : "InterestRate", + "floatingRateIndex" : { + "value" : "EUR-EURIBOR-Telerate" + }, + "indexTenor" : { + "periodMultiplier" : 6, + "period" : "M", + "meta" : { + "globalKey" : "107" + } + } } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] } } }, "meta" : { - "globalKey" : "f2214932" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" - } - }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + }, + "meta" : { + "globalKey" : "7f34ef05" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT001PREAA", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "e5010f07" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -581,11 +593,11 @@ } } ], "meta" : { - "globalKey" : "ea247b3b" + "globalKey" : "c5268620" } }, "meta" : { - "globalKey" : "ea247b3b" + "globalKey" : "c5268620" } } } @@ -627,6 +639,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "b6660ebe" + "globalKey" : "f922f43d" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-1.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-1.json index 4d1129445c..88969771c2 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-1.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-1.json @@ -31,211 +31,211 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001LLL", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "meta" : { + "globalKey" : "3f1103" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "globalKey" : "3f1103" } - } - } ], - "meta" : { - "globalKey" : "fe927c98" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "meta" : { - "globalKey" : "3f1103" - } - }, - "meta" : { - "globalKey" : "3f1103" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2029-03-20", + "meta" : { + "globalKey" : "3f68d4" + } + }, + "meta" : { + "globalKey" : "3f68d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2029-03-20", - "meta" : { - "globalKey" : "3f68d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f68d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "indexFactor" : 1.0, - "seniority" : "SeniorSec", - "meta" : { - "globalKey" : "167707da" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, + "indexFactor" : 1.0, + "seniority" : "SeniorSec", "meta" : { - "globalKey" : "38cae39" + "globalKey" : "cb98825a" } - }, - "meta" : { - "globalKey" : "95f8a4ba" } }, - "nonStandardisedTerms" : false + "meta" : { + "globalKey" : "aa36ff5b" + } }, "meta" : { - "globalKey" : "7555a38a" + "globalKey" : "86f5f17a" } }, - "meta" : { - "globalKey" : "7555a38a" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "98eddbcc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 20000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "af761d8c" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 20000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "af761d8c" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001LLL", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe927c98" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -354,7 +354,7 @@ } } ], "meta" : { - "globalKey" : "c32b0853" + "globalKey" : "26c662b3" } }, "transferHistory" : [ { @@ -396,7 +396,7 @@ } } ], "meta" : { - "globalKey" : "3abacaa8" + "globalKey" : "42813508" } } } @@ -438,6 +438,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "89dcad2b" + "globalKey" : "bbf12eef" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-2.json b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-2.json index b23179b811..5847bd6e9a 100644 --- a/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-2.json +++ b/rosetta-source/src/main/resources/result-json-files/native-cdm-events/Example-12-Submission-2.json @@ -31,211 +31,211 @@ "before" : { "value" : { "trade" : { - "tradeIdentifier" : [ { - "issuer" : { - "value" : "LEI1RPT0001", - "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" - } - }, - "assignedIdentifier" : [ { - "identifier" : { - "value" : "LEI1RPT0001MMM", + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "CreditDefaultSwap_Index" + } ], + "economicTerms" : { + "effectiveDate" : { + "adjustableDate" : { + "unadjustedDate" : "2018-04-03", + "meta" : { + "globalKey" : "3f1103" + } + }, "meta" : { - "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + "globalKey" : "3f1103" } - } - } ], - "meta" : { - "globalKey" : "fe92f4d7" - }, - "identifierType" : "UniqueTransactionIdentifier" - } ], - "tradeDate" : { - "value" : "2018-04-01", - "meta" : { - "globalKey" : "3f1101" - } - }, - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "CreditDefaultSwap_Index" - } ], - "economicTerms" : { - "effectiveDate" : { - "adjustableDate" : { - "unadjustedDate" : "2018-04-03", - "meta" : { - "globalKey" : "3f1103" - } - }, - "meta" : { - "globalKey" : "3f1103" - } + }, + "terminationDate" : { + "adjustableDate" : { + "unadjustedDate" : "2029-03-20", + "meta" : { + "globalKey" : "3f68d4" + } + }, + "meta" : { + "globalKey" : "3f68d4" + } + }, + "payout" : { + "interestRatePayout" : [ { + "payerReceiver" : { + "payer" : "Party2", + "receiver" : "Party1" }, - "terminationDate" : { - "adjustableDate" : { - "unadjustedDate" : "2029-03-20", - "meta" : { - "globalKey" : "3f68d4" + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } }, "meta" : { - "globalKey" : "3f68d4" + "globalKey" : "0" } }, - "payout" : { - "interestRatePayout" : [ { - "payerReceiver" : { - "payer" : "Party2", - "receiver" : "Party1" - }, - "priceQuantity" : { - "quantitySchedule" : { + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } - } - }, - "meta" : { - "globalKey" : "0" + "value" : "price-1" } } }, "meta" : { - "globalKey" : "5a5ff79f" + "globalKey" : "0" } - } ], - "creditDefaultPayout" : { - "payerReceiver" : { - "payer" : "Party1", - "receiver" : "Party2" - }, - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } + } + }, + "meta" : { + "globalKey" : "5a5ff79f" + } + } ], + "creditDefaultPayout" : { + "payerReceiver" : { + "payer" : "Party1", + "receiver" : "Party2" + }, + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "generalTerms" : { + "indexReferenceInformation" : { + "identifier" : [ { + "identifier" : { + "value" : "Dow Jones CDX NA IG.2" }, - "meta" : { - "globalKey" : "0" - } + "identifierType" : "Other" + } ], + "name" : { + "value" : "Dow Jones CDX NA IG.2" }, - "generalTerms" : { - "indexReferenceInformation" : { - "indexName" : { - "value" : "Dow Jones CDX NA IG.2" - }, - "indexSeries" : 2, - "indexAnnexDate" : "2004-07-06", - "indexAnnexSource" : { - "value" : "Publisher" - }, - "indexFactor" : 1.0, - "seniority" : "SeniorSec", - "meta" : { - "globalKey" : "167707da" - } - } + "assetClass" : "Credit", + "indexSeries" : 2, + "indexAnnexDate" : "2004-07-06", + "indexAnnexSource" : { + "value" : "Publisher" }, + "indexFactor" : 1.0, + "seniority" : "SeniorSec", "meta" : { - "globalKey" : "38cae39" + "globalKey" : "cb98825a" } - }, - "meta" : { - "globalKey" : "95f8a4ba" } }, - "nonStandardisedTerms" : false + "meta" : { + "globalKey" : "aa36ff5b" + } }, "meta" : { - "globalKey" : "7555a38a" + "globalKey" : "86f5f17a" } }, - "meta" : { - "globalKey" : "7555a38a" - } + "nonStandardisedTerms" : false }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.0060, - "unit" : { - "currency" : { - "value" : "USD" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "USD" - } - }, - "priceType" : "InterestRate" + "meta" : { + "globalKey" : "98eddbcc" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.0060, + "unit" : { + "currency" : { + "value" : "USD" + } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] - } - } ], - "meta" : { - "globalKey" : "d9370b83" - } - }, { - "quantity" : [ { - "value" : { - "value" : 18000, - "unit" : { - "currency" : { - "value" : "USD" - } + "perUnitOf" : { + "currency" : { + "value" : "USD" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], + "priceType" : "InterestRate" + }, "meta" : { - "globalKey" : "5a3b1583" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party1", - "partyReference" : { - "globalReference" : "afd6aeeb", - "externalReference" : "party1" + } ], + "meta" : { + "globalKey" : "d9370b83" } }, { - "role" : "Party2", - "partyReference" : { - "globalReference" : "be64334", - "externalReference" : "party2" + "quantity" : [ { + "value" : { + "value" : 18000, + "unit" : { + "currency" : { + "value" : "USD" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "meta" : { + "globalKey" : "5a3b1583" } } ] + } ], + "counterparty" : [ { + "role" : "Party1", + "partyReference" : { + "globalReference" : "afd6aeeb", + "externalReference" : "party1" + } + }, { + "role" : "Party2", + "partyReference" : { + "globalReference" : "be64334", + "externalReference" : "party2" + } + } ], + "tradeIdentifier" : [ { + "issuer" : { + "value" : "LEI1RPT0001", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/issuer-identifier" + } + }, + "assignedIdentifier" : [ { + "identifier" : { + "value" : "LEI1RPT0001MMM", + "meta" : { + "scheme" : "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" + } + } + } ], + "meta" : { + "globalKey" : "fe92f4d7" + }, + "identifierType" : "UniqueTransactionIdentifier" + } ], + "tradeDate" : { + "value" : "2018-04-01", + "meta" : { + "globalKey" : "3f1101" + } }, "party" : [ { "partyId" : [ { @@ -354,7 +354,7 @@ } } ], "meta" : { - "globalKey" : "3344915d" + "globalKey" : "66139e4b" } }, "transferHistory" : [ { @@ -396,7 +396,7 @@ } } ], "meta" : { - "globalKey" : "fdaf6ab2" + "globalKey" : "94b4b4a0" } } } @@ -438,6 +438,6 @@ } ], "action" : "New", "meta" : { - "globalKey" : "708002f3" + "globalKey" : "61861145" } } \ No newline at end of file diff --git a/rosetta-source/src/main/resources/result-json-files/ore-1-0-39/Vanilla_IR_Swap.json b/rosetta-source/src/main/resources/result-json-files/ore-1-0-39/Vanilla_IR_Swap.json index d9a7ffe431..020b93f639 100644 --- a/rosetta-source/src/main/resources/result-json-files/ore-1-0-39/Vanilla_IR_Swap.json +++ b/rosetta-source/src/main/resources/result-json-files/ore-1-0-39/Vanilla_IR_Swap.json @@ -1,303 +1,161 @@ { "trade" : { - "tradableProduct" : { - "product" : { - "contractualProduct" : { - "productTaxonomy" : [ { - "source" : "ISDA", - "productQualifier" : "InterestRate_IRSwap_FixedFloat" - } ], - "economicTerms" : { - "payout" : { - "interestRatePayout" : [ { - "priceQuantity" : { - "quantitySchedule" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } - }, - "meta" : { - "globalKey" : "0" - } - }, - "settlementTerms" : { - "meta" : { - "globalKey" : "9390c5e6" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "quotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "10da2" - } - }, - "minimumQuotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "10da2" - } - } - }, - "cashSettlementAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "10da2" + "product" : { + "taxonomy" : [ { + "source" : "ISDA", + "productQualifier" : "InterestRate_IRSwap_FixedFloat" + } ], + "economicTerms" : { + "payout" : { + "interestRatePayout" : [ { + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } + }, + "meta" : { + "globalKey" : "0" + } + }, + "settlementTerms" : { + "meta" : { + "globalKey" : "9390c5e6" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "quotationAmount" : { + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "9390c5e6" + "globalKey" : "10da2" } - } ] - }, - "rateSpecification" : { - "fixedRate" : { - "rateSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-1" - } + }, + "minimumQuotationAmount" : { + "unit" : { + "currency" : { + "value" : "EUR" } }, "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 1, - "meta" : { - "globalKey" : "1" + "globalKey" : "10da2" } - }, - "meta" : { - "globalKey" : "1" } }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 1, - "meta" : { - "globalKey" : "1" + "cashSettlementAmount" : { + "unit" : { + "currency" : { + "value" : "EUR" } }, - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "periodFrequency" : { - "periodMultiplier" : 1, - "meta" : { - "globalKey" : "1" - } - } - }, - "meta" : { - "globalKey" : "1" - } - } ] - }, "meta" : { - "globalKey" : "1b4d8a0" + "globalKey" : "10da2" } }, "meta" : { - "globalKey" : "416ec307" + "globalKey" : "9390c5e6" } - }, { - "priceQuantity" : { - "quantitySchedule" : { + } ] + }, + "rateSpecification" : { + "FixedRateSpecification" : { + "rateSchedule" : { + "price" : { "address" : { "scope" : "DOCUMENT", - "value" : "quantity-1" + "value" : "price-1" } - }, - "meta" : { - "globalKey" : "0" } }, - "settlementTerms" : { - "meta" : { - "globalKey" : "9390c5e6" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "quotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "10da2" - } - }, - "minimumQuotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "10da2" - } - } - }, - "cashSettlementAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, + "meta" : { + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 1, + "meta" : { + "globalKey" : "1" + } + }, + "meta" : { + "globalKey" : "1" + } + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 1, + "meta" : { + "globalKey" : "1" + } + }, + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "periodFrequency" : { + "periodMultiplier" : 1, "meta" : { - "globalKey" : "10da2" - } - }, - "meta" : { - "globalKey" : "9390c5e6" - } - } ] - }, - "rateSpecification" : { - "floatingRate" : { - "spreadSchedule" : { - "price" : { - "address" : { - "scope" : "DOCUMENT", - "value" : "price-2" - } + "globalKey" : "1" } - }, - "meta" : { - "globalKey" : "0" - } - } - }, - "calculationPeriodDates" : { - "calculationPeriodFrequency" : { - "periodMultiplier" : 6, - "meta" : { - "globalKey" : "6" } }, "meta" : { - "globalKey" : "6" - } - }, - "paymentDates" : { - "paymentFrequency" : { - "periodMultiplier" : 6, - "meta" : { - "globalKey" : "6" - } - }, - "paymentDateSchedule" : { - "interimPaymentDates" : [ { - "periodicDates" : { - "periodFrequency" : { - "periodMultiplier" : 6, - "meta" : { - "globalKey" : "6" - } - } - }, - "meta" : { - "globalKey" : "6" - } - } ] - }, - "meta" : { - "globalKey" : "a3d13c0" + "globalKey" : "1" } - }, - "meta" : { - "globalKey" : "2f4d292c" - } - } ], + } ] + }, "meta" : { - "globalKey" : "9f2225f3" + "globalKey" : "1b4d8a0" } - } - }, - "meta" : { - "globalKey" : "9f2225f3" - } - }, - "meta" : { - "globalKey" : "9f2225f3" - } - }, - "tradeLot" : [ { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.021, - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } - }, - "priceType" : "InterestRate" }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-1" - } ] + "globalKey" : "416ec307" } - } ], - "quantity" : [ { - "value" : { - "value" : 10000000.000000, - "unit" : { - "currency" : { - "value" : "EUR" + }, { + "priceQuantity" : { + "quantitySchedule" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "quantity-1" } + }, + "meta" : { + "globalKey" : "0" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-2" - } ] - } - } ], - "settlementTerms" : { - "meta" : { - "globalKey" : "9390c5e6" - }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "quotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" + "settlementTerms" : { + "meta" : { + "globalKey" : "9390c5e6" + }, + "cashSettlementTerms" : [ { + "valuationMethod" : { + "quotationAmount" : { + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "meta" : { + "globalKey" : "10da2" } }, - "meta" : { - "globalKey" : "10da2" + "minimumQuotationAmount" : { + "unit" : { + "currency" : { + "value" : "EUR" + } + }, + "meta" : { + "globalKey" : "10da2" + } } }, - "minimumQuotationAmount" : { + "cashSettlementAmount" : { "unit" : { "currency" : { "value" : "EUR" @@ -306,168 +164,217 @@ "meta" : { "globalKey" : "10da2" } + }, + "meta" : { + "globalKey" : "9390c5e6" } - }, - "cashSettlementAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" + } ] + }, + "rateSpecification" : { + "FloatingRateSpecification" : { + "spreadSchedule" : { + "price" : { + "address" : { + "scope" : "DOCUMENT", + "value" : "price-2" + } } }, "meta" : { - "globalKey" : "10da2" + "globalKey" : "0" + } + } + }, + "calculationPeriodDates" : { + "calculationPeriodFrequency" : { + "periodMultiplier" : 6, + "meta" : { + "globalKey" : "6" } }, "meta" : { - "globalKey" : "9390c5e6" + "globalKey" : "6" } - } ] - }, - "meta" : { - "globalKey" : "48a55c85" - } - } ] - }, { - "priceQuantity" : [ { - "price" : [ { - "value" : { - "value" : 0.000000, - "unit" : { - "currency" : { - "value" : "EUR" + }, + "paymentDates" : { + "paymentFrequency" : { + "periodMultiplier" : 6, + "meta" : { + "globalKey" : "6" } }, - "perUnitOf" : { - "currency" : { - "value" : "EUR" - } + "paymentDateSchedule" : { + "interimPaymentDates" : [ { + "periodicDates" : { + "periodFrequency" : { + "periodMultiplier" : 6, + "meta" : { + "globalKey" : "6" + } + } + }, + "meta" : { + "globalKey" : "6" + } + } ] }, - "priceType" : "InterestRate", - "arithmeticOperator" : "Add" + "meta" : { + "globalKey" : "a3d13c0" + } }, "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "price-2" - } ] + "globalKey" : "2f4d292c" } } ], - "quantity" : [ { - "value" : { - "value" : 10000000.000000, - "unit" : { - "currency" : { - "value" : "EUR" - } + "meta" : { + "globalKey" : "9f2225f3" + } + } + }, + "meta" : { + "globalKey" : "9f2225f3" + } + }, + "tradeLot" : [ { + "priceQuantity" : [ { + "price" : [ { + "value" : { + "value" : 0.021, + "unit" : { + "currency" : { + "value" : "EUR" } }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "quantity-1" - } ] - } - } ], - "observable" : { - "rateOption" : { - "value" : { - "floatingRateIndex" : { - "value" : "EUR-6M EURIBOR SWAP-CME vs LCH-ICAP" - } - }, - "meta" : { - "location" : [ { - "scope" : "DOCUMENT", - "value" : "rateOption-1" - } ] + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-1" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.000000, + "unit" : { + "currency" : { + "value" : "EUR" } } }, - "settlementTerms" : { - "meta" : { - "globalKey" : "9390c5e6" + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-2" + } ] + } + } ], + "meta" : { + "globalKey" : "adfadf41" + } + }, { + "price" : [ { + "value" : { + "value" : 0.000000, + "unit" : { + "currency" : { + "value" : "EUR" + } }, - "cashSettlementTerms" : [ { - "valuationMethod" : { - "quotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" + "perUnitOf" : { + "currency" : { + "value" : "EUR" + } + }, + "priceType" : "InterestRate", + "arithmeticOperator" : "Add" + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "price-2" + } ] + } + } ], + "quantity" : [ { + "value" : { + "value" : 10000000.000000, + "unit" : { + "currency" : { + "value" : "EUR" + } + } + }, + "meta" : { + "location" : [ { + "scope" : "DOCUMENT", + "value" : "quantity-1" + } ] + } + } ], + "observable" : { + "value" : { + "Index" : { + "FloatingRateIndex" : { + "value" : { + "InterestRateIndex" : { + "floatingRateIndex" : { + "value" : "EUR-6M EURIBOR SWAP-CME vs LCH-ICAP" } - }, - "meta" : { - "globalKey" : "10da2" - } - }, - "minimumQuotationAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" - } - }, - "meta" : { - "globalKey" : "10da2" - } - } - }, - "cashSettlementAmount" : { - "unit" : { - "currency" : { - "value" : "EUR" } }, "meta" : { - "globalKey" : "10da2" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "FloatingRateIndex-1" + } ] } - }, - "meta" : { - "globalKey" : "9390c5e6" } - } ] + } }, "meta" : { - "globalKey" : "e3ca2b6f" + "location" : [ { + "scope" : "DOCUMENT", + "value" : "observable-1" + } ] } - } ] - } ], - "counterparty" : [ { - "role" : "Party2", - "partyReference" : { - "value" : { - "partyId" : [ { - "identifier" : { - "value" : "001B456BCDEFGH67XY89" - }, - "meta" : { - "globalKey" : "faea1aa4" - } - }, { - "identifier" : { - "value" : "549300A08LH2961IPN13" - }, - "meta" : { - "globalKey" : "f610acbb" - } - } ], + }, + "meta" : { + "globalKey" : "a50eee9b" + } + } ] + } ], + "counterparty" : [ { + "role" : "Party2", + "partyReference" : { + "value" : { + "partyId" : [ { + "identifier" : { + "value" : "001B456BCDEFGH67XY89" + }, "meta" : { - "globalKey" : "dedeae5f" + "globalKey" : "faea1aa4" } - } - } - }, { - "role" : "Party2", - "partyReference" : { - "value" : { - "name" : { - "value" : "ME" + }, { + "identifier" : { + "value" : "549300A08LH2961IPN13" }, "meta" : { - "globalKey" : "998" + "globalKey" : "f610acbb" } + } ], + "meta" : { + "globalKey" : "dedeae5f" } } - } ] - }, + } + } ], "party" : [ { "partyId" : [ { "identifier" : { @@ -489,10 +396,10 @@ } } ], "meta" : { - "globalKey" : "71cdd22f" + "globalKey" : "6a7afa7a" } }, "meta" : { - "globalKey" : "71cdd22f" + "globalKey" : "6a7afa7a" } } \ No newline at end of file diff --git a/rosetta-source/src/main/rosetta/base-staticdata-asset-common-enum.rosetta b/rosetta-source/src/main/rosetta/base-staticdata-asset-common-enum.rosetta index b863598603..c6f4ce629d 100755 --- a/rosetta-source/src/main/rosetta/base-staticdata-asset-common-enum.rosetta +++ b/rosetta-source/src/main/rosetta/base-staticdata-asset-common-enum.rosetta @@ -261,6 +261,10 @@ enum SecurityTypeEnum: <"Represetns an enumeration list to indentify the type of LetterOfCredit <"Identifies a security as a letter of credit or documentary credit/ bankers commercial credit. A payment mechanism used in international trade to provide economic guarantee of payment by a creditworthy issuer for payment of exported goods."> ListedDerivative <"Identifies a security as a listed derivative on an exchange."> +enum PutCallEnum: <"The enumerated values to specify the types of listed derivative options."> + Put <"A put option gives the holder the right to sell the underlying asset by a certain date for a certain price."> + Call <"A call option gives the holder the right to buy the underlying asset by a certain date for a certain price."> + enum EquityTypeEnum: <"Represents an enumeration list to identify the type of Equity."> Ordinary <"Identifies an Equity of Common stocks and shares."> NonConvertiblePreference <"Identifies an Equity of Non-Convertible Preference, Shares which hold priority to receive capital return in event of issuer liquidation."> diff --git a/rosetta-source/src/main/rosetta/base-staticdata-asset-common-type.rosetta b/rosetta-source/src/main/rosetta/base-staticdata-asset-common-type.rosetta index 5af621ed03..54db7d7c1e 100755 --- a/rosetta-source/src/main/rosetta/base-staticdata-asset-common-type.rosetta +++ b/rosetta-source/src/main/rosetta/base-staticdata-asset-common-type.rosetta @@ -6,11 +6,11 @@ import cdm.base.datetime.* import cdm.base.math.* import cdm.base.staticdata.party.* import cdm.observable.asset.* -import cdm.product.template.* choice Asset: <"An Asset is defined as something that can be owned and transferred in the financial markets. As a choice data type, one and only one of the attributes must be used."> Cash <"An Asset that consists solely of a monetary holding in a currency."> Commodity <"An Asset comprised of raw or refined materials or agricultural products, eg gold, oil or wheat."> + [metadata location] DigitalAsset <"An Asset that exists only in digital form, eg Bitcoin or Ethereum; excludes the digital representation of other Assets."> Instrument <"An asset that is issued by one party to one or more others; Instrument is also a choice data type."> @@ -19,14 +19,15 @@ type AssetBase: <"The base data type to specify common attributes for all Assets taxonomy Taxonomy (0..*) <"Defines the taxonomy of an object by combining a taxonomy source (i.e. the rules to classify the object) and a value (i.e. the output of those rules on the object."> isExchangeListed boolean (0..1) <"Defines whether the Asset is listed on a public exchange."> exchange LegalEntity (0..1) <"If the Asset is listed, defines the public exchange of the listing."> - // [metadata scheme] relatedExchange LegalEntity (0..*) <"Provides the related Exchanges, if applicable."> condition ExchangeListed: <"If Exchange is specified, it must be an exchange-listed Instrument."> - if exchange exists then isExchangeListed + if exchange exists + then isExchangeListed condition RelatedExchange: <"Related Exchange should only be specified if an Exchange is also specified."> - if exchange is absent then relatedExchange is absent + if exchange is absent + then relatedExchange is absent type AssetIdentifier: <"The unique identifier for an Asset, specified using an Asset Identifier Type enumerator."> identifier string (1..1) <"The identifier value."> @@ -91,43 +92,18 @@ type ProductTaxonomy extends Taxonomy: <"Specifies the product taxonomy, which i condition TaxonomyValue: <"A taxonomy value and product qualifier are mutually exclusive. Choice is optional as it only applies when source exists."> optional choice value, productQualifier -type IndexReferenceInformation: <"A class defining information related to Index"> - [deprecated] // to be replaced by IndexBase - indexName string (0..1) <"The name of the index expressed as a free format string with an associated scheme."> - [metadata scheme] - indexId string (0..*) <"An index identifier (e.g. RED pair code)."> - [metadata scheme] - - condition IndexAttributes: <"A required choice condition for either a floating rate or inflation rate index."> - indexName exists or indexId exists - -type IndexBase extends AssetBase: <"Identifies an index by referencing an identifier."> - name string (0..1) <"A description of the Index."> - provider LegalEntity (0..1) <"The organisation that creates or maintains the Index."> - assetClass AssetClassEnum (0..1) <"The Asset Class of the Index."> - -choice Index: <"An Index is an Observable which is computed based on the prices, rates or valuations of a number of assets that are tracked in a standardized way. Examples include equity market indices as well as indices on interest rates, inflation and credit instruments."> - CreditIndex <"An index based on credit risk, typically composed using corporate debt instruments in a region or industry sector, e.g. the iTraxx indices."> - EquityIndex <"An index based on equity securities, e.g. the S&P 500."> - FloatingRateIndex <"An interest rate index which can change over time, e.g. the SONIA (Sterling Overnight Index Average) in the UK."> - ForeignExchangeRate <"A rate based on the exchange of a pair of cash assets in specific currencies, e.g. USD versus GBP."> - InflationIndex <"An index that measures inflation in a specific market, e.g. the US Consumer Price Index."> - OtherIndex <"An index created by a market participant which doesn't align with the other index types."> - type Cash extends AssetBase: <"An Asset that consists solely of a monetary holding in a currency. The currency of the Cash asset is held in the string Identifier (from AssetBase) and the AssetIdTypeEnum must be set to define that a CurrencyCode is set. The function SetCashCurrency can be used to create (or update) a Cash object and the function GetCashCurrency can be used to retrieve the currency of a Cash object."> condition CurrencyExists: <"There must be one and only one currency code and it must be valid (ie in the enumerated list)."> AssetIdentifierByType(identifier, AssetIdTypeEnum -> CurrencyCode) count = 1 - and AssetIdentifierByType(identifier, AssetIdTypeEnum -> CurrencyCode) -> identifier - first - to-enum CurrencyCodeEnum - exists + and + AssetIdentifierByType(identifier, AssetIdTypeEnum -> CurrencyCode) -> identifier first to-enum CurrencyCodeEnum exists condition NoTaxonomy: <"Taxonomy is not applicable for a Cash asset."> taxonomy is absent condition NoExchange: <"Cash cannot be a listed Asset."> - exchange is absent + exchange is absent and isExchangeListed is absent type Commodity extends AssetBase: <"Identifies a specific commodity by referencing a product identifier or by a product definition."> commodityProductDefinition CommodityProductDefinition (0..1) <"Specifies the commodity underlier in the event that no ISDA Commodity Reference Benchmark exists."> @@ -165,8 +141,8 @@ type DeliveryDateParameters: <"Specifies a specific date or the parameters for i type CommodityReferenceFramework: <"Specifies the type of commodity."> commodityName string (1..1) <"Identifies the commodity more specifically. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions SubAnnex A, including the subCommodity and additional qualifiers, but should be limited to 256 characters or less."> - capacityUnit cdm.base.math.CapacityUnitEnum (0..1) <"Provides an enumerated value for a capacity unit, generally used in the context of defining quantities for commodities."> - weatherUnit cdm.base.math.WeatherUnitEnum (0..1) <"Provides an enumerated values for a weather unit, generally used in the context of defining quantities for commodities."> + capacityUnit CapacityUnitEnum (0..1) <"Provides an enumerated value for a capacity unit, generally used in the context of defining quantities for commodities."> + weatherUnit WeatherUnitEnum (0..1) <"Provides an enumerated values for a weather unit, generally used in the context of defining quantities for commodities."> currency string (1..1) <"Defines the currency in which the commodity is priced."> [metadata scheme] @@ -183,10 +159,6 @@ type ListedDerivative extends InstrumentBase: <"A securitized derivative on anot condition Options: <"Options must have a strike price."> if optionType exists then strike exists else strike is absent -enum PutCallEnum: <"The enumerated values to specify the types of listed derivative options."> - Put <"A put option gives the holder the right to sell the underlying asset by a certain date for a certain price."> - Call <"A call option gives the holder the right to buy the underlying asset by a certain date for a certain price."> - type Loan extends InstrumentBase: <"Identifies a loan by referencing an asset identifier and through an optional set of attributes."> borrower LegalEntity (0..*) <"Specifies the borrower. There can be more than one borrower. It is meant to be used in the event that there is no Bloomberg Id or the Secured List isn't applicable."> lien string (0..1) <"Specifies the seniority level of the lien."> @@ -236,10 +208,6 @@ type Security extends InstrumentBase: <"Identifies a security by referencing an debtType DebtType (0..1) <"Identifies the type of debt and selected debt economics."> equityType EquityTypeEnum (0..1) <"Identifies the type of equity."> fundType FundProductTypeEnum (0..1) <"Identifies the type of fund."> - // **ART** Economic Terms will be removed in Phase 3 - economicTerms EconomicTerms (0..1) <"The economic terms associated with a contractual product, i.e. the set of features that are price-forming."> - // **ART** ProductTaxonomy (which was previously inherited) added back as a workaround in Phase 2 prior to more extensive refactoring in Phase 3 - productTaxonomy ProductTaxonomy (0..*) condition DebtSubType: if securityType <> SecurityTypeEnum -> Debt @@ -253,10 +221,6 @@ type Security extends InstrumentBase: <"Identifies a security by referencing an if securityType <> SecurityTypeEnum -> Fund then fundType is absent - condition BondEconomicTerms: - if economicTerms exists - then securityType = SecurityTypeEnum -> Debt - type DebtType: <"Specifies the type of debt instrument."> debtClass DebtClassEnum (0..1) <"Specifies the characteristics of a debt instrument."> debtEconomics DebtEconomics (0..*) <"Specifies selected financial terms of a debt instrument."> diff --git a/rosetta-source/src/main/rosetta/event-common-func.rosetta b/rosetta-source/src/main/rosetta/event-common-func.rosetta index 2a13cb657d..813f59a9b4 100644 --- a/rosetta-source/src/main/rosetta/event-common-func.rosetta +++ b/rosetta-source/src/main/rosetta/event-common-func.rosetta @@ -33,9 +33,9 @@ func QuantityIncreased: after extract [ CompareTradeLot( - item -> trade -> tradableProduct -> tradeLot only-element, + item -> trade -> tradeLot only-element, CompareOp -> GreaterThan, - before -> trade -> tradableProduct -> tradeLot only-element + before -> trade -> tradeLot only-element ) = True ] all = True @@ -51,13 +51,13 @@ func QuantityDecreased: extract [ // check each after (item) is less than before (input) CompareTradeLot( - item -> trade -> tradableProduct -> tradeLot only-element, + item -> trade -> tradeLot only-element, CompareOp -> LessThan, - before -> trade -> tradableProduct -> tradeLot only-element + before -> trade -> tradeLot only-element ) = True and // check each after (item) is greater than zero CompareTradeLotToAmount( - item -> trade -> tradableProduct -> tradeLot only-element, + item -> trade -> tradeLot only-element, CompareOp -> GreaterThan, 0.0 ) = True @@ -72,7 +72,7 @@ func QuantityDecreasedToZero: set result: CompareTradeLotToAmount( - before -> trade -> tradableProduct -> tradeLot only-element, + before -> trade -> tradeLot only-element, CompareOp -> GreaterThanOrEquals, 0.0 ) = True @@ -90,7 +90,7 @@ func CompareTradeStatesToAmount: <"For each TradeState, compare the Quantity amo tradeStates extract [ CompareTradeLotToAmount( - item -> trade -> tradableProduct -> tradeLot only-element, + item -> trade -> tradeLot only-element, op, amount ) @@ -128,8 +128,8 @@ func ResolveInterestRateObservationIdentifiers: <"Defines which attributes on th output: identifiers ObservationIdentifier (1..1) - set identifiers -> observable -> rateOption: - payout -> rateSpecification -> floatingRate -> rateOption + set identifiers -> observable -> Index -> FloatingRateIndex: + payout -> rateSpecification -> FloatingRateSpecification -> rateOption set identifiers -> observationDate: date // ResolveInterestRateReset is similar to ResolveEquityReset as they both only support the basic use cases for reset. Once support is added for stub periods and thus rate interpolation, the formula to derive the reset value will start to look different between the functions. @@ -159,14 +159,14 @@ func InterestCashSettlementAmount: <"Defines the performance calculations releve interestCashSettlementAmount Transfer (1..1) alias performance: - if interestRatePayout -> rateSpecification -> fixedRate exists + if interestRatePayout -> rateSpecification -> FixedRateSpecification exists then FixedAmount( interestRatePayout, interestRatePayout -> priceQuantity -> quantitySchedule -> value, date, empty ) - else if interestRatePayout -> rateSpecification -> floatingRate exists + else if interestRatePayout -> rateSpecification -> FloatingRateSpecification exists then FloatingAmount( interestRatePayout, resets only-element -> resetValue -> value, @@ -176,12 +176,12 @@ func InterestCashSettlementAmount: <"Defines the performance calculations releve ) alias payer: ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, interestRatePayout -> payerReceiver -> payer ) -> partyReference alias receiver: ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, interestRatePayout -> payerReceiver -> receiver ) -> partyReference set interestCashSettlementAmount -> quantity -> value: performance @@ -219,8 +219,9 @@ func ResolvePerformanceObservationIdentifiers: <"Defines which attributes on the if adjustedDate < adjustedFinalValuationDate then payout -> valuationDates -> interimValuationDate else payout -> valuationDates -> finalValuationDate - add identifiers -> observable -> asset -> Instrument -> Security -> identifier: <"Represents the identifer for the equity underlier."> - payout -> underlier -> security -> identifier + + set identifiers -> observable: <"Represents the identifer for the equity underlier."> + payout -> underlier -> Observable set identifiers -> observationDate: <"Specifies the date for which to retrieve the market data value(s). Selects the most recent valuation date."> AdjustedValuationDates(payout -> valuationDates) filter item <= adjustedDate @@ -229,9 +230,11 @@ func ResolvePerformanceObservationIdentifiers: <"Defines which attributes on the ResolvePerformanceValuationTime( valuationDates -> valuationTime, valuationDates -> valuationTimeType, - identifiers -> observable -> asset ->> identifier only-element, + identifiers -> observable -> Asset ->> identifier only-element, valuationDates -> determinationMethod ) + set identifiers -> informationSource: + payout -> observationTerms -> informationSource -> primarySource set identifiers -> determinationMethodology -> determinationMethod: <"Identifies a more specific price should multiple prices for the underlier be available at the given date time, for example bid or ask prices."> valuationDates -> determinationMethod @@ -242,7 +245,9 @@ func AdjustedValuationDates: adjustedValuationDates date (0..*) set adjustedValuationDates: <"Build sorted list of adjusted valuation dates."> [ - ResolveAdjustableDates(valuationDates -> interimValuationDate -> valuationDates), + ResolveAdjustableDates( + valuationDates -> interimValuationDate -> valuationDates + ), ResolveAdjustableDate(valuationDates -> finalValuationDate -> valuationDate) ] sort @@ -287,7 +292,7 @@ func EquityCashSettlementAmount: <"Represents Part 1 Section 12 of the 2018 ISDA equityCashSettlementAmount Transfer (1..1) alias equityPerformancePayout: - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> performancePayout only-element + tradeState -> trade -> product -> economicTerms -> payout -> performancePayout only-element alias equityPerformance: EquityPerformance( tradeState -> trade, @@ -296,12 +301,12 @@ func EquityCashSettlementAmount: <"Represents Part 1 Section 12 of the 2018 ISDA ) alias payer: ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, equityPerformancePayout -> payerReceiver -> payer ) -> partyReference alias receiver: ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, equityPerformancePayout -> payerReceiver -> receiver ) -> partyReference @@ -309,7 +314,7 @@ func EquityCashSettlementAmount: <"Represents Part 1 Section 12 of the 2018 ISDA Abs(equityPerformance) set equityCashSettlementAmount -> quantity -> unit -> currency: <"Does not handle the cross currency case. Only works in the case of a single trade lot."> ResolveEquityInitialPrice( - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> price + tradeState -> trade -> tradeLot only-element -> priceQuantity -> price ) -> unit -> currency set equityCashSettlementAmount -> payerReceiver -> payerPartyReference: if equityPerformance >= 0 then payer else receiver @@ -329,12 +334,12 @@ func EquityPerformance: <"Part 1 Section 12 of the 2018 ISDA CDM Equity Confirma equityPerformance number (1..1) alias performancePayout: - trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> performancePayout only-element + trade -> product -> economicTerms -> payout -> performancePayout only-element alias periodStartPrice: <"Only works in the case of a single trade lot."> ResolvePerformancePeriodStartPrice( performancePayout, - trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> price, - trade -> tradableProduct -> tradeLot -> priceQuantity -> observable only-element, + trade -> tradeLot only-element -> priceQuantity -> price, + trade -> tradeLot -> priceQuantity -> observable only-element, date ) alias periodEndPrice: observation @@ -344,7 +349,7 @@ func EquityPerformance: <"Part 1 Section 12 of the 2018 ISDA CDM Equity Confirma alias notionalAmount: EquityNotionalAmount(numberOfSecurities, periodEndPrice) condition PriceReturnTermsExists: - trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> performancePayout -> returnTerms -> priceReturnTerms exists + trade -> product -> economicTerms -> payout -> performancePayout -> returnTerms -> priceReturnTerms exists set equityPerformance: rateOfReturn * notionalAmount @@ -379,7 +384,7 @@ func Create_StockSplit: <"Function specification to create the fully-formed busi alias preSplitNumberOfShares: <"Only works in the case of a single trade lot."> FilterQuantityByFinancialUnit( - before -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> quantity, + before -> trade -> tradeLot only-element -> priceQuantity -> quantity, FinancialUnitEnum -> Share ) only-element -> value @@ -393,7 +398,7 @@ func Create_StockSplit: <"Function specification to create the fully-formed busi ... } alias preSplitPrice: - before -> trade -> tradableProduct -> tradeLot -> priceQuantity -> price + before -> trade -> tradeLot -> priceQuantity -> price filter perUnitOf -> financialUnit = FinancialUnitEnum -> Share then only-element alias postSplitPrice: <"The pre-split price is divided by the adjustment ratio to determine the post-split price."> @@ -432,17 +437,17 @@ func Create_Execution: <"Specifies the function to compose an execution based on instruction ExecutionInstruction (1..1) <"Instructions to be used as an input to the function"> output: execution TradeState (1..1) <"Execution primitive event with absent before state and an after state containing the tradable product, parties, associated party roles and the known settlement terms."> - set execution -> trade -> tradableProduct -> product: <"Assign the product input to the tradable product of the execution object."> + set execution -> trade -> product: <"Assign the product input to the tradable product of the execution object."> instruction -> product - add execution -> trade -> tradableProduct -> tradeLot: <"Assign the prices and quantities and lot identifier input to the tradable product of the execution object."> + add execution -> trade -> tradeLot: <"Assign the prices and quantities and lot identifier input to the tradable product of the execution object."> TradeLot { priceQuantity: instruction -> priceQuantity, lotIdentifier: instruction -> lotIdentifier } - add execution -> trade -> tradableProduct -> counterparty: <"Assign the counterparty input to the tradable product of the execution object."> + add execution -> trade -> counterparty: <"Assign the counterparty input to the tradable product of the execution object."> instruction -> counterparty - add execution -> trade -> tradableProduct -> ancillaryParty: <"Assign the ancillaryRole input to the tradable product of the execution object."> + add execution -> trade -> ancillaryParty: <"Assign the ancillaryRole input to the tradable product of the execution object."> instruction -> ancillaryParty add execution -> trade -> party: <"Assign the parties input to the execution object."> instruction -> parties @@ -490,24 +495,31 @@ func Create_Exercise: <"Defines the process of putting into effect the rights sp output: exercise TradeState (1..*) - alias tradableProduct: <"Extracts the originally traded product."> - originalTrade -> trade -> tradableProduct - alias optionPayout: <"Extracts the optionPayout from exerciseInstruction if provided or from the original trade if absent"> if exerciseInstruction -> exerciseOption exists then exerciseInstruction -> exerciseOption - else tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> optionPayout only-element + else originalTrade -> trade -> product -> economicTerms -> payout -> optionPayout only-element + + alias underlier: <"Extracts the underlying financial product, upon which the option decision is contingent. Requires that the original contract contains an option payout that contains an Observable or a Product as the underlier."> + optionPayout -> underlier - alias underlier: <"Extracts the underlying financial product, upon which the option decision is contingent. Requires that the original contract contains an option payout."> - optionPayout -> underlier + alias resultProduct: <"Find or create the the non transferable product that will result from the exercise."> + if underlier -> Product -> NonTransferableProduct exists // It already exists, no need to create + then underlier -> Product -> NonTransferableProduct + else Create_NonTransferableProduct(underlier, optionPayout -> payerReceiver) + + alias productWithDirection: <"If the option is a Put, then the direction on the result product needs to be flipped from that on the underlier."> + if optionPayout -> optionType = OptionTypeEnum -> Put + then Update_ProductDirection(resultProduct, optionPayout -> payerReceiver -> payer, optionPayout -> payerReceiver -> receiver) + else resultProduct alias execution: <"Creates the execution primitive describing the exchange of the underlying product, either as a cash transfer or as the formation of a new contractual product between parties."> Create_Execution( ExecutionInstruction { - product: underlier, - priceQuantity: tradableProduct -> tradeLot only-element -> priceQuantity, - counterparty: tradableProduct -> counterparty, - ancillaryParty: tradableProduct -> ancillaryParty, + product: productWithDirection, + priceQuantity: originalTrade -> trade -> tradeLot only-element -> priceQuantity, + counterparty: originalTrade -> trade -> counterparty, + ancillaryParty: originalTrade -> trade -> ancillaryParty, parties: originalTrade -> trade -> party, partyRoles: originalTrade -> trade -> partyRole, executionDetails: empty, @@ -526,6 +538,28 @@ func Create_Exercise: <"Defines the process of putting into effect the rights sp add exercise: <"Adds the replacement trade"> execution +func Update_ProductDirection: <"Flips the payer and receiver on a product (used when a Put Option is exercised)."> + inputs: + before NonTransferableProduct (1..1) + originalPayer CounterpartyRoleEnum (1..1) + originalReceiver CounterpartyRoleEnum (1..1) + output: + after NonTransferableProduct (1..1) + + set after: before + set after -> economicTerms -> payout -> optionPayout -> payerReceiver -> payer: originalReceiver + set after -> economicTerms -> payout -> optionPayout -> payerReceiver -> receiver: originalPayer + +func Create_NonTransferableProduct: <"Creates a NonTransferableProduct (ie EconomicTerms) from an underlier."> + inputs: + underlier Underlier (1..1) + payerReceiver PayerReceiver (1..1) + output: + newProduct NonTransferableProduct (1..1) + + set newProduct -> economicTerms -> payout -> settlementPayout -> underlier: underlier + set newProduct -> economicTerms -> payout -> settlementPayout -> payerReceiver: payerReceiver + func Create_Reset: <"Defines how a Reset should be constructed."> inputs: instruction ResetInstruction (1..1) <"Specifies the reset instructions."> @@ -621,11 +655,11 @@ func Create_AssetTransfer: <"Defines how Transfer that represents an exchange of transfer Transfer (1..1) alias assetPayout: - instruction -> tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only-element + instruction -> tradeState -> trade -> product -> economicTerms -> payout -> assetPayout only-element alias tradeQuantity: <"Security quantity obtained by filtering on the trade quantity"> FilterQuantityByFinancialUnit( - instruction -> tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> quantity, + instruction -> tradeState -> trade -> tradeLot -> priceQuantity -> quantity, FinancialUnitEnum -> Share ) only-element @@ -641,7 +675,7 @@ func Create_AssetTransfer: <"Defines how Transfer that represents an exchange of alias securityPrice: FilterPrice( - instruction -> tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> price, + instruction -> tradeState -> trade -> tradeLot -> priceQuantity -> price, PriceTypeEnum -> AssetPrice, empty, empty @@ -658,38 +692,38 @@ func Create_AssetTransfer: <"Defines how Transfer that represents an exchange of ... } - add transfer -> asset -> Instrument -> Security -> identifier: - assetPayout -> securityInformation -> security -> identifier + add transfer -> asset -> Instrument -> Security -> identifier: + assetPayout -> underlier ->> identifier set transfer -> payerReceiver -> payerPartyReference: if instruction -> payerReceiver -> payer exists then ExtractCounterpartyByRole( - instruction -> tradeState -> trade -> tradableProduct -> counterparty, + instruction -> tradeState -> trade -> counterparty, instruction -> payerReceiver -> payer ) -> partyReference else if assetPayout -> payerReceiver -> payer exists then ExtractCounterpartyByRole( - instruction -> tradeState -> trade -> tradableProduct -> counterparty, + instruction -> tradeState -> trade -> counterparty, assetPayout -> payerReceiver -> payer ) -> partyReference set transfer -> payerReceiver -> receiverPartyReference: if instruction -> payerReceiver -> payer exists then ExtractCounterpartyByRole( - instruction -> tradeState -> trade -> tradableProduct -> counterparty, + instruction -> tradeState -> trade -> counterparty, instruction -> payerReceiver -> receiver ) -> partyReference else if assetPayout -> payerReceiver -> receiver exists then ExtractCounterpartyByRole( - instruction -> tradeState -> trade -> tradableProduct -> counterparty, + instruction -> tradeState -> trade -> counterparty, assetPayout -> payerReceiver -> receiver ) -> partyReference set transfer -> settlementDate -> adjustedDate: instruction -> date set transfer -> settlementOrigin -> assetPayout: - if instruction -> tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout exists - then instruction -> tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only-element + if instruction -> tradeState -> trade -> product -> economicTerms -> payout -> assetPayout exists + then instruction -> tradeState -> trade -> product -> economicTerms -> payout -> assetPayout only-element as-key func ResolveTransfer: <"Defines how to calculate the amount due to be transferred after a Reset Event."> @@ -708,8 +742,8 @@ func ResolveTransfer: <"Defines how to calculate the amount due to be transferre ) else if payout -> performancePayout exists then EquityCashSettlementAmount(instruction -> tradeState, instruction -> date) - else if payout -> interestRatePayout -> rateSpecification -> floatingRate exists - or payout -> interestRatePayout -> rateSpecification -> fixedRate exists + else if payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification exists + or payout -> interestRatePayout -> rateSpecification -> FixedRateSpecification exists then InterestCashSettlementAmount( instruction -> tradeState, payout -> interestRatePayout only-element, @@ -738,22 +772,22 @@ func SecurityFinanceCashSettlementAmount: cashSettlementAmount Transfer (1..1) alias assetPayout: - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only-element + tradeState -> trade -> product -> economicTerms -> payout -> assetPayout only-element alias collateral: - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral + tradeState -> trade -> product -> economicTerms -> collateral alias securityQuantity: <"Specifies the number of securities."> if quantity exists then quantity else FilterQuantityByFinancialUnit( - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> quantity, + tradeState -> trade -> tradeLot -> priceQuantity -> quantity, FinancialUnitEnum -> Share ) alias securityPrice: <"Specifies the price per security."> FilterPrice( - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> price, + tradeState -> trade -> tradeLot -> priceQuantity -> price, PriceTypeEnum -> AssetPrice, empty, empty @@ -771,7 +805,7 @@ func SecurityFinanceCashSettlementAmount: then quantity -> unit -> financialUnit = FinancialUnitEnum -> Share condition IdentifiersMatch: - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> observable -> asset ->> identifier = assetPayout -> securityInformation -> security -> identifier + tradeState -> trade -> tradeLot -> priceQuantity -> observable -> Asset ->> identifier = assetPayout -> underlier ->> identifier set cashSettlementAmount -> quantity -> value: securityPrice -> value * securityQuantity -> value * marginRatio @@ -782,24 +816,24 @@ func SecurityFinanceCashSettlementAmount: set cashSettlementAmount -> payerReceiver -> payerPartyReference: if payerReceiver exists then ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, payerReceiver -> receiver ) -> partyReference else if assetPayout -> payerReceiver -> receiver exists then ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, assetPayout -> payerReceiver -> receiver ) -> partyReference set cashSettlementAmount -> payerReceiver -> receiverPartyReference: if payerReceiver exists then ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, payerReceiver -> payer ) -> partyReference else if assetPayout -> payerReceiver -> payer exists then ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, assetPayout -> payerReceiver -> payer ) -> partyReference @@ -834,7 +868,7 @@ func Create_PartyChange: <"Defines the logic for changing one of the counterpart role: counterparty -> role } else ExtractCounterpartyByRole( - originalTrade -> trade -> tradableProduct -> counterparty, + originalTrade -> trade -> counterparty, CounterpartyRoleEnum -> Party1 ) alias counterparty2: @@ -844,18 +878,18 @@ func Create_PartyChange: <"Defines the logic for changing one of the counterpart role: counterparty -> role } else ExtractCounterpartyByRole( - originalTrade -> trade -> tradableProduct -> counterparty, + originalTrade -> trade -> counterparty, CounterpartyRoleEnum -> Party2 ) alias partyToRemove: ExtractCounterpartyByRole( - originalTrade -> trade -> tradableProduct -> counterparty, + originalTrade -> trade -> counterparty, counterparty -> role ) -> partyReference set newTrade: <"Copy the original trade."> originalTrade - set newTrade -> trade -> tradableProduct -> counterparty: <"Assigns the new counterparties."> + set newTrade -> trade -> counterparty: <"Assigns the new counterparties."> [counterparty1, counterparty2] set newTrade -> trade -> party: <"Removes the existing party, and adds the new party."> ReplaceParty( @@ -867,7 +901,7 @@ func Create_PartyChange: <"Defines the logic for changing one of the counterpart tradeId add newTrade -> trade -> party: <"Add ancillary party as an additional party"> ancillaryParty -> partyReference - add newTrade -> trade -> tradableProduct -> ancillaryParty: <"Add ancillary party role"> + add newTrade -> trade -> ancillaryParty: <"Add ancillary party role"> ancillaryParty add newTrade -> trade -> party: <"Add party role party reference as an additional party"> partyRole -> partyReference @@ -887,16 +921,16 @@ func Create_QuantityChange: <"A specification of the inputs, outputs and constra output: quantityChange TradeState (1..1) - alias tradableProduct: <"TradableProduct from the input TradeState"> - tradeState -> trade -> tradableProduct + alias trade: <"The Trade from the input TradeState"> + tradeState -> trade alias tradeLotExists: <"The quantity change instruction applies to an existing tradeLot"> - FilterTradeLot(tradableProduct -> tradeLot, instruction -> lotIdentifier) exists + FilterTradeLot(trade -> tradeLot, instruction -> lotIdentifier) exists alias tradeLot: <"Get the existing trade lot if specified, or return only trade lot"> if tradeLotExists - then FilterTradeLot(tradableProduct -> tradeLot, instruction -> lotIdentifier) - else tradableProduct -> tradeLot only-element + then FilterTradeLot(trade -> tradeLot, instruction -> lotIdentifier) + else trade -> tradeLot only-element alias newPriceQuantity: <"Update the PriceQuantity based on the change and direction inputs. For an increase, if the trade lot exists, apply the changes to the existing PriceQuantity; otherwise, add the changed PriceQuantity to the list of TradeLots. For a decrease or replace, apply the changes to the existing PriceQuantity."> if instruction -> direction = QuantityChangeDirectionEnum -> Increase @@ -912,14 +946,14 @@ func Create_QuantityChange: <"A specification of the inputs, outputs and constra if instruction -> direction = QuantityChangeDirectionEnum -> Increase and tradeLotExists = False then AddTradeLot( - tradableProduct, + trade, TradeLot { lotIdentifier: instruction -> lotIdentifier, priceQuantity: newPriceQuantity } ) -> tradeLot else ReplaceTradeLot( - tradableProduct -> tradeLot, + trade -> tradeLot, TradeLot { lotIdentifier: instruction -> lotIdentifier, priceQuantity: newPriceQuantity @@ -933,14 +967,12 @@ func Create_QuantityChange: <"A specification of the inputs, outputs and constra set quantityChange: tradeState - set quantityChange -> trade -> tradableProduct: <"Update trade with new TradableProduct."> - TradableProduct { - product: tradableProduct -> product, - tradeLot: newTradeLots, - counterparty: tradableProduct -> counterparty, - ancillaryParty: tradableProduct -> ancillaryParty, - adjustment: tradableProduct -> adjustment - } + // Update trade with new TradableProduct. + set quantityChange -> trade -> product: trade -> product + set quantityChange -> trade -> tradeLot: newTradeLots + set quantityChange -> trade -> counterparty: trade -> counterparty + set quantityChange -> trade -> ancillaryParty: trade -> ancillaryParty + set quantityChange -> trade -> adjustment: trade -> adjustment set quantityChange -> state -> positionState: if newTradeLots -> priceQuantity -> quantity -> value all = 0 @@ -956,28 +988,26 @@ func Create_TermsChange: <"A specification of the inputs, outputs and constraint alias newProduct: if termsChange -> product exists then termsChange -> product - else before -> trade -> tradableProduct -> product + else before -> trade -> product alias newAncillaryParty: if termsChange -> ancillaryParty exists then termsChange -> ancillaryParty - else before -> trade -> tradableProduct -> ancillaryParty + else before -> trade -> ancillaryParty alias newAdjustment: if termsChange -> adjustment exists then termsChange -> adjustment - else before -> trade -> tradableProduct -> adjustment + else before -> trade -> adjustment set tradeState: before - set tradeState -> trade -> tradableProduct: <"Contract to be updated based on the new terms change inputs."> - TradableProduct { - product: newProduct, - tradeLot: tradeState -> trade -> tradableProduct -> tradeLot, - counterparty: tradeState -> trade -> tradableProduct -> counterparty, - ancillaryParty: newAncillaryParty, - adjustment: newAdjustment - } + // Contract to be updated based on the new terms change inputs. + set tradeState -> trade -> product: newProduct + set tradeState -> trade -> tradeLot: tradeState -> trade -> tradeLot + set tradeState -> trade -> counterparty: tradeState -> trade -> counterparty + set tradeState -> trade -> ancillaryParty: newAncillaryParty + set tradeState -> trade -> adjustment: newAdjustment func FilterOpenTradeStates: <"Filter to only 'open' TradeState - where both the closedState and positionState are not set."> inputs: @@ -1001,17 +1031,17 @@ func NewEquitySwapProduct: <"Function specification to create an Equity Swap acc masterConfirmation EquitySwapMasterConfirmation2018 (0..1) <"An (optional) pointer to the Master Confirmation Agreement, if any, that holds further inputs to the Equity Swap"> // performancePayout PerformancePayout (1..1) output: - product Product (1..1) + product NonTransferableProduct (1..1) - alias payout: product -> contractualProduct -> economicTerms -> payout + alias payout: product -> economicTerms -> payout // condition PriceReturnTermsOnlyExists: performancePayout -> returnTerms -> priceReturnTerms only exists condition EquitySecurityType: <"Security must be equity (single name)."> security -> securityType = SecurityTypeEnum -> Equity - add product -> contractualProduct -> economicTerms -> payout -> performancePayout: + add payout -> performancePayout: NewSingleNameEquityPerformancePayout(security, masterConfirmation) - add product -> contractualProduct -> economicTerms -> payout -> interestRatePayout: <"Equity and interest rate payouts must be set-up according to their corresponding payout specifications"> + add payout -> interestRatePayout: <"Equity and interest rate payouts must be set-up according to their corresponding payout specifications"> if masterConfirmation exists then NewFloatingPayout(masterConfirmation) @@ -1020,13 +1050,10 @@ func NewEquitySwapProduct: <"Function specification to create an Equity Swap acc then payout -> interestRatePayout is absent and payout -> cashflow is absent and payout -> creditDefaultPayout is absent - and payout -> forwardPayout is absent + and payout -> settlementPayout is absent and payout -> fixedPricePayout is absent and payout -> optionPayout is absent - post-condition ContractualProductOnlyExists: <"Non-contractual product types must be absent."> - product -> contractualProduct only exists - func NewSingleNameEquityPerformancePayout: <"Function specification to create the equity payout part of an Equity Swap according to the 2018 ISDA CDM Equity Confirmation template."> inputs: security Security (1..1) @@ -1107,8 +1134,8 @@ func UpdateSpreadAdjustmentAndRateOptions: <"For each of the trade state's price set updatedTradeState: tradeState - set updatedTradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity: - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity + set updatedTradeState -> trade -> tradeLot -> priceQuantity: + tradeState -> trade -> tradeLot only-element -> priceQuantity extract UpdateIndexTransitionPriceAndRateOption( item, @@ -1129,10 +1156,10 @@ func UpdateIndexTransitionPriceAndRateOption: then priceQuantity -> price only-element -> value + instruction -> price only-element -> value else priceQuantity -> price only-element -> value - set updatedPriceQuantity -> observable -> rateOption: <"If instruction exists, update the rate option."> + set updatedPriceQuantity -> observable -> Index -> FloatingRateIndex: <"If instruction exists, update the rate option."> if instruction exists - then instruction -> observable -> rateOption - else priceQuantity -> observable -> rateOption + then instruction -> observable -> Index -> FloatingRateIndex + else priceQuantity -> observable -> Index -> FloatingRateIndex func FindMatchingIndexTransitionInstruction: inputs: @@ -1145,9 +1172,9 @@ func FindMatchingIndexTransitionInstruction: instructions filter // indexTenor period matches - observable -> rateOption -> indexTenor -> period = priceQuantity -> observable -> rateOption -> indexTenor -> period + observable -> Index -> FloatingRateIndex ->> indexTenor -> period = priceQuantity -> observable -> Index -> FloatingRateIndex ->> indexTenor -> period // indexTenor periodMultiplier matches - and observable -> rateOption -> indexTenor -> periodMultiplier = priceQuantity -> observable -> rateOption -> indexTenor -> periodMultiplier + and observable -> Index -> FloatingRateIndex ->> indexTenor -> periodMultiplier = priceQuantity -> observable -> Index -> FloatingRateIndex ->> indexTenor -> periodMultiplier // quantity currency or price currency matches and (quantity -> unit -> currency = priceQuantity -> quantity -> unit -> currency or price -> unit -> currency = priceQuantity -> price -> unit -> currency) @@ -1218,18 +1245,18 @@ func ResolveSecurityFinanceBillingAmount: <"Calculates the billing amount for a alias securityQuantity: <"Specifies the number of securities."> FilterQuantityByFinancialUnit( - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> quantity, + tradeState -> trade -> tradeLot -> priceQuantity -> quantity, FinancialUnitEnum -> Share ) alias interestRatePayout: <"The interest payout that represents the lending fee."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout only-element + tradeState -> trade -> product -> economicTerms -> payout -> interestRatePayout only-element alias assetPayout: <"The security finance payout that represents the securities lent."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only-element + tradeState -> trade -> product -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout only-element alias collateral: - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral + tradeState -> trade -> product -> economicTerms -> collateral alias haircutPercentage: (1.0 - collateral -> collateralProvisions -> eligibleCollateral only-element -> treatment -> valuationTreatment -> haircutPercentage) @@ -1250,14 +1277,14 @@ func ResolveSecurityFinanceBillingAmount: <"Calculates the billing amount for a CalculationPeriodRange(recordStartDate, recordEndDate, empty) alias performance: - if interestRatePayout -> rateSpecification -> fixedRate exists + if interestRatePayout -> rateSpecification -> FixedRateSpecification exists then FixedAmount( interestRatePayout, billingQuantity, recordEndDate, calculationPeriodRange ) - else if interestRatePayout -> rateSpecification -> floatingRate exists + else if interestRatePayout -> rateSpecification -> FloatingRateSpecification exists then FloatingAmount( interestRatePayout, reset -> resetValue -> value, @@ -1268,13 +1295,13 @@ func ResolveSecurityFinanceBillingAmount: <"Calculates the billing amount for a alias payerPartyReference: ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, interestRatePayout -> payerReceiver -> payer ) -> partyReference alias receiverPartyReference: ExtractCounterpartyByRole( - tradeState -> trade -> tradableProduct -> counterparty, + tradeState -> trade -> counterparty, interestRatePayout -> payerReceiver -> receiver ) -> partyReference @@ -1321,8 +1348,6 @@ func Create_Return: <"Defines the process of partially or fully returning a Secu output: returnEvent BusinessEvent (1..1) <"Produces the business event composed of primitive events describing the transfer and termination, as a result of the input return instruction."> - alias tradableProduct: tradeState -> trade -> tradableProduct - alias quantitySchedule: returnInstruction -> quantity extract @@ -1358,7 +1383,7 @@ func Qualify_Repurchase: <"The qualification of a repurchase event from the fact is_event boolean (1..1) set is_event: businessEvent -> intent = EventIntentEnum -> Repurchase - and businessEvent -> after -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout exists + and businessEvent -> after -> trade -> product -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout exists and (businessEvent -> instruction count = 1 and (businessEvent -> instruction -> primitiveInstruction -> quantityChange, businessEvent -> instruction -> primitiveInstruction -> transfer) only exists) and QuantityDecreasedToZero( @@ -1375,7 +1400,7 @@ func ResolveRepurchaseTransferInstruction: <"Resolves an instruction for settlem repurchaseInstruction EventInstruction (1..1) alias changeQuantity: <"Create distinct list of Quantity with value set to zero."> - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> quantity + tradeState -> trade -> tradeLot -> priceQuantity -> quantity extract NonNegativeQuantitySchedule { value: 0.0, @@ -1410,9 +1435,6 @@ func Create_RollPrimitiveInstruction: <"Creates the primitive instructions for a output: instruction PrimitiveInstruction (1..1) - condition ContractualProduct: <"Only a contractual product can be rolled."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct exists - set instruction -> split -> breakdown: <"Sets the first part of the split to be a termination instruction for the existing trade."> [Create_TerminationInstruction(tradeState)] @@ -1425,7 +1447,7 @@ func Create_RollPrimitiveInstruction: <"Creates the primitive instructions for a lotIdentifier: empty }, termsChange: Create_RollTermChangeInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, effectiveRollDate, terminationDate ), @@ -1435,7 +1457,7 @@ func Create_RollPrimitiveInstruction: <"Creates the primitive instructions for a func Create_EffectiveOrTerminationDateTermChangeInstruction: <"Creates the relevant terms change primitive instruction object for rolling a contractual product, which consists in the same terms as the original contractual product but with different effective and termination dates."> inputs: - contractualProduct ContractualProduct (1..1) <"The original contractual product to be rolled."> + product NonTransferableProduct (1..1) <"The original contractual product to be rolled."> effectiveRollDate AdjustableOrRelativeDate (0..1) <"The date to close and open a new position."> terminationDate AdjustableOrRelativeDate (0..1) <"The new termination date."> output: @@ -1444,30 +1466,30 @@ func Create_EffectiveOrTerminationDateTermChangeInstruction: <"Creates the relev condition DateExists: effectiveRollDate exists or terminationDate exists - set termsChangeInstruction -> product -> contractualProduct: contractualProduct + set termsChangeInstruction -> product: product - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> effectiveDate: + set termsChangeInstruction -> product -> economicTerms -> effectiveDate: if effectiveRollDate exists then effectiveRollDate - else contractualProduct -> economicTerms -> effectiveDate + else product -> economicTerms -> effectiveDate - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> terminationDate: + set termsChangeInstruction -> product -> economicTerms -> terminationDate: if terminationDate exists then terminationDate - else contractualProduct -> economicTerms -> terminationDate + else product -> economicTerms -> terminationDate func Create_RollTermChangeInstruction: <"Creates the relevant terms change primitive instruction object for rolling a contractual product, which consists in the same terms as the original contractual product but with different effective and termination dates."> inputs: - contractualProduct ContractualProduct (1..1) <"The original contractual product to be rolled."> + product NonTransferableProduct (1..1) <"The original contractual product to be rolled."> effectiveRollDate AdjustableOrRelativeDate (1..1) <"The date to close and open a new position."> terminationDate AdjustableOrRelativeDate (1..1) <"The new termination date."> output: termsChangeInstruction TermsChangeInstruction (1..1) <"The relevant primitive instruction for the roll, which is a terms change."> - set termsChangeInstruction -> product -> contractualProduct: contractualProduct - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> effectiveDate: + set termsChangeInstruction -> product: product + set termsChangeInstruction -> product -> economicTerms -> effectiveDate: effectiveRollDate - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> terminationDate: + set termsChangeInstruction -> product -> economicTerms -> terminationDate: terminationDate func Qualify_Roll: <"Qualification of a roll event based on: (i) terminating a single existing trade, (ii) entering into a new trade with the same details as the old trade, except for the effective and termination date where the effective date. The roll qualification does not make any assumption on the resulting quantity which may change compared to the original trade (it may only be partially rolled). The price is also likely different as market conditions may have evolved."> @@ -1478,9 +1500,9 @@ func Qualify_Roll: <"Qualification of a roll event based on: (i) terminating a s is_event boolean (1..1) alias beforeEconomicterms: - businessEvent -> instruction only-element -> before -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms + businessEvent -> instruction only-element -> before -> trade -> product -> economicTerms alias openEconomicTerms: - FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms + FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> product -> economicTerms alias closedTradeState: FilterClosedTradeStates(businessEvent -> after) set is_event: @@ -1501,10 +1523,8 @@ func Create_OnDemandRateChangePrimitiveInstruction: <"Creates a full primitive i output: instruction PrimitiveInstruction (1..1) - condition ContractualProduct: <"Only a contractual product can have a rate change."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct exists condition SingleTradeLot: <"Rate change only works for a trade with a single trade lot."> - tradeState -> trade -> tradableProduct -> tradeLot count = 1 + tradeState -> trade -> tradeLot count = 1 set instruction -> split -> breakdown: <"Sets the first part of the split to be a termination instruction for the existing trade."> [Create_TerminationInstruction(tradeState)] @@ -1513,11 +1533,11 @@ func Create_OnDemandRateChangePrimitiveInstruction: <"Creates a full primitive i [ PrimitiveInstruction { quantityChange: Create_OnDemandRateChangePriceChangeInstruction( - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity, + tradeState -> trade -> tradeLot only-element -> priceQuantity, agreedRate ), termsChange: Create_OnDemandRateChangeTermsChangeInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, effectiveDate ), ... @@ -1567,14 +1587,14 @@ func Create_OnDemandRateChangePriceChangeInstruction: <"Creates a price change i func Create_OnDemandRateChangeTermsChangeInstruction: <"Creates a terms change instruction for an on-demand rate change, based on a new rate provided as a single number. This instruction only updates the effective date but keeps other details of the trade unchanged."> inputs: - contractualProduct ContractualProduct (1..1) <"The original contractual product whose rate is changed."> + product NonTransferableProduct (1..1) <"The original contractual product whose rate is changed."> effectiveDate AdjustableOrRelativeDate (1..1) <"The date to open the new position."> output: termsChangeInstruction TermsChangeInstruction (1..1) - set termsChangeInstruction -> product -> contractualProduct: <"Keep the same contractual product as the original trade"> - contractualProduct - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> effectiveDate: <"Updates the contractual product's effective date to be the new effective date."> + set termsChangeInstruction -> product: <"Keep the same contractual product as the original trade"> + product + set termsChangeInstruction -> product -> economicTerms -> effectiveDate: <"Updates the contractual product's effective date to be the new effective date."> effectiveDate func Qualify_OnDemandRateChange: <"The qualification of on an-demand rate change event from the fact that the only primitive is the reset."> @@ -1584,32 +1604,34 @@ func Qualify_OnDemandRateChange: <"The qualification of on an-demand rate change output: is_event boolean (1..1) - alias beforeTradableProduct: - businessEvent -> instruction only-element -> before -> trade -> tradableProduct + alias beforeTrade: + businessEvent -> instruction only-element -> before -> trade + alias beforeProduct: + beforeTrade -> product alias beforeEconomicterms: - beforeTradableProduct -> product -> contractualProduct -> economicTerms - alias openTradableProduct: - FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct + beforeProduct -> economicTerms + alias openTrade: + FilterOpenTradeStates(businessEvent -> after) only-element -> trade alias openEconomicTerms: - openTradableProduct -> product -> contractualProduct -> economicTerms + openTrade -> product -> economicTerms alias closedTradeState: FilterClosedTradeStates(businessEvent -> after) alias beforePriceQuantityRateOnly: <"The rate value before. There must be 1 and only 1."> - beforeTradableProduct -> tradeLot only-element -> priceQuantity + beforeTrade -> tradeLot only-element -> priceQuantity extract price then flatten then filter priceType = PriceTypeEnum -> InterestRate then extract value alias openPriceQuantityRateOnly: <"The rate value after. There must be 1 and only 1, and it must be different from the rate before."> - openTradableProduct -> tradeLot only-element -> priceQuantity + openTrade -> tradeLot only-element -> priceQuantity extract price then flatten then filter priceType = PriceTypeEnum -> InterestRate then extract value alias beforePriceQuantityNoRate: <"The price and quantity attributes before, excluding any rate price."> - beforeTradableProduct -> tradeLot only-element -> priceQuantity + beforeTrade -> tradeLot only-element -> priceQuantity extract PriceQuantity { price: price @@ -1620,7 +1642,7 @@ func Qualify_OnDemandRateChange: <"The qualification of on an-demand rate change } alias openPriceQuantityNoRate: <"The price and quantity attributes after, excluding any rate price. They must be equal to the price and quantity before, excluding any rate price"> - openTradableProduct -> tradeLot only-element -> priceQuantity + openTrade -> tradeLot only-element -> priceQuantity extract PriceQuantity { price: price @@ -1651,9 +1673,6 @@ func Create_CancellationPrimitiveInstruction: <"Creates a primitive instruction output: instruction PrimitiveInstruction (1..1) - condition ContractualProduct: <"If a contratual product can be cancelled."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct exists - set instruction -> split -> breakdown: <"Sets the first part of the split to be a termination instruction for the existing trade."> [Create_TerminationInstruction(tradeState)] @@ -1661,12 +1680,12 @@ func Create_CancellationPrimitiveInstruction: <"Creates a primitive instruction [ PrimitiveInstruction { quantityChange: QuantityChangeInstruction { - change: tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity, + change: tradeState -> trade -> tradeLot -> priceQuantity, direction: QuantityChangeDirectionEnum -> Replace, lotIdentifier: empty }, termsChange: Create_CancellationTermChangeInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, cancellationDate ), ... @@ -1675,13 +1694,13 @@ func Create_CancellationPrimitiveInstruction: <"Creates a primitive instruction func Create_CancellationTermChangeInstruction: <"Create a terms change instruction for a cancellation that consists in bringing the termination date forward."> inputs: - contractualProduct ContractualProduct (1..1) <"Contractual product of original trade"> + product NonTransferableProduct (1..1) <"Contractual product of original trade"> cancellationDate AdjustableOrRelativeDate (1..1) <"The new termination date."> output: termsChangeInstruction TermsChangeInstruction (1..1) - set termsChangeInstruction -> product -> contractualProduct: contractualProduct - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> terminationDate: + set termsChangeInstruction -> product: product + set termsChangeInstruction -> product -> economicTerms -> terminationDate: cancellationDate func Qualify_Cancellation: <"Qualification of an cancellation event."> @@ -1692,9 +1711,9 @@ func Qualify_Cancellation: <"Qualification of an cancellation event."> is_event boolean (1..1) alias closedEconomicTerms: - FilterClosedTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms + FilterClosedTradeStates(businessEvent -> after) only-element -> trade -> product -> economicTerms alias openEconomicTerms: - FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms + FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> product -> economicTerms set is_event: businessEvent -> instruction -> before count = 1 @@ -1728,10 +1747,10 @@ func Create_PairOffInstruction: <"Creates a set of instructions to pair-off a se item -> trade -> contractDetails -> documentation ), execution: ExecutionInstruction { - product: item -> trade -> tradableProduct -> product, - priceQuantity: item -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity, - counterparty: item -> trade -> tradableProduct -> counterparty, - ancillaryParty: item -> trade -> tradableProduct -> ancillaryParty, + product: item -> trade -> product, + priceQuantity: item -> trade -> tradeLot only-element -> priceQuantity, + counterparty: item -> trade -> counterparty, + ancillaryParty: item -> trade -> ancillaryParty, parties: item -> trade -> party, partyRoles: item -> trade -> partyRole, executionDetails: Create_PackageExecutionDetails( @@ -1768,7 +1787,11 @@ func Qualify_PairOff: <"Qualifies an event as a pair-off when all the details of newTradeInstruction count = businessEvent -> instruction count // All the trade details (except the execution instructions) are unchanged // and openTradeNoExecutionDetails = beforeTradeNoExecutionDetails - and openTradeState -> trade -> tradableProduct = newTradeInstruction -> before -> trade -> tradableProduct + and openTradeState -> trade -> product = newTradeInstruction -> before -> trade -> product + and openTradeState -> trade -> tradeLot = newTradeInstruction -> before -> trade -> tradeLot + and openTradeState -> trade -> counterparty = newTradeInstruction -> before -> trade -> counterparty + and openTradeState -> trade -> ancillaryParty = newTradeInstruction -> before -> trade -> ancillaryParty + and openTradeState -> trade -> adjustment = newTradeInstruction -> before -> trade -> adjustment // All open trades are associated to a package, and that package is the same across all trades and packageRef count = openTradeState count and packageRef distinct count = 1 @@ -1797,10 +1820,10 @@ func Create_ShapingInstruction: <"Creates a set of instructions to shape a trade tradeState -> trade -> contractDetails -> documentation ), execution: ExecutionInstruction { - product: tradeState -> trade -> tradableProduct -> product, - priceQuantity: tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity, - counterparty: tradeState -> trade -> tradableProduct -> counterparty, - ancillaryParty: tradeState -> trade -> tradableProduct -> ancillaryParty, + product: tradeState -> trade -> product, + priceQuantity: tradeState -> trade -> tradeLot only-element -> priceQuantity, + counterparty: tradeState -> trade -> counterparty, + ancillaryParty: tradeState -> trade -> ancillaryParty, parties: tradeState -> trade -> party, partyRoles: tradeState -> trade -> partyRole, executionDetails: Create_PackageExecutionDetails( @@ -1845,7 +1868,7 @@ func Qualify_Shaping: <"The qualification of a shaping event from the fact that // Open trade counterparties should match before trade counterparties and openTradeStates extract [ - item -> trade -> tradableProduct -> counterparty -> partyReference = beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + item -> trade -> counterparty -> partyReference = beforeTradeState -> trade -> counterparty -> partyReference ] all = True // All open trades are associated to a package, and that package is the same across all trades and packageRef count = openTradeNoExecutionDetails count @@ -1858,9 +1881,6 @@ func Create_PartialDeliveryPrimitiveInstruction: <"Creates the primitive instruc output: instruction PrimitiveInstruction (1..1) - condition ContractualProduct: <"This function applies to contractual products only."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct exists - set instruction -> split -> breakdown: <"Sets the first part of the split to be a termination instruction for the existing trade."> [Create_TerminationInstruction(tradeState)] @@ -1870,7 +1890,7 @@ func Create_PartialDeliveryPrimitiveInstruction: <"Creates the primitive instruc quantityChange: QuantityChangeInstruction { change: deliveredPriceQuantity, direction: QuantityChangeDirectionEnum -> Replace, - lotIdentifier: tradeState -> trade -> tradableProduct -> tradeLot -> lotIdentifier + lotIdentifier: tradeState -> trade -> tradeLot -> lotIdentifier }, ... } @@ -1890,14 +1910,14 @@ func Qualify_PartialDelivery: <"Qualification of a partial delivery which consti alias openTrades: FilterOpenTradeStates(businessEvent -> after) -> trade alias closedTradeState: FilterClosedTradeStates(businessEvent -> after) - alias beforeTradableProduct: ExtractBeforeTradableProduct(businessEvent) + alias beforeTrade: ExtractBeforeTrade(businessEvent) - alias afterTradableProduct: ExtractAfterTradableProduct(businessEvent) + alias afterTrade: ExtractAfterTrade(businessEvent) alias beforeTradeCollateralQuantity: - ExtractTradeCollateralQuantity(beforeTradableProduct) + ExtractTradeCollateralQuantity(beforeTrade) - alias afterTradeCollateralQuantity: ExtractTradeCollateralQuantity(afterTradableProduct) + alias afterTradeCollateralQuantity: ExtractTradeCollateralQuantity(afterTrade) set is_event: beforeEconomicterms exists @@ -1920,7 +1940,7 @@ func Create_RepricePrimitiveInstruction: <"Creates the primitive instructions fo instruction PrimitiveInstruction (1..1) alias oldPriceQuantity: - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity + tradeState -> trade -> tradeLot -> priceQuantity alias currentAssetPrice: <"Filter interest rate price and make it into a single element"> oldPriceQuantity @@ -1943,7 +1963,7 @@ func Create_RepricePrimitiveInstruction: <"Creates the primitive instructions fo } alias changeCashQuantity: <"Create distinct list of Quantity with value set to newAssetQuantity"> - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> quantity + tradeState -> trade -> tradeLot only-element -> priceQuantity -> quantity extract NonNegativeQuantitySchedule { value: newCashValue, @@ -1970,7 +1990,7 @@ func Create_RepricePrimitiveInstruction: <"Creates the primitive instructions fo lotIdentifier: empty }, termsChange: Create_EffectiveOrTerminationDateTermChangeInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, effectiveRepriceDate, empty ), @@ -1988,7 +2008,7 @@ func Create_AdjustmentPrimitiveInstruction: <"Creates the primitive instructions instruction PrimitiveInstruction (1..1) alias oldPriceQuantity: - tradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity + tradeState -> trade -> tradeLot -> priceQuantity alias currentAssetPrice: <"Filter interest rate price and make it into a single element"> oldPriceQuantity @@ -2011,7 +2031,7 @@ func Create_AdjustmentPrimitiveInstruction: <"Creates the primitive instructions } alias changeQuantity: <"Create distinct list of Quantity with value set to newAssetQuantity"> - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> quantity + tradeState -> trade -> tradeLot only-element -> priceQuantity -> quantity extract NonNegativeQuantitySchedule { value: newAssetQuantity, @@ -2027,11 +2047,8 @@ func Create_AdjustmentPrimitiveInstruction: <"Creates the primitive instructions ... } - condition ContractualProduct: <"This repricing function applies only to contractual products."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct exists - condition SingleTradeLot: <"This repricing function applies only to trades with a single lot."> - tradeState -> trade -> tradableProduct -> tradeLot count = 1 + tradeState -> trade -> tradeLot count = 1 set instruction -> split -> breakdown: [Create_TerminationInstruction(tradeState)] @@ -2044,7 +2061,7 @@ func Create_AdjustmentPrimitiveInstruction: <"Creates the primitive instructions lotIdentifier: empty }, termsChange: Create_EffectiveOrTerminationDateTermChangeInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, effectiveRepriceDate, empty ), @@ -2062,29 +2079,29 @@ func Qualify_Reprice: <"This qualification function is used to qualify repricing alias openTrades: FilterOpenTradeStates(businessEvent -> after) -> trade alias closedTradeState: FilterClosedTradeStates(businessEvent -> after) - alias beforeTradableProduct: ExtractBeforeTradableProduct(businessEvent) + alias beforeTrade: ExtractBeforeTrade(businessEvent) - alias afterTradableProduct: ExtractAfterTradableProduct(businessEvent) + alias afterTrade: ExtractAfterTrade(businessEvent) - alias beforeTradePurchasePrice: ExtractTradePurchasePrice(beforeTradableProduct) + alias beforeTradePurchasePrice: ExtractTradePurchasePrice(beforeTrade) - alias afterTradePurchasePrice: ExtractTradePurchasePrice(afterTradableProduct) + alias afterTradePurchasePrice: ExtractTradePurchasePrice(afterTrade) alias beforeTradeCollateralQuantity: - ExtractTradeCollateralQuantity(beforeTradableProduct) + ExtractTradeCollateralQuantity(beforeTrade) - alias afterTradeCollateralQuantity: ExtractTradeCollateralQuantity(afterTradableProduct) + alias afterTradeCollateralQuantity: ExtractTradeCollateralQuantity(afterTrade) - alias beforeTradeCollateralPrice: ExtractTradeCollateralPrice(beforeTradableProduct) + alias beforeTradeCollateralPrice: ExtractTradeCollateralPrice(beforeTrade) - alias afterTradeCollateralPrice: ExtractTradeCollateralPrice(afterTradableProduct) + alias afterTradeCollateralPrice: ExtractTradeCollateralPrice(afterTrade) alias beforeEconomicterms: ExtractBeforeEconomicTerms(businessEvent) alias openEconomicTerms: ExtractOpenEconomicTerms(businessEvent) set is_event: - businessEvent -> after -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout exists + businessEvent -> after -> trade -> product -> economicTerms -> payout -> interestRatePayout exists and openTrades count = 1 and closedTradeState count = 1 and beforeTradePurchasePrice exists @@ -2103,29 +2120,29 @@ func Qualify_Adjustment: <"This qualification function is used to qualify adjust output: is_event boolean (1..1) - alias beforeTradableProduct: ExtractBeforeTradableProduct(businessEvent) + alias beforeTrade: ExtractBeforeTrade(businessEvent) - alias afterTradableProduct: ExtractAfterTradableProduct(businessEvent) + alias afterTrade: ExtractAfterTrade(businessEvent) - alias beforeTradePurchasePrice: ExtractTradePurchasePrice(beforeTradableProduct) + alias beforeTradePurchasePrice: ExtractTradePurchasePrice(beforeTrade) - alias afterTradePurchasePrice: ExtractTradePurchasePrice(afterTradableProduct) + alias afterTradePurchasePrice: ExtractTradePurchasePrice(afterTrade) alias beforeTradeCollateralQuantity: - ExtractTradeCollateralQuantity(beforeTradableProduct) + ExtractTradeCollateralQuantity(beforeTrade) - alias afterTradeCollateralQuantity: ExtractTradeCollateralQuantity(afterTradableProduct) + alias afterTradeCollateralQuantity: ExtractTradeCollateralQuantity(afterTrade) - alias beforeTradeCollateralPrice: ExtractTradeCollateralPrice(beforeTradableProduct) + alias beforeTradeCollateralPrice: ExtractTradeCollateralPrice(beforeTrade) - alias afterTradeCollateralPrice: ExtractTradeCollateralPrice(afterTradableProduct) + alias afterTradeCollateralPrice: ExtractTradeCollateralPrice(afterTrade) alias beforeEconomicterms: ExtractBeforeEconomicTerms(businessEvent) alias openEconomicTerms: ExtractOpenEconomicTerms(businessEvent) set is_event: - businessEvent -> after -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout exists + businessEvent -> after -> trade -> product -> economicTerms -> payout -> interestRatePayout exists and openEconomicTerms -> payout = beforeEconomicterms -> payout and beforeTradePurchasePrice exists and afterTradePurchasePrice exists @@ -2146,8 +2163,8 @@ func Create_SubstitutionPrimitiveInstruction: <"Creates the primitive instructio output: instruction PrimitiveInstruction (1..1) - condition ContractualProduct: <"Only a security finance contractual product can substitute collateral."> - tradeState -> trade -> tradableProduct -> product -> contractualProduct exists + condition SecurityFinance: <"Only security finance products can substitute collateral."> + tradeState -> trade -> product -> economicTerms -> collateral exists set instruction: <"Sets the second part of the split to be a new contract with a new asset payout."> PrimitiveInstruction { @@ -2157,7 +2174,7 @@ func Create_SubstitutionPrimitiveInstruction: <"Creates the primitive instructio lotIdentifier: empty }, termsChange: Create_SubstitutionInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, effectiveDate, newCollateralPortfolio ), @@ -2166,7 +2183,7 @@ func Create_SubstitutionPrimitiveInstruction: <"Creates the primitive instructio func Create_SubstitutionInstruction: <"Creates the terms change instruction that updates the payout with the new substitution payout."> inputs: - contractualProduct ContractualProduct (1..1) <"The original contractual product to be used as the basis of the new trade."> + product NonTransferableProduct (1..1) <"The original contractual product to be used as the basis of the new trade."> effectiveDate AdjustableOrRelativeDate (1..1) <"The effective date of the substitution."> newCollateralPortfolio CollateralPortfolio (1..1) <"New collateral portfolio to substitute for the original collateral."> output: @@ -2174,12 +2191,12 @@ func Create_SubstitutionInstruction: <"Creates the terms change instruction that set termsChangeInstruction: Create_EffectiveOrTerminationDateTermChangeInstruction( - contractualProduct, + product, effectiveDate, empty ) - set termsChangeInstruction -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio: + set termsChangeInstruction -> product -> economicTerms -> collateral -> collateralPortfolio: newCollateralPortfolio func Qualify_Substitution: <"Qualification of a collateral substitution event."> @@ -2245,7 +2262,7 @@ func Create_OnDemandInterestPaymentPrimitiveInstruction: <"An instruction to mak instruction PrimitiveInstruction (1..1) <"Result is a Terms Change Instruction."> alias interestRatePayout: - tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout only-element + tradeState -> trade -> product -> economicTerms -> payout -> interestRatePayout only-element alias cashflow: <"A fully structured CashFlow or the following need to be provided to create a cashflow."> Create_Cashflow( @@ -2269,7 +2286,7 @@ func Create_OnDemandInterestPaymentPrimitiveInstruction: <"An instruction to mak set instruction: PrimitiveInstruction { termsChange: Create_CashflowTermsChangeInstruction( - tradeState -> trade -> tradableProduct -> product -> contractualProduct, + tradeState -> trade -> product, cashflow ), ... @@ -2285,9 +2302,9 @@ func Qualify_OnDemandPayment: <"Qualification of a on-demand payment."> alias afterTradeStates: FilterOpenTradeStates(businessEvent -> after) alias beforeCashFlow: - FilterClosedTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> cashflow + FilterClosedTradeStates(businessEvent -> after) only-element -> trade -> product -> economicTerms -> payout -> cashflow alias afterCashFlow: - FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> cashflow + FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> product -> economicTerms -> payout -> cashflow set is_event: businessEvent -> instruction -> before count = 1 @@ -2299,13 +2316,13 @@ func Qualify_OnDemandPayment: <"Qualification of a on-demand payment."> func Create_CashflowTermsChangeInstruction: inputs: - contractualProduct ContractualProduct (1..1) + product NonTransferableProduct (1..1) cashFlow Cashflow (1..1) output: termsChangeInstruction TermsChangeInstruction (1..1) - set termsChangeInstruction -> product -> contractualProduct: contractualProduct - add termsChangeInstruction -> product -> contractualProduct -> economicTerms -> payout -> cashflow: + set termsChangeInstruction -> product: product + add termsChangeInstruction -> product -> economicTerms -> payout -> cashflow: cashFlow func Create_Cashflow: @@ -2344,7 +2361,7 @@ func Create_TerminationInstruction: <"Creates the relevant primitive instruction instruction PrimitiveInstruction (1..1) alias changeQuantity: <"Create distinct list of Quantity with value set to zero."> - tradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> quantity + tradeState -> trade -> tradeLot only-element -> priceQuantity -> quantity extract NonNegativeQuantitySchedule { value: 0.0, @@ -2509,7 +2526,7 @@ func ExtractBeforeEconomicTerms: economicTerms EconomicTerms (0..1) set economicTerms: - businessEvent -> instruction only-element -> before -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms + businessEvent -> instruction only-element -> before -> trade -> product -> economicTerms func ExtractOpenEconomicTerms: inputs: @@ -2518,25 +2535,25 @@ func ExtractOpenEconomicTerms: economicTerms EconomicTerms (0..1) set economicTerms: - FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms + FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> product -> economicTerms -func ExtractBeforeTradableProduct: +func ExtractBeforeTrade: inputs: businessEvent BusinessEvent (1..1) output: - tradableProduct TradableProduct (0..1) + trade Trade (0..1) - set tradableProduct: - businessEvent -> instruction only-element -> before -> trade -> tradableProduct + set trade: + businessEvent -> instruction only-element -> before -> trade -func ExtractAfterTradableProduct: +func ExtractAfterTrade: inputs: businessEvent BusinessEvent (1..1) output: - tradableProduct TradableProduct (0..1) + trade Trade (0..1) - set tradableProduct: - FilterOpenTradeStates(businessEvent -> after) only-element -> trade -> tradableProduct + set trade: + FilterOpenTradeStates(businessEvent -> after) only-element -> trade func ExtractTradePurchasePrice: inputs: diff --git a/rosetta-source/src/main/rosetta/event-common-type.rosetta b/rosetta-source/src/main/rosetta/event-common-type.rosetta index ddfc01cd56..9dad3c89cf 100644 --- a/rosetta-source/src/main/rosetta/event-common-type.rosetta +++ b/rosetta-source/src/main/rosetta/event-common-type.rosetta @@ -21,34 +21,9 @@ import cdm.product.asset.* import cdm.product.collateral.* import cdm.product.common.* import cdm.product.common.settlement.* +import cdm.product.qualification.* import cdm.product.template.* -type Confirmation: <"A class to specify a trade confirmation."> - - identifier Identifier (1..*) <"The identifier(s) associated with the trade and resulting confirmation."> - party Party (1..*) <"The parties associated with the trade."> - partyRole PartyRole (1..*) <"The role(s) that party(ies) may have in relation to the trade"> - lineage Lineage (0..1) <"The lineage attribute provides a linkage to previous lifecycle events and associated data."> - status ConfirmationStatusEnum (1..1) - - condition BothBuyerAndSellerPartyRolesMustExist: <"For an security confirmation, both buyer and seller party roles must exist."> - if lineage -> tradeReference -> tradableProduct -> product -> security exists - then partyRole -> role contains PartyRoleEnum -> Buyer - or partyRole -> role contains PartyRoleEnum -> Seller - -type Affirmation: <"A class to specify a trade affirmation."> - - identifier Identifier (1..*) <"The identifier(s) associated with the trade and resulting confirmation."> - party Party (1..*) <"The parties associated with the trade."> - partyRole PartyRole (1..*) <"The role(s) that party(ies) may have in relation to the trade"> - lineage Lineage (0..1) <"The lineage attribute provides a linkage to previous lifecycle events and associated data."> - status AffirmationStatusEnum (1..1) - - condition BothBuyerAndSellerPartyRolesMustExist: <"For an security affirmation, both buyer and seller party roles must exist."> - if lineage -> tradeReference -> tradableProduct -> product -> security exists - then partyRole -> role contains PartyRoleEnum -> Buyer - or partyRole -> role contains PartyRoleEnum -> Seller - type ContractFormationInstruction: <"Specifies instructions to create a fully formed contract, with optional legal agreements."> legalAgreement LegalAgreement (0..*) <"Optional legal agreements associated to the contract being formed, for instance a master agreement."> condition ExecutedAgreements: <"The full formation of a contract can only be completed with executed legal agreements."> @@ -110,7 +85,7 @@ type ValuationInstruction: <"Specifies inputs needed to process a valuation."> replace boolean (1..1) <"Specifies whether the previous valuation tracks in the valuation history are removed (True) or kept (False)."> type ExecutionInstruction: <"Specifies instructions for execution of a transaction, consisting of a product, price, quantity, parties, trade identifier, execution details, and settlement terms."> - product Product (1..1) <"Defines the financial product to be executed and contract formed."> + product NonTransferableProduct (1..1) <"Defines the financial product to be executed and contract formed."> priceQuantity PriceQuantity (1..*) <"Defines the prices (e.g. spread, equity price, FX rate), quantities (e.g. currency amount, no. shares) and settlement terms (e.g. initial fee, broker fee, up-front cds payment or option premium settlement) associated with the constituents of the transacted product."> counterparty Counterparty (2..2) <"Maps two defined parties to counterparty enums for the transacted product."> ancillaryParty AncillaryParty (0..*) <"Maps any ancillary parties, e.g. parties involved in the transaction that are not one of the two principal parties."> @@ -164,11 +139,11 @@ type IndexTransitionInstruction: <"Defines the information needed to create a In condition PriceQuantity: priceQuantity -> price -> priceType contains PriceTypeEnum -> InterestRate - and priceQuantity -> observable -> rateOption exists + and priceQuantity -> observable -> Index -> FloatingRateIndex exists and priceQuantity -> quantity is absent type TermsChangeInstruction: <"Specifies instructions for terms change consisting of the new transaction terms, and the renegotiation fee."> - product Product (0..1) <"product to be changed"> + product NonTransferableProduct (0..1) <"product to be changed"> ancillaryParty AncillaryParty (0..*) <"ancillary party to be changed"> adjustment NotionalAdjustmentEnum (0..1) @@ -236,7 +211,7 @@ type TransferState: <"Defines the fundamental financial information associated w transfer Transfer (1..1) <"Represents the Transfer that has been effected by a business or life-cycle event."> transferStatus TransferStatusEnum (0..1) <"Represents the State of the Transfer through its life-cycle."> -type Transfer extends TransferBase: <"Defines the movement of cash, securities or commodities between two parties on a date."> +type Transfer extends TransferBase: <"Defines the movement of an Asset (eg cash, securities or commodities) between two parties on a date."> settlementOrigin SettlementOrigin (0..1) <"Represents the origin to the transfer as a reference for lineage purposes, whether it originated from trade level settlement terms or from payment terms on an economic payout."> resetOrigin Reset (0..1) <"Represents the reset and observation values that were used to determine the transfer amount."> transferExpression TransferExpression (1..1) <"Specifies a transfer expression (cash price, performance amount, scheduled payment amount, etc.) to define the nature of the transfer amount and its source."> @@ -262,7 +237,7 @@ type SettlementOrigin: <"Defines the origin to the transfer as a reference for l [metadata reference] creditDefaultPayout CreditDefaultPayout (0..1) <"Represents a reference to a Credit Default Payout."> [metadata reference] - forwardPayout ForwardPayout (0..1) <"Represents a reference to a Forward Payout."> + settlementPayout SettlementPayout (0..1) <"Represents a reference to a Settlement Payout."> [metadata reference] interestRatePayout InterestRatePayout (0..1) <"Represents a reference to an Interest Rate Payout."> [metadata reference] @@ -298,7 +273,7 @@ type Valuation: <"Defines the value of an investment, asset, or security"> condition ValuationType: <"The below condition ensures one and only one of the two attributes: 'Valuation Method' or 'Valuation Source' is allowed. Valuation of a trade or a portfolio is either internally calculated (via M2Market or M2Model methods) or supplied from an external source (e.g Central Counterparty's Valuation). Valuation cannot be based upon internal calculations and external source at the same time."> required choice method, source -type Trade: <"Defines the output of a financial transaction between parties - a Business Event. A Trade impacts the financial position (i.e. the balance sheet) of involved parties."> +type Trade extends TradableProduct: <"Defines the output of a financial transaction between parties - a Business Event. A Trade impacts the financial position (i.e. the balance sheet) of involved parties."> [metadata key] [docReference ICMA GMRA namingConvention "Transaction" provision "As defined in the GMRA, paragraph 1(a) and 1(b) Referring to the agreement between Buyer and Seller in which a Seller agrees to sell Securities against the payment of the purchase price by Buyer to Seller, with a simultaneous agreement by Buyer to sell to Seller Equivalent Securities at a future date. May be a Repurchase Transaction or Buy/Sell Back Transaction."] @@ -307,7 +282,6 @@ type Trade: <"Defines the output of a financial transaction between parties - a [metadata id] tradeTime TimeZone (0..1) <"Denotes the trade time and timezone as agreed by the parties to the trade."> [metadata id] - tradableProduct TradableProduct (1..1) <"Represents the financial instrument The corresponding FpML construct is the product abstract element and the associated substitution group."> party Party (0..*) <"Represents the parties to the trade. The cardinality is optional to address the case where the trade is defined within a BusinessEvent data type, in which case the party is specified in BusinessEvent."> partyRole PartyRole (0..*) <"Represents the role each specified party takes in the trade. further to the principal roles, payer and receiver."> executionDetails ExecutionDetails (0..1) <"Represents information specific to trades that arose from executions."> @@ -318,21 +292,11 @@ type Trade: <"Defines the output of a financial transaction between parties - a account Account (0..*) <"Represents a party's granular account information, which may be used in subsequent internal processing."> [deprecated] - // condition SecurityPartyRole: <"When the executed product is a security, both ExecutingEntity and Counterparty party roles must exist."> - // if tradableProduct -> product -> security exists - // then partyRole -> role contains PartyRoleEnum -> ExecutingEntity and partyRole -> role contains PartyRoleEnum -> Counterparty - condition SecurityPartyRoleBuyerSeller: <"When the executed product is a security, both buyer and seller party roles must exist."> - if tradableProduct -> product -> security exists + condition SettlementPayout: <"When the product uses a settlement payout, both buyer and seller party roles, and a price, must exist."> + if product -> economicTerms -> payout -> settlementPayout only exists then partyRole -> role contains PartyRoleEnum -> Buyer and partyRole -> role contains PartyRoleEnum -> Seller - - condition SecurityPrice: <"When the executed product is a security, the price must be specified."> - if tradableProduct -> product -> security exists - then tradableProduct -> tradeLot -> priceQuantity -> price exists - - condition SettlementTerms: <"When the executed product is a security, the settlement terms must be specified."> - if tradableProduct -> product -> security exists - then tradableProduct -> tradeLot only-element -> priceQuantity -> settlementTerms exists + and tradeLot -> priceQuantity -> price exists condition PackageTrade: <"When the trade is part of a package as specified in the execution details, the trade identifier must be found as one of the package components."> if executionDetails -> packageReference exists @@ -341,80 +305,80 @@ type Trade: <"Defines the output of a financial transaction between parties - a condition DeliverableObligationsPhysicalSettlementMatrix: <"The below set of credit deliverable obligation provisions are specified as optional boolean in FpML and the CDM because they would be specified as part of the Physical Settlement Matrix when such document governs the contract terms. As a result, this data rule specifies that those provisions cannot be omitted if the Credit Derivatives Physical Settlement Matrix doesn't governs the terms of the contract."> if (contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType all <> MatrixTypeEnum -> CreditDerivativesPhysicalSettlementMatrix or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType is absent) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations exists - then (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notSubordinated exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> specifiedCurrency exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notSovereignLender exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notDomesticCurrency exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notDomesticLaw exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notContingent exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notDomesticIssuance exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> assignableLoan exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> consentRequiredLoan exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> transferable exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> maximumMaturity exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notBearer exists) - and (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> fullFaithAndCreditObLiability exists - or tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> generalFundObligationLiability exists - or tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> revenueObligationLiability exists) + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations exists + then (product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notSubordinated exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> specifiedCurrency exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notSovereignLender exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notDomesticCurrency exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notDomesticLaw exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notContingent exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notDomesticIssuance exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> assignableLoan exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> consentRequiredLoan exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> transferable exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> maximumMaturity exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> notBearer exists) + and (product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> fullFaithAndCreditObLiability exists + or product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> generalFundObligationLiability exists + or product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> revenueObligationLiability exists) condition ObligationsPhysicalSettlementMatrix: <"The below set of obligation of the reference entity are specified as optional boolean in FpML and the CDM because they would be specified as part of the Physical Settlement Matrix when such document governs the contract terms. As a result, this data rule specifies that those provisions cannot be omitted if the Physical Settlement Matrix governs the terms of the contract. This data rule also applies to cash settled contracts because those could still end-up being physically settled, in case the case where an auction could not take place because of, say, liquidity considerations."> if (contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType all <> MatrixTypeEnum -> CreditDerivativesPhysicalSettlementMatrix or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType is absent) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations exists - then (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notSubordinated exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notSovereignLender exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notDomesticLaw exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notDomesticIssuance exists) - and (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> fullFaithAndCreditObLiability exists - or tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> generalFundObligationLiability exists - or tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> revenueObligationLiability exists) + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations exists + then (product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notSubordinated exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notSovereignLender exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notDomesticLaw exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notDomesticIssuance exists) + and (product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> fullFaithAndCreditObLiability exists + or product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> generalFundObligationLiability exists + or product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> revenueObligationLiability exists) condition CreditEventsPhysicalSettlementMatrix: <"The below set of credit events are specified as optional boolean in FpML and the CDM because they would be specified as part of the Physical Settlement Matrix when such document governs the contract terms. As a result, this data rule specifies that those provisions can only be omitted if the Physical Settlement Matrix governs the terms of the contract. This data rule also applies to cash settled contracts because those could still end-up being physically settled, in the case where an auction could not take place because of, say, liquidity considerations."> if (contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType all <> MatrixTypeEnum -> CreditDerivativesPhysicalSettlementMatrix or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType is absent) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents exists - then (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> bankruptcy exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> obligationDefault exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> obligationAcceleration exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> repudiationMoratorium exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> governmentalIntervention exists) + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents exists + then (product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> bankruptcy exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> obligationDefault exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> obligationAcceleration exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> repudiationMoratorium exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> governmentalIntervention exists) condition RestructuringPhysicalSettlementMatrix: <"The below multiple holder obligation restructuring provisions is specified as optional boolean in FpML and the CDM because they would be specified as part of the Physical Settlement Matrix when such document governs the contract terms. As a result, this data rule specifies that this provision can only be omitted if the Physical Settlement Matrix governs the terms of the contract. This data rule also applies to cash settled contracts because those could still end-up being physically settled, in the case where an auction could not take place because of, say, liquidity considerations."> if (contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType all <> MatrixTypeEnum -> CreditDerivativesPhysicalSettlementMatrix or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix -> matrixType is absent) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring -> multipleHolderObligation exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring exists + then product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring -> multipleHolderObligation exists condition AdditionalFixedPaymentsMortgages: <"The below set of additional fixed payment provisions are specified as optional boolean in FpML and the CDM because they only apply to mortgage credit default swaps. As a result, this data rule specifies that those provisions are required if the contract corresponds to a mortgage credit default swap. The provision related to the existence of the Contractual Term Supplement is meant to address the case where the underlier is a mortgage index."> - if ((tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> securityType any = SecurityTypeEnum -> Debt - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> debtType -> debtClass any = DebtClassEnum -> AssetBacked) + if ((product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> securityType any = SecurityTypeEnum -> Debt + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> debtType -> debtClass any = DebtClassEnum -> AssetBacked) or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualTermsSupplement -> contractualTermsSupplementType contains ContractualSupplementTypeEnum -> CDSonMBS) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents exists - then (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> additionalFixedPayments -> interestShortfallReimbursement exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> additionalFixedPayments -> principalShortfallReimbursement exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> additionalFixedPayments -> writedownReimbursement exists) + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents exists + then (product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> additionalFixedPayments -> interestShortfallReimbursement exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> additionalFixedPayments -> principalShortfallReimbursement exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> additionalFixedPayments -> writedownReimbursement exists) condition FloatingAmountEventsMortgages: <"The below set of floating amount events provisions are specified as optional boolean in FpML and the CDM because they only apply to mortgage credit default swaps. As a result, this data rule specifies that those provisions are required if the contract corresponds to a mortgage credit default swap. The provision related to the existence of the Contractual Term Supplement is meant to address the case where the underlier is a mortgage index."> - if ((tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> securityType any = SecurityTypeEnum -> Debt - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> debtType -> debtClass any = DebtClassEnum -> AssetBacked) + if ((product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> securityType any = SecurityTypeEnum -> Debt + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> debtType -> debtClass any = DebtClassEnum -> AssetBacked) or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualTermsSupplement -> contractualTermsSupplementType contains ContractualSupplementTypeEnum -> CDSonMBS) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents exists - then (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> failureToPayPrincipal exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> writedown exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> impliedWritedown exists) + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents exists + then (product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> failureToPayPrincipal exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> writedown exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> floatingAmountEvents -> impliedWritedown exists) condition CreditEventsMortgages: <"The below set of credit events provisions are specified as optional boolean in FpML and the CDM because they only apply to mortgage credit default swaps. As a result, this data rule specifies that those provisions are required if the contract corresponds to a mortgage credit default swap. The provision related to the existence of the Contractual Term Supplement is meant to address the case where the underlier is a mortgage index."> - if ((tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> securityType any = SecurityTypeEnum -> Debt - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> debtType -> debtClass any = DebtClassEnum -> AssetBacked) + if ((product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> securityType any = SecurityTypeEnum -> Debt + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referenceObligation -> security -> debtType -> debtClass any = DebtClassEnum -> AssetBacked) or contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualTermsSupplement -> contractualTermsSupplementType contains ContractualSupplementTypeEnum -> CDSonMBS) - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents exists - then (tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> failureToPayPrincipal exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> failureToPayInterest exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> distressedRatingsDowngrade exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> maturityExtension exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> writedown exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> impliedWritedown exists) + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents exists + then (product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> failureToPayPrincipal exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> failureToPayInterest exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> distressedRatingsDowngrade exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> maturityExtension exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> writedown exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> impliedWritedown exists) condition HedgingParty: <"FpML specifies that there cannot be more than 2 hedging parties."> if partyRole -> role contains PartyRoleEnum -> HedgingParty @@ -432,88 +396,89 @@ type Trade: <"Defines the output of a financial transaction between parties - a if clearedDate exists then clearedDate >= tradeDate condition FpML_cd_1: <"FpML validation rule cd-1 - If referenceInformation exists, tradeDate must be before effectiveDate/unadjustedDate."> - if tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - then tradeDate < tradableProduct -> product -> contractualProduct -> economicTerms -> effectiveDate -> adjustableDate -> unadjustedDate or tradeDate < tradableProduct -> product -> contractualProduct -> economicTerms -> effectiveDate -> adjustableDate -> adjustedDate + if product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + then tradeDate < product -> economicTerms -> effectiveDate -> adjustableDate -> unadjustedDate or tradeDate < product -> economicTerms -> effectiveDate -> adjustableDate -> adjustedDate condition FpML_cd_7: <"FpML validation rule cd-7 - If condition LongForm is true, then effectiveDate/dateAdjustments exists."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate -> dateAdjustments exists or tradeDate < tradableProduct -> product -> contractualProduct -> economicTerms -> effectiveDate -> adjustableDate -> adjustedDate + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + then product -> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate -> dateAdjustments exists or tradeDate < product -> economicTerms -> effectiveDate -> adjustableDate -> adjustedDate condition FpML_cd_8: <"FpML validation rule cd-8 - If condition LongForm is true, and if scheduledTerminationDate exists then scheduledTerminationDate/dateAdjustments exists."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> terminationDate -> adjustableDate -> dateAdjustments exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + then product -> economicTerms -> terminationDate -> adjustableDate -> dateAdjustments exists condition FpML_cd_11: <"FpML validation rule cd-11 - If condition LongForm is true, and if condition ISDA2003 is true, then allGuarantees must exist."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualDefinitionsType any = ContractualDefinitionsEnum -> ISDA2003CreditDerivatives - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> allGuarantees exists + then product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> allGuarantees exists condition FpML_cd_19: <"FpML validation rule cd-19 - If the condition ISDA1999Credit is true, then the following elements must not exist: protectionTerms/creditEvents/creditEventNotice/businessCenter, protectionTerms/creditEvents/restructuring/multipleHolderObligation, protectionTerms/creditEvents/restructuring/multipleCreditEventNotices, generalTerms/referenceInformation/allGuarantees, generalTerms/indexReferenceInformation, generalTerms/substitution, generalTerms/modifiedEquityDelivery."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualDefinitionsType any = ContractualDefinitionsEnum -> ISDA1999CreditDerivatives - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> creditEventNotice -> businessCenter is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring -> multipleHolderObligation is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring -> multipleCreditEventNotices is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> allGuarantees is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> indexReferenceInformation is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> substitution is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> modifiedEquityDelivery is absent + then product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> creditEventNotice -> businessCenter is absent + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring -> multipleHolderObligation is absent + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> restructuring -> multipleCreditEventNotices is absent + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> allGuarantees is absent + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> indexReferenceInformation is absent + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> substitution is absent + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> modifiedEquityDelivery is absent condition FpML_cd_20: <"FpML validation rule cd-20 - If the condition ISDA2003 is true, then protectionTerms/obligations/notContingent must not exist."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualDefinitionsType any = ContractualDefinitionsEnum -> ISDA2003CreditDerivatives - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notContingent is absent + then product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations -> notContingent is absent condition FpML_cd_23: <"FpML validation rule cd-23 - If the condition LongForm is true, then cashSettlementTerms or physicalSettlementTerms must exist."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> cashSettlementTerms exists - or tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + then product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> cashSettlementTerms exists + or product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms exists condition FpML_cd_24: <"FpML validation rule cd-24 - If the condition LongForm is true, then the following elements must exist: protectionTerms/creditEvents/creditEventNotice, protectionTerms/obligations, generalTerms/referenceInformation/referencePrice."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> creditEventNotice exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referencePrice exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + then product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> creditEvents -> creditEventNotice exists + and product -> economicTerms -> payout -> creditDefaultPayout -> protectionTerms -> obligations exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation -> referencePrice exists condition FpML_cd_25: <"FpML validation rule cd-25 - If the condition LongForm is true, and if physicalSettlementTerms exists, then physicalSettlementTerms must contain settlementCurrency, physicalSettlementPeriod, escrow and deliverableObligations/accruedInterest."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> settlementCurrency exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> physicalSettlementPeriod exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> escrow exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> accruedInterest exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms exists + then product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> settlementCurrency exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> physicalSettlementPeriod exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> escrow exists + and product -> economicTerms -> payout -> creditDefaultPayout -> settlementTerms -> physicalSettlementTerms -> deliverableObligations -> accruedInterest exists condition FpML_cd_32: <"FpML validation rule cd-32 - If condition LongForm is true, and if fixedAmountCalculation/calculationAmount exists, then fixedAmountCalculation/dayCountFraction must exist."> if contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> masterConfirmationType is absent and contractDetails -> documentation -> legalAgreementIdentification -> agreementName -> contractualMatrix is absent - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists - and tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> priceQuantity exists - and tradableProduct -> tradeLot -> priceQuantity -> quantity -> value exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> dayCountFraction exists + and product -> economicTerms -> payout -> creditDefaultPayout -> generalTerms -> referenceInformation exists + and product -> economicTerms -> payout -> interestRatePayout -> priceQuantity exists + and tradeLot -> priceQuantity -> quantity -> value exists + then product -> economicTerms -> payout -> interestRatePayout -> dayCountFraction exists condition FpML_ird_8: <"FpML validation rule ird-8 - If the same party is specified as the payer and receiver, then different accounts must be specified."> - if tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> interestRatePayout exists - then FpmlIrd8(tradableProduct, account) = True + if product -> economicTerms -> payout -> interestRatePayout exists + then FpmlIrd8(item,account) = True - condition ExtraordinaryEvents: <"Extraordinary events provisions must be associated with an equity payout."> + condition ExtraordinaryEvents: <"Extraordinary events provisions must be associated with an equity payout or an equity option payout."> if contractDetails -> documentation -> agreementTerms -> agreement -> transactionAdditionalTerms -> equityAdditionalTerms -> extraordinaryEvents exists - then tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> performancePayout -> returnTerms -> priceReturnTerms exists // and performancePayout underlier must be security - or tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> optionPayout -> underlier -> security exists + then ( product -> economicTerms -> payout -> performancePayout -> returnTerms -> priceReturnTerms exists + or product -> economicTerms -> payout -> optionPayout exists ) + and Qualify_AssetClass_Equity(product -> economicTerms) condition DisruptionEventsDeterminingParty: if contractDetails -> documentation -> agreementTerms -> agreement -> transactionAdditionalTerms -> equityAdditionalTerms -> extraordinaryEvents -> additionalDisruptionEvents -> determiningParty exists - then tradableProduct -> ancillaryParty -> role contains AncillaryRoleEnum -> DisruptionEventsDeterminingParty - and if tradableProduct -> ancillaryParty -> role contains AncillaryRoleEnum -> DisruptionEventsDeterminingParty + then ancillaryParty -> role contains AncillaryRoleEnum -> DisruptionEventsDeterminingParty + and if ancillaryParty -> role contains AncillaryRoleEnum -> DisruptionEventsDeterminingParty then contractDetails -> documentation -> agreementTerms -> agreement -> transactionAdditionalTerms -> equityAdditionalTerms -> extraordinaryEvents -> additionalDisruptionEvents -> determiningParty exists type ExecutionDetails: <"Defines specific attributes that relate to trade executions."> @@ -559,11 +524,11 @@ type CreditEvent: <"Specifies the relevant data regarding a credit event."> publiclyAvailableInformation Resource (0..*) <"A public information source, e.g. a particular newspaper or electronic news service, that may publish relevant information used in the determination of whether or not a credit event has occurred."> referenceInformation ReferenceInformation (1..1) <"The reference entity, part of a credit basket, impacted by the credit event."> -type CorporateAction: <"Specifies the relevant data regarding a corporate action"> +type CorporateAction: <"Specifies the relevant data regarding a corporate action."> corporateActionType CorporateActionTypeEnum (1..1) <"The type of corporate action taking place."> exDate date (1..1) <"The date on which the corporate action is known to have taken place."> payDate date (1..1) <"The date on which resulting from the corporate action are delivered."> - underlier Product (1..1) <"The entity impacted by the corporate action."> + underlier Instrument (1..1) <"The instrument (ie security, loan or listed derivative) impacted by the corporate action."> type TransferBase: identifier Identifier (0..*) <"Represents a unique reference to the transfer."> @@ -754,3 +719,4 @@ type MarginCallResponse extends MarginCallBase: <"Represents common attributes r marginCallResponseAction MarginCallResponseAction (1..*) <"Specifies the margin call action details, including collateral to be moved and direction."> marginResponseType MarginCallResponseTypeEnum (1..1) <"Indicates the response type, such as, is the margin call response a 'full' 'part' agreement or 'dispute'."> agreedAmountBaseCurrency Money (1..1) <"Indicates the amount that posting entity agrees to remit in response to margin call (in base currency)."> + \ No newline at end of file diff --git a/rosetta-source/src/main/rosetta/event-position-func.rosetta b/rosetta-source/src/main/rosetta/event-position-func.rosetta index 970f0fbeec..37132500bc 100644 --- a/rosetta-source/src/main/rosetta/event-position-func.rosetta +++ b/rosetta-source/src/main/rosetta/event-position-func.rosetta @@ -12,21 +12,21 @@ func FxMarkToMarket: <"Representation of sample mark to market calculation provi output: value number (1..1) - alias forwardPayout: <"Alias to the forward pay out."> - trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> forwardPayout only-element + alias settlementPayout: <"Alias to the forward pay out."> + trade -> product -> economicTerms -> payout -> settlementPayout only-element alias quotedCurrency: <"The quoted currency."> - trade -> tradableProduct -> tradeLot -> priceQuantity -> price -> unit -> currency + trade -> tradeLot -> priceQuantity -> price -> unit -> currency distinct only-element alias baseCurrency: <"The base currency."> - trade -> tradableProduct -> tradeLot -> priceQuantity -> price -> perUnitOf -> currency + trade -> tradeLot -> priceQuantity -> price -> perUnitOf -> currency distinct only-element alias quantities: <"Quantity list. Only works in the case of a single trade lot."> - trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> quantity + trade -> tradeLot only-element -> priceQuantity -> quantity alias quotedQuantity: <"Quoted quantity amount."> FilterQuantityByCurrency(quantities, quotedCurrency) only-element -> value @@ -34,16 +34,16 @@ func FxMarkToMarket: <"Representation of sample mark to market calculation provi alias baseQuantity: <"Base quantity amount."> FilterQuantityByCurrency(quantities, baseCurrency) only-element -> value - alias interpolatedRate: InterpolateForwardRate(forwardPayout) + alias interpolatedRate: InterpolateForwardRate(settlementPayout) - condition ForwardPayoutExists: <"The forwardPayout on the contract must exist."> - trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> payout -> forwardPayout exists + condition SettlementPayoutExists: <"The settlementPayout on the contract must exist."> + trade -> product -> economicTerms -> payout -> settlementPayout exists set value: (quotedQuantity / interpolatedRate - baseQuantity) * interpolatedRate func InterpolateForwardRate: inputs: - forward ForwardPayout (1..1) + settlementPayout SettlementPayout (1..1) output: result number (1..1) diff --git a/rosetta-source/src/main/rosetta/event-position-type.rosetta b/rosetta-source/src/main/rosetta/event-position-type.rosetta index 67737858aa..2515fe51af 100644 --- a/rosetta-source/src/main/rosetta/event-position-type.rosetta +++ b/rosetta-source/src/main/rosetta/event-position-type.rosetta @@ -9,7 +9,6 @@ import cdm.event.common.* import cdm.event.workflow.* import cdm.observable.asset.* import cdm.product.collateral.* -import cdm.product.common.settlement.* import cdm.product.template.* type ContractBase: <"Encapsulates data features common to trade and position."> @@ -47,13 +46,16 @@ type PortfolioState: <"State-full representation of a Portfolio that describes a if lineage -> portfolioStateReference is absent then positions is absent and lineage -> eventReference is absent + condition NonTransferable: <"The Product in a PortfolioState should be a nonTransferableProduct."> + positions -> product -> NonTransferableProduct exists + type AggregationParameters: <" Parameters to be used to filter events that are relevant to a given portfolio in order to calculate the state of this portfolio. The attributes correspond to all the possible aggregation criteria that can be used and these criteria can be combined. All the attributes are optional."> dateTime zonedDateTime (1..1) <"To aggregate as of a particular date"> totalPosition boolean (0..1) <"Specifies whether to calculate total position to given date, or only daily position for the given date."> positionStatus PositionStatusEnum (0..1) <"To aggregate based on position status (EXECUTED, SETTLED etc)"> party Party (0..*) <"To aggregate based on a selection of party(ies) / legal entity(ies)."> [metadata reference] - product Product (0..*) <"To aggregate based on a selection of products."> + product NonTransferableProduct (0..*) <"To aggregate based on a selection of products."> productQualifier string (0..*) <"To aggregate based on a selection of product type(s)."> tradeReference Trade (0..*) [metadata reference] diff --git a/rosetta-source/src/main/rosetta/event-qualification-func.rosetta b/rosetta-source/src/main/rosetta/event-qualification-func.rosetta index 1f85f564c4..a1be4f2483 100644 --- a/rosetta-source/src/main/rosetta/event-qualification-func.rosetta +++ b/rosetta-source/src/main/rosetta/event-qualification-func.rosetta @@ -25,11 +25,11 @@ func Qualify_Allocation: <"The qualification of allocation event from the fact t and openTradeStates count >= 1 and businessEvent -> instruction -> primitiveInstruction -> split exists // before trade counterparties should match closed after trade counterparties - and beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference = closedTradeStates only-element -> trade -> tradableProduct -> counterparty -> partyReference + and beforeTradeState -> trade -> counterparty -> partyReference = closedTradeStates only-element -> trade -> counterparty -> partyReference // before trade counterparties should not match open after trade counterparties and openTradeStates extract [ - item -> trade -> tradableProduct -> counterparty -> partyReference <> beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + item -> trade -> counterparty -> partyReference <> beforeTradeState -> trade -> counterparty -> partyReference ] all = True func Qualify_CashTransfer: <"The qualification of a cash transfer from the fact that the only component is a cashTransfer."> @@ -78,10 +78,10 @@ func Qualify_ClearedTrade: and closedTradeStates count = 1 and openTradeStates count = 2 and businessEvent -> instruction -> primitiveInstruction -> split exists - and beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference = closedTradeStates only-element -> trade -> tradableProduct -> counterparty -> partyReference + and beforeTradeState -> trade -> counterparty -> partyReference = closedTradeStates only-element -> trade -> counterparty -> partyReference and openTradeStates extract [ - item -> trade -> tradableProduct -> counterparty -> partyReference <> beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + item -> trade -> counterparty -> partyReference <> beforeTradeState -> trade -> counterparty -> partyReference and item -> trade -> tradeIdentifier <> beforeTradeState -> trade -> tradeIdentifier and item -> trade -> partyRole -> role contains PartyRoleEnum -> ClearingOrganization ] all = True @@ -101,7 +101,7 @@ func Qualify_OpenOfferClearedTrade: and (businessEvent -> instruction -> primitiveInstruction -> execution, businessEvent -> instruction -> primitiveInstruction -> contractFormation) only exists and openTradeStates extract [ - item -> trade -> tradableProduct -> counterparty -> partyReference <> beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + item -> trade -> counterparty -> partyReference <> beforeTradeState -> trade -> counterparty -> partyReference and item -> trade -> tradeIdentifier <> beforeTradeState -> trade -> tradeIdentifier and item -> trade -> partyRole -> role contains PartyRoleEnum -> ClearingOrganization ] all = True @@ -163,7 +163,7 @@ func Qualify_Increase: <"The qualification of a increase event from the fact tha and (QuantityIncreased( businessEvent -> instruction -> before only-element, businessEvent -> after - ) = True or businessEvent -> instruction -> before -> trade -> tradableProduct -> tradeLot count < businessEvent -> after -> trade -> tradableProduct -> tradeLot count)) + ) = True or businessEvent -> instruction -> before -> trade -> tradeLot count < businessEvent -> after -> trade -> tradeLot count)) func Qualify_Novation: <"The qualification of a novation event from the fact that (i) the intent is Novation when specified, (ii) the primitives quantityChange and a contract formation exist, (iii) the remaining quantity = 0, (iv) the closedState of the contract is Novated, (v) the stepped-in contract has a different contract identifier than the novated contract, (vi) the stepped-in contract has the novation event date and the novation event effective date, and (vii) the contract counterparties have changed."> [qualification BusinessEvent] @@ -180,8 +180,8 @@ func Qualify_Novation: <"The qualification of a novation event from the fact tha and closedTradeStates count = 1 and openTradeStates count = 1 and businessEvent -> instruction -> primitiveInstruction -> split exists - and beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference = closedTradeStates only-element -> trade -> tradableProduct -> counterparty -> partyReference - and beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference <> openTradeStates only-element -> trade -> tradableProduct -> counterparty -> partyReference + and beforeTradeState -> trade -> counterparty -> partyReference = closedTradeStates only-element -> trade -> counterparty -> partyReference + and beforeTradeState -> trade -> counterparty -> partyReference <> openTradeStates only-element -> trade -> counterparty -> partyReference and beforeTradeState -> trade -> tradeIdentifier <> openTradeStates -> trade -> tradeIdentifier func Qualify_PartialNovation: <"The qualification of a novation event from the fact that (i) the intent is Novation when specified, (ii) the primitives quantityChange and contractFormation exist, (iii) the contract quantity/notional has decreased as part of the quantityChange primitive, while (iv) there is a remaining quantity/notional, (v) the stepped-in contract has a different contract identifier than the original contract, (vi) the stepped-in contract has the novation event date and the novation event effective date, and (vii) the contract counterparties have changed."> @@ -202,10 +202,10 @@ func Qualify_PartialNovation: <"The qualification of a novation event from the f and openTradeStates extract [ // before trade counterparties should not match open after trade counterparties, and neither should trade identifiers - (item -> trade -> tradableProduct -> counterparty -> partyReference <> beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + (item -> trade -> counterparty -> partyReference <> beforeTradeState -> trade -> counterparty -> partyReference and item -> trade -> tradeIdentifier <> beforeTradeState -> trade -> tradeIdentifier) or // before trade counterparties match open after trade counterparties, and match trade identifiers, but with decreased quantity - (item -> trade -> tradableProduct -> counterparty -> partyReference = beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + (item -> trade -> counterparty -> partyReference = beforeTradeState -> trade -> counterparty -> partyReference and item -> trade -> tradeIdentifier = beforeTradeState -> trade -> tradeIdentifier and QuantityDecreased(beforeTradeState, [item])) ] all = True @@ -289,7 +289,7 @@ func Qualify_SecuritySettlement: <"The qualification of a security settlement fr businessEvent -> eventDate ) set is_event: - transfers -> asset -> Instrument -> Security only exists + transfers -> asset -> Instrument -> Security exists and transfers -> quantity -> unit -> currency only exists and FilterCashTransfers(transfers) only-element -> payerReceiver -> payerPartyReference = FilterSecurityTransfers( transfers @@ -357,14 +357,14 @@ func Qualify_StockSplit: <"The qualification of StockSplit business event based alias afterTradeState: businessEvent -> after only-element alias beforeQuantities: - beforeTradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> quantity + beforeTradeState -> trade -> tradeLot only-element -> priceQuantity -> quantity alias beforeNoOfUnits: FilterQuantityByFinancialUnit(beforeQuantities, FinancialUnitEnum -> Share) only-element -> value alias afterQuantities: - afterTradeState -> trade -> tradableProduct -> tradeLot -> priceQuantity -> quantity + afterTradeState -> trade -> tradeLot -> priceQuantity -> quantity alias afterNoOfUnits: FilterQuantityByFinancialUnit(afterQuantities, FinancialUnitEnum -> Share) @@ -377,13 +377,13 @@ func Qualify_StockSplit: <"The qualification of StockSplit business event based FilterQuantityByCurrencyExists(afterQuantities) -> value distinct only-element alias beforePrice: <"Only works in the case of a single trade lot and price."> - beforeTradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> price + beforeTradeState -> trade -> tradeLot only-element -> priceQuantity -> price filter perUnitOf -> financialUnit = FinancialUnitEnum -> Share then extract value then only-element alias afterPrice: <"Only works in the case of a single trade lot and price."> - afterTradeState -> trade -> tradableProduct -> tradeLot only-element -> priceQuantity -> price + afterTradeState -> trade -> tradeLot only-element -> priceQuantity -> price filter perUnitOf -> financialUnit = FinancialUnitEnum -> Share then extract value then only-element @@ -425,13 +425,13 @@ func Qualify_IndexTransition: <"The qualification of an index transition event b output: is_event boolean (1..1) - alias after: businessEvent -> after only-element -> trade -> tradableProduct + alias after: businessEvent -> after only-element -> trade - alias before: businessEvent -> instruction -> before -> trade -> tradableProduct + alias before: businessEvent -> instruction -> before -> trade alias floatingRateIndexChanged: - before -> tradeLot -> priceQuantity -> observable -> rateOption -> floatingRateIndex exists - and before -> tradeLot -> priceQuantity -> observable -> rateOption -> floatingRateIndex disjoint after -> tradeLot -> priceQuantity -> observable -> rateOption -> floatingRateIndex + before -> tradeLot -> priceQuantity -> observable -> Index -> FloatingRateIndex exists + and before -> tradeLot -> priceQuantity -> observable -> Index -> FloatingRateIndex disjoint after -> tradeLot -> priceQuantity -> observable -> Index -> FloatingRateIndex alias spread: FilterPrice( @@ -463,7 +463,7 @@ func Qualify_FullReturn: <"The qualification of a full return event from the fac only-element set is_event: (businessEvent -> intent is absent) - and businessEvent -> after -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout exists + and businessEvent -> after -> trade -> product -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout exists and (businessEvent -> instruction count = 1 and businessEvent -> instruction -> primitiveInstruction -> quantityChange exists or (businessEvent -> instruction -> primitiveInstruction -> quantityChange exists and transfer exists)) @@ -491,10 +491,10 @@ func Qualify_Reallocation: <"The qualification of a reallocation event from the and openTradeStates extract [ // before trade counterparties should not match open after trade counterparties, and neither should trade identifiers - (item -> trade -> tradableProduct -> counterparty -> partyReference <> beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + (item -> trade -> counterparty -> partyReference <> beforeTradeState -> trade -> counterparty -> partyReference and item -> trade -> tradeIdentifier <> beforeTradeState -> trade -> tradeIdentifier) or // before trade counterparties match open after trade counterparties, and match trade identifiers, but with decreased quantity - (item -> trade -> tradableProduct -> counterparty -> partyReference = beforeTradeState -> trade -> tradableProduct -> counterparty -> partyReference + (item -> trade -> counterparty -> partyReference = beforeTradeState -> trade -> counterparty -> partyReference and item -> trade -> tradeIdentifier = beforeTradeState -> trade -> tradeIdentifier and QuantityDecreased(beforeTradeState, [item])) ] all = True diff --git a/rosetta-source/src/main/rosetta/mapping-cme-synonym.rosetta b/rosetta-source/src/main/rosetta/mapping-cme-synonym.rosetta index ef60bc9085..30d80e4653 100644 --- a/rosetta-source/src/main/rosetta/mapping-cme-synonym.rosetta +++ b/rosetta-source/src/main/rosetta/mapping-cme-synonym.rosetta @@ -115,7 +115,7 @@ synonym source CME_SubmissionIRS_1_0 extends CME_BASE + qualification [set to EventTimestampQualificationEnum -> transactionCreationDateTime when path = "TrdCaptRpt->TxnTm"] [set to EventTimestampQualificationEnum -> eventSentDateTime when path = "TrdCaptRpt->Hdr->Snt"] - [set to EventTimestampQualificationEnum -> executionDateTime when path = "TrdCaptRpt->TrdRegTS->TS" and "TrdCaptRpt->TrdRegTS->Typ" = 1] + [set to EventTimestampQualificationEnum -> executionDateTime when path = "TrdCaptRpt->TrdRegTS->TS"] WorkflowState: + workflowStatus @@ -138,7 +138,7 @@ synonym source CME_SubmissionIRS_1_0 extends CME_BASE [set to "ClientOrderId" when path = "ClOrdID"] [set to "TradeOriginationSystem" when path = "InptSrc"] [set to "OriginatingTradeId" when path = "OrigTrdID"] - [set to "ExecutionTime" when path = "TrdRegTS->TS" and "TrdRegTS->Typ" = "1"] + [set to "ExecutionTime" when path = "TrdRegTS->TS"] [set to "PartyType" when path = "Pty->R"] [set to "PartyIdentifier" when path = "Pty->Src"] + itemValue diff --git a/rosetta-source/src/main/rosetta/mapping-dtcc-synonym.rosetta b/rosetta-source/src/main/rosetta/mapping-dtcc-synonym.rosetta index 068e1132b7..bc1588a542 100644 --- a/rosetta-source/src/main/rosetta/mapping-dtcc-synonym.rosetta +++ b/rosetta-source/src/main/rosetta/mapping-dtcc-synonym.rosetta @@ -66,10 +66,6 @@ synonym source DTCC_BASE extends FpML_5_Confirmation_To_WorkflowStep + adjustedDate [value "adjustedPaymentDate"] - CalculationAgentModel: - + calculationAgentBusinessCenter - [value "calculationAgentBusinessCenter" path "Body->OTC_Matching->Trade->FpML->trade"] - TradeState: + trade [value "TradeMsg"] @@ -86,8 +82,8 @@ synonym source DTCC_BASE extends FpML_5_Confirmation_To_WorkflowStep [value "OriginatingUSI"] [value "UTI"] - Product: - + contractualProduct + TransferableProduct: + + Instrument [hint "ProductType"] AssignedIdentifier: diff --git a/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-tradestate-synonym.rosetta b/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-tradestate-synonym.rosetta index 83f0040643..47b74f254e 100644 --- a/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-tradestate-synonym.rosetta +++ b/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-tradestate-synonym.rosetta @@ -1,455 +1,800 @@ namespace cdm.mapping.fpml.confirmation.tradestate version "${project.version}" -import cdm.base.math.* import cdm.base.datetime.* import cdm.base.datetime.daycount.* -import cdm.base.staticdata.party.* +import cdm.base.math.* +import cdm.base.staticdata.asset.common.* import cdm.base.staticdata.asset.credit.* import cdm.base.staticdata.asset.rates.* -import cdm.base.staticdata.asset.common.* import cdm.base.staticdata.identifier.* +import cdm.base.staticdata.party.* + +import cdm.event.common.* +import cdm.event.workflow.* + +import cdm.legaldocumentation.common.* +import cdm.legaldocumentation.master.* -import cdm.observable.common.* import cdm.observable.asset.* import cdm.observable.asset.calculatedrate.* +import cdm.observable.common.* import cdm.observable.event.* -import cdm.product.common.* import cdm.product.asset.* -import cdm.product.template.* +import cdm.product.collateral.* +import cdm.product.common.* import cdm.product.common.schedule.* import cdm.product.common.settlement.* - -import cdm.legaldocumentation.common.* -import cdm.legaldocumentation.master.* - -import cdm.event.common.* -import cdm.event.workflow.* - -import cdm.product.collateral.* +import cdm.product.template.* synonym source FpML synonym source FpML_5_Confirmation_To_TradeState extends FpML { - PerformancePayout: - [meta "id"] - + payerReceiver - [hint "fixedLeg"] - [hint "floatingLeg"] - - priceQuantity - + priceQuantity - [value "vegaNotional" set when path = "fxVolatilitySwap"] - // For Equity Swap - [value "rateOfReturn"] - [value "underlyer" set when path = "dividendLeg"] - [value "notional"] // when monetary amount - [hint "notional"] // for FX Variance Swap - + paymentDates - [value "paymentDates" path "rateOfReturn"] - + underlier - [value "singleUnderlyer" path "underlyer" , "underlyer"] - + fxFeature - [value "fxFeature"] - + portfolioReturnTerms - [value "ignore"] - + initialValuationPrice - [value "ignore"] - + interimValuationPrice + TradeState: + [meta "id" path "trade"] + + trade + [value "trade" mapper "Party"] + [hint "party" , "account" , "quote" , "partyTradeIdentifier"] + + resetHistory [value "ignore"] - + finalValuationPrice + + transferHistory + // premium + [value "bondOption" path "trade"] + [value "swaption" path "trade"] + [value "fxOption" path "trade"] + [value "fxDigitalOption" path "trade"] + [value "creditDefaultSwapOption" path "trade"] + [value "commodityOption" path "trade"] + [value "commodityBasketOption" path "trade"] + [value "capFloor" path "trade"] + [value "commoditySwaption" path "trade"] + // equityPremium + [value "equityOption" path "trade"] + [value "brokerEquityOption" path "trade"] + [value "dividendSwapOptionTransactionSupplement" path "trade"] + [value "equityOptionTransactionSupplement" path "trade"] + [value "varianceOptionTransactionSupplement" path "trade"] + [value "dividendSwapOptionTransactionSupplement" path "trade"] + [value "fxVarianceSwap" path "trade"] + [value "fxVolatilitySwap" path "trade"] + // initialPayment / singlePayment + [value "feeLeg" path "trade->creditDefaultSwap"] + // additionalPayment + [value "swap" path "trade"] + // otherPartyPayment + [value "trade"] + + observationHistory [value "ignore"] - ValuationDates: - + initialValuationDate - [value "initialPrice" path "rateOfReturn"] - + interimValuationDate - [value "valuationPriceInterim" path "rateOfReturn"] - + finalValuationDate - [value "valuationPriceFinal" path "rateOfReturn"] - [value "valuation"] - [hint "valuationDate"] - [hint "valuationDateOffset"] - - PerformanceValuationDates: - [meta "id" path "valuationRules"] - + determinationMethod - [value "determinationMethod"] - + valuationDate - [value "valuationDate" path "valuationRules"] - [value "valuationDate"] - [hint "valuationDate"] - + valuationDates - [value "valuationDates" path "valuationRules"] - [value "valuationDates"] - [hint "valuationDateOffset"] - + valuationTimeType - [value "valuationTimeType" path "valuationRules"] - [value "valuationTimeType"] - + valuationTime - [value "valuationTime"] + Trade: + + tradeIdentifier + [value "partyTradeIdentifier"] + [value "partyTradeIdentifier" path "tradeHeader"] + [value "tradeHeader"] + + tradeDate + [value "tradeDate" maps 2 meta "id"] + [value "tradeDate" path "tradeHeader" maps 2 meta "id"] + + party + [value "party"] + + partyRole + [value "determiningParty" , "barrierDeterminationAgent" , "hedgingParty" , "brokerPartyReference" mapper "PartyRole"] + [value "partyTradeIdentifier" path "tradeHeader" , "partyTradeInformation" path "tradeHeader"] + + clearedDate + [value "clearedDate" path "tradeHeader"] + + collateral + [value "collateral"] + + account + [value "account"] - ReturnTerms: - + priceReturnTerms - [value "return"] - + dividendReturnTerms - // Equity swaps - [value "return" , "underlyer"] - // Dividend swaps - [hint "declaredCashDividendPercentage" , "declaredCashEquivalentDividendPercentage" , "dividendPeriod" , "specialDividends" , "materialDividend"] - + varianceReturnTerms - [value "variance" path "amount"] - [hint "amount"] - [hint "valuation"] - [hint "annualizationFactor" , "meanAdjustment" , "vegaNotional" , "fixedLeg"] - + volatilityReturnTerms - [value "volatility" path "amount"] - [hint "amount"] - [hint "valuation"] - [hint "annualizationFactor" , "meanAdjustment" , "fixedLeg"] - + correlationReturnTerms - [value "correlation" path "amount"] - [hint "amount"] - [hint "valuation"] + TradeIdentifier: + + identifierType + // [set to TradeIdentifierTypeEnum -> UniqueSwapIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" and "issuer->issuerIdScheme" = "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier"] + [set to TradeIdentifierTypeEnum -> UniqueTransactionIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/uti"] + [set to TradeIdentifierTypeEnum -> UniqueTransactionIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier"] + [set to TradeIdentifierTypeEnum -> UniqueSwapIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/usi"] + [set to TradeIdentifierTypeEnum -> UniqueSwapIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/unique-swap-identifier"] - PriceReturnTerms: - + returnType - [value "returnType"] + Identifier: + [meta "id"] + [meta "id" path "versionedTradeId->tradeId"] + + issuerReference + [value "issuer" meta "href"] + [value "partyReference" meta "href"] + + issuer + [value "issuer" maps 2 meta "issuerIdScheme"] - DividendReturnTerms: - + dividendPayoutRatio - // Equity swaps - [value "singleUnderlyer", "basketConstituent" path "basket", "dividendConditions" mapper "DividendPayoutBasketConstituent"] - // Dividend swaps - [hint "declaredCashDividendPercentage" , "declaredCashEquivalentDividendPercentage"] - + dividendReinvestment - [value "dividendReinvestment" path "dividendConditions"] - + dividendEntitlement - [value "dividendEntitlement" path "dividendConditions"] - + dividendAmountType - [value "dividendAmount" path "dividendConditions"] - + firstOrSecondPeriod - [value "dividendPeriod" path "dividendConditions"] - + extraordinaryDividendsParty - [value "extraOrdinaryDividends" path "dividendConditions" mapper "ExtraordinaryDividendsParty"] - + excessDividendAmount - [value "excessDividendAmount" path "dividendConditions"] - + dividendCurrency - [value "dividendConditions"] - + nonCashDividendTreatment - [value "nonCashDividendTreatment" path "dividendConditions"] - + dividendComposition - [value "dividendComposition" path "dividendConditions"] - + specialDividends - [value "specialDividends"] - + materialDividend - [value "materialDividend"] - + dividendPeriod - // Equity swaps - [value "dividendConditions"] - // Dividend swaps - [value "dividendPeriod"] + AssignedIdentifier: + + identifier + [value "tradeId" maps 2 meta "tradeIdScheme"] + [value "tradeId" path "versionedTradeId" meta "tradeIdScheme"] + [value "businessUnitId" meta "unitScheme"] + [value "eventId" meta "eventIdScheme"] + [value "messageId"] + [value "collateralPortfolio"] + [value "linkId" path "partyTradeIdentifier" mapper "LinkId"] + + version + [value "version" path "versionedTradeId"] + [value "version"] - DividendPeriod: - + startDate - [hint "unadjustedStartDate"] - [hint "dividendPeriodEffectiveDate"] - + endDate - [hint "unadjustedEndDate"] - [hint "dividendPeriodEndDate"] - + dateAdjustments - [value "dateAdjustments"] - + basketConstituent - [value "underlierReference"] - + dividendPaymentDate - [value "dividendPaymentDate"] - [hint "paymentDate"] - + dividendValuationDate - [value "valuationDate"] + IdentifiedList: + + listId + [value "packageIdentifier" , "packageIdentifier" path "packageHeader"] + + componentId + [value "partyTradeIdentifier" path "trade->tradeHeader" set when "trade->tradeHeader->originatingPackage" exists] - ReturnTermsBase: - + expectedN - [value "expectedN"] - + initialLevel - [value "initialLevel"] + TransferState: + [meta "id" path "singlePayment"] + [meta "id" path "additionalPayment"] + + transfer + [value "premium"] + [value "equityPremium"] + [value "initialPayment"] + [value "singlePayment"] + [value "additionalPayment"] + [value "otherPartyPayment"] - VolatilityReturnTerms: - // Common for variance, volatility and correlation (ReturnTermsBase) - + dividendApplicability - [value "amount" set when path = "volatilityLeg"] - + valuationTerms - [value "valuation" set when path = "volatilityLeg"] - // Volatility specific - + volatilityStrikePrice - [hint "volatilityStrikePrice"] - [value "fixedLeg" set when path = "fxVolatilitySwap"] - + volatilityCapFloor - [value "volatilityCap"] - + annualizationFactor - [value "annualizationFactor" set when path = "fxVolatilitySwap"] - + meanAdjustment - [value "meanAdjustment" set when path = "fxVolatilitySwap"] + Transfer: + + identifier + [value "ignore"] + + settlementOrigin + [value "ignore"] + + resetOrigin + [value "ignore"] - VarianceReturnTerms: - // Common for variance, volatility and correlation (ReturnTermsBase) - + dividendApplicability - [value "amount" set when path = "varianceLeg"] - + valuationTerms - [value "valuation" set when path = "varianceLeg"] - // Variance specific - + varianceStrikePrice - [hint "varianceStrikePrice"] - [value "fixedLeg" set when path = "fxVarianceSwap"] - + volatilityStrikePrice - [hint "volatilityStrikePrice"] - + vegaNotionalAmount - [hint "vegaNotionalAmount"] - [value "vegaNotional" set when path = "fxVarianceSwap"] - + exchangeTradedContractNearest - [value "variance" path "amount" set when path = "varianceLeg"] - + annualizationFactor - [value "annualizationFactor" set when path = "fxVarianceSwap"] - + meanAdjustment - [value "meanAdjustment" set when path = "fxVarianceSwap"] + TransferExpression: + + priceTransfer + [set to FeeTypeEnum -> Upfront when path = "additionalPayment"] + [set to FeeTypeEnum -> Upfront when path = "otherPartyPayment"] + [set to FeeTypeEnum -> Upfront when path = "initialPayment"] + [set to FeeTypeEnum -> Upfront when path = "singlePayment->fixedAmount"] + [set to FeeTypeEnum -> Upfront when "paymentType" = "Additional Payment"] + [set to FeeTypeEnum -> Premium when path = "premium"] + [set to FeeTypeEnum -> Premium when path = "equityPremium"] + [set to FeeTypeEnum -> BrokerageCommission when "paymentType" = "Brokerage"] + [set to FeeTypeEnum -> Novation when path = "novation->payment"] - CorrelationReturnTerms: - // Common for variance, volatility and correlation (ReturnTermsBase) - + dividendApplicability - [value "amount" set when path = "correlationLeg"] - + valuationTerms - [value "valuation" set when path = "correlationLeg"] - // Correlation specific - + correlationStrikePrice - [hint "correlationStrikePrice"] - + boundedCorrelation - [value "boundedCorrelation"] - + numberOfDataSeries - [value "numberOfDataSeries"] + ContractDetails: + + documentation + [value "documentation" mapper "Documentation"] + + governingLaw + [value "governingLaw" meta "governingLawScheme"] - NumberRange: - + upperBound - [hint "maximumBoundaryPercent"] - + lowerBound - [hint "minimumBoundaryPercent"] + ExecutionDetails: + + packageReference + [value "originatingPackage" path "tradeHeader"] - NumberBound: - + number - [value "maximumBoundaryPercent"] - [value "minimumBoundaryPercent"] + TradableProduct: + + product // i.e. NonTransferableProduct + // For Equity Swap: + [value "returnSwap"] + [value "equitySwapTransactionSupplement"] + // For Swap Stream: + [value "swap"] + // For Swaption: + [value "swaption"] + [hint "swaption"] + // For CapFloor: + [value "capFloor"] + [hint "capFloor"] + // For FRA: + [hint "fra"] + // For Bond Options: + [hint "bondOption"] + // For CDS: + [value "creditDefaultSwap"] + [hint "creditDefaultSwap"] + // For CDS Option + [hint "creditDefaultSwapOption"] + // For FX: + [hint "fxSingleLeg"] + [value "fxSingleLeg"] + // For FX Option: + [value "fxOption"] + [hint "fxOption"] + [value "fxDigitalOption"] + [hint "fxDigitalOption"] + // For fxSwap + [value "fxSwap"] + // For Repo: + [hint "repo"] + [hint "calculationAgent" , "calculationAgentBusinessCenter"] + // For Equity Options: + [hint "equityOption"] + [value "equityOption"] + [hint "brokerEquityOption"] + [value "brokerEquityOption"] + [value "equityOptionTransactionSupplement"] + [hint "equityOptionTransactionSupplement"] + // For Commodity Swap + [value "commoditySwap"] + [hint "commoditySwap"] + // For Commodity Option + [hint "commodityOption"] + [value "commodityOption"] + [hint "commoditySwaption"] + // For Variance / Volatility / Correlation / Dividend + [value "varianceSwap"] + [value "varianceSwapTransactionSupplement"] + [value "volatilitySwap"] + [value "volatilitySwapTransactionSupplement"] + [value "correlationSwap"] + [value "dividendSwapTransactionSupplement"] + [hint "varianceOptionTransactionSupplement"] + [hint "dividendSwapOptionTransactionSupplement"] + [value "fxVarianceSwap"] + [hint "fxVarianceSwap"] + [value "fxVolatilitySwap"] + [hint "fxVolatilitySwap"] + [hint "genericProduct"] + [hint "tradeHeader"] + + tradeLot + // Rates + [value "swap"] + [value "swap" path "swaption"] + [value "capFloor"] + [hint "fra"] + [hint "bondOption"] + [value "bulletPayment"] + // Credit + [value "creditDefaultSwap"] + [value "creditDefaultSwap" path "creditDefaultSwapOption"] + // FX + [hint "fxSingleLeg"] + [value "fxSwap"] + [hint "fxOption"] + [hint "fxDigitalOption"] + // Equity + [value "returnSwap"] + [value "equitySwapTransactionSupplement"] + [hint "equityOption"] + [hint "equityOptionTransactionSupplement"] + [hint "brokerEquityOption"] + // Performance + [value "varianceSwap"] + [value "correlationSwap"] + [value "volatilitySwapTransactionSupplement"] + [value "varianceOptionTransactionSupplement"] + [value "dividendSwapTransactionSupplement"] + [value "dividendSwapTransactionSupplement" path "dividendSwapOptionTransactionSupplement"] + [value "varianceSwapTransactionSupplement"] + [value "varianceSwapTransactionSupplement" path "varianceOptionTransactionSupplement"] + [hint "fxVarianceSwap"] + [hint "fxVolatilitySwap"] + // Commodity + [value "commoditySwap"] + [value "commoditySwap" path "commoditySwaption"] + [hint "commodityOption"] + // Other + [hint "repo"] + [hint "genericProduct"] + [hint "quote"] + [hint "productSummary"] + + adjustment + [value "notionalAdjustments" path "returnSwap->returnLeg" , "notionalAdjustments" path "equitySwapTransactionSupplement->returnLeg"] - VarianceCapFloor: - + varianceCap - [value "varianceCap"] - + unadjustedVarianceCap - [value "unadjustedVarianceCap"] - + boundedVariance - [value "boundedVariance"] + ProductIdentifier: + + identifier + [value "productId" maps 2 mapper "ProductIdentifierSource"] + [value "productId" path "commoditySwaption" maps 2 mapper "ProductIdentifierSource"] + [value "productId" path "fra" maps 2 mapper "ProductIdentifierSource"] + [value "productId" path "creditDefaultSwapOption" maps 2 mapper "ProductIdentifierSource"] + [value "productId" path "bondOption" maps 2 mapper "ProductIdentifierSource"] + [value "productId" path "genericProduct" maps 2 mapper "ProductIdentifierSource"] - VolatilityCapFloor: - + applicable - [value "applicable"] - + totalVolatilityCap - [value "totalVolatilityCap"] - + volatilityCapFactor - [value "volatilityCapFactor"] + Taxonomy: + + source + [set to TaxonomySourceEnum -> ISDA when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification"] + [set to TaxonomySourceEnum -> EMIR when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification"] - BoundedVariance: - + daysInRangeAdjustment - [value "daysInRangeAdjustment"] - + realisedVarianceMethod - [value "realisedVarianceMethod"] - + upperBarrier - [value "upperBarrier"] - + lowerBarrier - [value "lowerBarrier"] + ProductTaxonomy: + + primaryAssetClass + [value "primaryAssetClass" meta "assetClassScheme"] + [value "primaryAssetClass" path "fra" meta "assetClassScheme"] + [value "primaryAssetClass" path "creditDefaultSwapOption" meta "assetClassScheme"] + [value "primaryAssetClass" path "bondOption" meta "assetClassScheme"] + [value "primaryAssetClass" path "commoditySwaption" meta "assetClassScheme"] + [value "primaryAssetClass" path "genericProduct" meta "assetClassScheme"] + + secondaryAssetClass + [value "secondaryAssetClass" meta "assetClassScheme"] + [value "secondaryAssetClass" path "fra" meta "assetClassScheme"] + [value "secondaryAssetClass" path "creditDefaultSwapOption" meta "assetClassScheme"] + [value "secondaryAssetClass" path "bondOption" meta "assetClassScheme"] + [value "secondaryAssetClass" path "commoditySwaption" meta "assetClassScheme"] + [value "secondaryAssetClass" path "genericProduct" meta "assetClassScheme"] + + source + [value "productType" mapper "TaxonomySource"] + [value "productType" path "fra" mapper "TaxonomySource"] + [value "productType" path "creditDefaultSwapOption" mapper "TaxonomySource"] + [value "productType" path "bondOption" mapper "TaxonomySource"] + [value "productType" path "commoditySwaption" mapper "TaxonomySource"] + [value "productType" path "genericProduct" mapper "TaxonomySource"] - ValuationTerms: - + futuresPriceValuation - [value "futuresPriceValuation"] - + optionsPriceValuation - [value "optionsPriceValuation"] - + numberOfValuationDates - [value "numberOfValuationDates"] - + dividendValuationDates - [value "dividendValuationDates"] - + fPVFinalPriceElectionFallback - [value "fPVFinalPriceElectionFallback"] - + multipleExchangeIndexAnnexFallback - [value "multipleExchangeIndexAnnexFallback"] - + componentSecurityIndexAnnexFallback - [value "componentSecurityIndexAnnexFallback"] + TaxonomyValue: + + name + [value "productType"] + [value "productType" path "fra"] + [value "productType" path "creditDefaultSwapOption"] + [value "productType" path "bondOption"] + [value "productType" path "commoditySwaption"] + [value "productType" path "genericProduct"] - DividendApplicability: - + optionsExchangeDividends - [value "optionsExchangeDividends"] - + additionalDividends - [value "additionalDividends"] - + allDividends - [value "allDividends"] + TaxonomyClassification: + + value + [value "code"] + + ordinal + [set to 1 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification"] + [set to 2 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-2-commodity-classification"] + [set to 3 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-3-commodity-classification"] + [set to 1 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification"] + [set to 2 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-2-commodity-classification"] + [set to 3 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-3-commodity-classification"] - AdjustableRelativeOrPeriodicDates: - [meta "id"] - + adjustableDates - [value "adjustableDates"] - + relativeDates - [value "relativeDates"] - [value "relativeDateSequence"] - [value "valuationDateOffset"] - + periodicDates - [value "periodicDates"] - [value "periodicPayment"] - [hint "amount"] - [hint "valuationDateOffset"] + EconomicTerms: + + effectiveDate + [value "effectiveDate" path "generalTerms"] + [value "effectiveDate" path "commoditySwap"] + [value "effectiveDate" path "fxOption"] + [value "effectiveDate"] + [value "effectiveDate" path "varianceLeg"] + [value "effectiveDate" path "volatilityLeg"] + [value "effectiveDate" path "correlationLeg"] + [value "effectiveDate" path "dividendLeg"] + [value "effectiveDate" path "fixedLeg"] + [value "effectiveDate" path "returnLeg"] + [value "effectiveDate" path "genericProduct"] + + terminationDate + [value "scheduledTerminationDate" path "generalTerms"] + [value "terminationDate"] + [value "terminationDate" path "varianceLeg"] + [value "terminationDate" path "volatilityLeg"] + [value "terminationDate" path "correlationLeg"] + [value "terminationDate" path "dividendLeg"] + [value "terminationDate" path "fixedLeg"] + [value "terminationDate" path "returnLeg"] + [value "terminationDate" path "genericProduct"] + + dateAdjustments + [value "dateAdjustments" path "generalTerms"] + [value "extraordinaryEvents"] + + calculationAgent + [value "calculationAgent"] + [hint "calculationAgentBusinessCenter"] + + collateral + [value "ignore"] + + nonStandardisedTerms + [set to True when "tradeHeader->partyTradeInformation->nonStandardTerms" = True] + [set to False when "tradeHeader->partyTradeInformation->nonStandardTerms" = False] - AmountSchedule: - + currency - [value "currency" meta "currencyScheme"] + SettlementTerms: + + settlementDate + [value "cashSettlement"] + [value "cashSettlementPaymentDate" path "cashSettlement"] + [hint "valueDate"] + [value "settlementDate"] + [hint "settlementDate"] + [value "americanExercise"] + [value "europeanExercise"] + [value "exercise"] + [value "equityEuropeanExercise" path "equityExercise"] + [value "equityAmericanExercise" path "equityExercise"] + [hint "paymentDelay"] + [hint "paymentDate"] + [hint "adjustablePaymentDate"] + [hint "adjustedPaymentDate"] + [value "equityExercise"] + [hint "nonDeliverableSettlement"] + + settlementProvision + [value "ignore"] + + cashSettlementTerms + [value "cashSettlement"] + [value "cashSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms] + [value "settlementProvision" /*set when rosettaPath = Payout->interestRatePayout->settlementTerms*/ ] + [value "nonDeliverableSettlement"] + + physicalSettlementTerms + [value "physicalSettlement"] + [value "physicalSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms] + [value "clearingInstructions"] - AutomaticExercise: - + thresholdRate - [value "thresholdRate" path "automaticExercise"] - + isApplicable - [value "automaticExercise"] + SettlementBase: + [meta "id"] + + settlementType + [value "settlementCurrency" mapper "SettlementType"] + [value "settlementCurrency" path "exercise" mapper "SettlementType"] + [value "settlementType"] + [value "settlementType" path "equityExercise"] + [set to SettlementTypeEnum -> Cash when "cashSettlement" exists] + [set to SettlementTypeEnum -> Cash when "settlementType" = "Cash"] + [set to SettlementTypeEnum -> Cash when "amount->cashSettlement" = True] + [set to SettlementTypeEnum -> Physical when "settlementType" = "Physical"] + [set to SettlementTypeEnum -> Cash when "cashSettlementTerms" exists] + [set to SettlementTypeEnum -> Physical when "physicalSettlementTerms" exists] + [set to SettlementTypeEnum -> Physical when "physicalExercise" exists] + [set to SettlementTypeEnum -> Cash when "nonDeliverableSettlement" exists] + [set to SettlementTypeEnum -> Cash when "settlementProvision->nonDeliverableSettlement" exists] + + settlementCurrency + [value "settlementCurrency" maps 2 meta "currencyScheme"] + [value "settlementCurrency" path "settlementProvision"] + [value "cashSettlementCurrency" meta "currencyScheme"] + [value "cashSettlementCurrency" path "cashSettlement->cashPriceMethod"] + [value "cashSettlementCurrency" path "cashSettlement->crossCurrencyMethod"] + [value "settlementCurrency" path "cashSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms -> settlementCurrency] + [value "settlementCurrency" path "physicalSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms -> settlementCurrency] + [value "settlementCurrency" path "nonDeliverableSettlement" meta "currencyScheme"] + [value "settlementCurrency" path "cashSettlement"] + [value "settlementCurrency" path "exercise"] + [value "settlementCurrency" path "equityExercise"] + [value "currency" path "amount"] + [value "entitlementCurrency"] - CalculationAgent: - + calculationAgentParty - [value "calculationAgentPartyReference" mapper "CalculationAgentParty"] - + calculationAgentPartyEnum - [value "calculationAgentParty"] - + calculationAgentBusinessCenter - [value "calculationAgentBusinessCenter" meta "businessCenterScheme"] + SettlementDate: + [meta "id" path "settlementDate"] + [meta "id" path "cashSettlementPaymentDate"] + + adjustableOrRelativeDate + [hint "relativeDate"] + [value "settlementDate"] + [value "settlementDate" path "nonDeliverableSettlement"] + [value "relativePaymentDates"] + [value "paymentDates"] + [hint "adjustablePaymentDate"] + [hint "adjustedPaymentDate"] + [value "paymentDate" set when "paymentAmount" exists /*and rosettaPath = PriceQuantity->settlementTerms->settlementDate*/ ] + + valueDate + [value "valueDate"] + [value "latestValueDate"] + + adjustableDates + [value "adjustableDates"] + + businessDateRange + [value "businessDateRange"] + + paymentDelay + [value "paymentDelay" set when "singlePayment" exists /*and rosettaPath = PriceQuantity->settlementTerms->settlementDate*/ ] - CalculationPeriodFrequency: - + rollConvention - [value "rollConvention"] - + balanceOfFirstPeriod - [value "balanceOfFirstPeriod"] + CashSettlementTerms: + [meta "id"] + + cashSettlementMethod + [set to CashSettlementMethodEnum -> CashPriceMethod when "cashPriceMethod" exists] + [set to CashSettlementMethodEnum -> CashPriceAlternateMethod when "cashPriceAlternateMethod" exists] + [set to CashSettlementMethodEnum -> ParYieldCurveUnadjustedMethod when "parYieldCurveUnadjustedMethod" exists] + [set to CashSettlementMethodEnum -> ParYieldCurveAdjustedMethod when "parYieldCurveAdjustedMethod" exists] + [set to CashSettlementMethodEnum -> ZeroCouponYieldAdjustedMethod when "zeroCouponYieldAdjustedMethod" exists] + [set to CashSettlementMethodEnum -> CrossCurrencyMethod when "crossCurrencyMethod" exists] + [set to CashSettlementMethodEnum -> CollateralizedCashPriceMethod when "collateralizedCashPriceMethod" exists] + [set to CashSettlementMethodEnum -> MidMarketIndicativeQuotations when "midMarketValuation->indicativeQuotations" exists] + [set to CashSettlementMethodEnum -> MidMarketIndicativeQuotationsAlternate when "midMarketValuation->indicativeQuotationsAlternate" exists] + [set to CashSettlementMethodEnum -> MidMarketCalculationAgentDetermination when "midMarketValuation->calculationAgentDetermination" exists] + [set to CashSettlementMethodEnum -> ReplacementValueFirmQuotations when "replacementValue->firmQuotations" exists] + [set to CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination when "replacementValue->calculationAgentDetermination" exists] + + valuationDate + [value "fixing"] + [value "rateSourceFixing"] + [value "valuationDate"] + [value "nonDeliverableSettlement"] + [value "cashSettlementValuationDate"] + + valuationTime + [value "fixingTime" path "fixing->fxSpotRateSource"] + [value "valuationTime"] + [value "cashSettlementValuationTime"] + + cashSettlementAmount + [value "cashSettlementAmount"] + + recoveryFactor + [value "recoveryFactor"] + + fixedSettlement + [value "fixedSettlement"] + + accruedInterest + [value "accruedInterest"] + + valuationMethod + [hint "fixing"] + [hint "rateSourceFixing"] + [value "valuationMethod"] + [value "nonDeliverableSettlement"] + [value "cashPriceMethod"] + [value "cashPriceAlternateMethod"] + [value "parYieldCurveAdjustedMethod"] + [value "parYieldCurveUnadjustedMethod"] + [value "zeroCouponYieldAdjustedMethod"] + [value "crossCurrencyMethod"] + [value "collateralizedCashPriceMethod"] + [hint "minimumQuotationAmount" , "quotationAmount" , "quotationMethod"] + [value "midMarketValuation"] + [value "replacementValue"] - ReferenceBanks: - + referenceBank - [value "referenceBank"] + PhysicalSettlementTerms: + + physicalSettlementPeriod + [value "physicalSettlementPeriod"] + + deliverableObligations + [value "deliverableObligations"] + + escrow + [value "escrow"] + + sixtyBusinessDaySettlementCap + [value "sixtyBusinessDaySettlementCap"] + + clearedPhysicalSettlement + [value "clearedPhysicalSettlement"] + + predeterminedClearingOrganizationParty + [value "predeterminedClearingOrganizationPartyReference" mapper "PredeterminedClearingOrganizationParty"] - Collateral: - + independentAmount - [value "independentAmount"] + ValuationMethod: + + valuationSource + [value "settlementRateSource"] + [value "fixing"] + [value "rateSourceFixing"] + [hint "settlementRateOption"] + [value "indicativeQuotations"] + // The following are un-tested: + // [value "indicativeQuotationsAlternate"] + // [value "calculationAgentDetermination"] + [value "firmQuotations"] + + quotationMethod + [value "quotationMethod"] + [value "quotationRateType"] + + quotationAmount + [value "quotationAmount"] + + minimumQuotationAmount + [value "minimumQuotationAmount"] + + cashCollateralValuationMethod + [value "indicativeQuotations"] + // The following are un-tested: + // [value "indicativeQuotationsAlternate"] + // [value "calculationAgentDetermination"] + [value "firmQuotations"] - ContractualMatrix: - + matrixType - [value "matrixType" meta "matrixTypeScheme"] - + matrixTerm - [value "matrixTerm" meta "matrixTermScheme"] + DeliverableObligations: + + accruedInterest + [value "accruedInterest"] + + category + [value "category"] + + notSubordinated + [value "notSubordinated"] + + specifiedCurrency + [value "specifiedCurrency"] + + notSovereignLender + [value "notSovereignLender"] + + notDomesticCurrency + [value "notDomesticCurrency"] + + notDomesticLaw + [value "notDomesticLaw"] + + listed + [value "listed"] + + notContingent + [value "notContingent"] + + notDomesticIssuance + [value "notDomesticIssuance"] + + assignableLoan + [value "assignableLoan"] + + consentRequiredLoan + [value "consentRequiredLoan"] + + directLoanParticipation + [value "directLoanParticipation"] + + transferable + [value "transferable"] + + maximumMaturity + [value "maximumMaturity"] + + acceleratedOrMatured + [value "acceleratedOrMatured"] + + notBearer + [value "notBearer"] + + fullFaithAndCreditObLiability + [value "fullFaithAndCreditObLiability"] + + generalFundObligationLiability + [value "generalFundObligationLiability"] + + revenueObligationLiability + [value "revenueObligationLiability"] + + indirectLoanParticipation + [value "indirectLoanParticipation"] + + excluded + [value "excluded"] + + othReferenceEntityObligations + [value "othReferenceEntityObligations"] - ExerciseFee: - + notionalReference - [value "notionalReference" meta "href"] - + feeAmount - [value "feeAmount"] - + feeRate - [value "feeRate"] - + feePaymentDate - [value "feePaymentDate"] + FloatingAmountEvents: + + failureToPayPrincipal + [value "failureToPayPrincipal"] + + interestShortfall + [value "interestShortfall"] + + writedown + [value "writedown"] + + impliedWritedown + [value "impliedWritedown"] + + floatingAmountProvisions + [value "floatingAmountProvisions"] + + additionalFixedPayments + [value "additionalFixedPayments"] - ExerciseFeeSchedule: - + notionalReference - [value "notionalReference" meta "href"] - + feeAmountSchedule - [value "feeAmountSchedule"] - + feeRateSchedule - [value "feeRateSchedule"] - + feePaymentDate - [value "feePaymentDate"] + FloatingAmountProvisions: + + wacCapInterestProvision + [value "WACCapInterestProvision"] + + stepUpProvision + [value "stepUpProvision"] - ExerciseNotice: - + exerciseNoticeGiver - [value "partyReference" mapper "ExerciseNoticeGiver"] - + exerciseNoticeReceiver - [value "exerciseNoticePartyReference" mapper "ExerciseNoticeReceiver"] - + businessCenter - [value "businessCenter" meta "businessCenterScheme"] + ValuationSource: + + quotedCurrencyPair + [value "quotedCurrencyPair" meta "quoteBasis"] + + informationSource + [value "informationSource"] + [value "fxSpotRateSource"] + + settlementRateOption + [value "settlementRateSource"] + [hint "settlementRateOption"] + + referenceBanks + [value "cashSettlementReferenceBanks"] + + dealerOrCCP + [hint "dealer"] + [value "mutuallyAgreedClearinghouse"] - ExerciseProcedure: - + manualExercise - [value "manualExercise"] - + automaticExercise - [hint "automaticExercise"] - + followUpConfirmation - [value "followUpConfirmation"] - [value "writtenConfirmation"] - + limitedRightToConfirm - [value "limitedRightToConfirm"] - + splitTicket - [value "splitTicket"] + QuotedCurrencyPair: + + currency1 + [value "currency1" maps 2 meta "currencyScheme"] + [value "currency" path "putCurrencyAmount" maps 2] + + currency2 + [value "currency2" maps 2 meta "currencyScheme"] + [value "currency" path "callCurrencyAmount" maps 2] + + quoteBasis + [value "quoteBasis" maps 2] + [value "rateObservationQuoteBasis" path "asian" maps 2] + [value "strikeQuoteBasis" maps 2] - FloatingRateOption: - + floatingRateIndex - [value "floatingRateIndex" maps 2 meta "floatingRateIndexScheme"] - + inflationRateIndex - [value "floatingRateIndex" maps 2 meta "floatingRateIndexScheme"] - + indexTenor - [value "indexTenor" maps 2] + RateObservation: + [value "RateObservation" meta "id"] + + resetDate + [value "resetDate"] + + adjustedFixingDate + [value "adjustedFixingDate"] + + observedRate + [value "observedRate"] + + treatedRate + [value "treatedRate"] + + observationWeight + [value "observationWeight"] + + rateReference + [value "rateReference" meta "href"] + + forecastRate + [value "forecastRate"] + + treatedForecastRate + [value "treatedForecastRate"] - FloatingRateBase: - [meta "id"] - + rateOption - [meta "floatingRateIndex"] - + spreadSchedule - [value "spreadSchedule"] - + capRateSchedule - [value "capRateSchedule"] - + floorRateSchedule - [value "floorRateSchedule"] + ResetFrequency: + + weeklyRollConvention + [value "weeklyRollConvention"] - FloatingRate: - + floatingRateMultiplierSchedule - [value "floatingRateMultiplierSchedule"] - + rateTreatment - [value "rateTreatment"] - + calculationParameters - [value "calculationParameters"] - + fallbackRate - [value "fallbackRate"] + Resource: + + resourceId + [value "resourceId" meta "resourceIdScheme"] + + resourceType + [value "resourceType" meta "resourceTypeScheme"] + + language + [value "language" meta "languageScheme"] + + sizeInBytes + [value "sizeInBytes"] + + length + [value "length"] + + mimeType + [value "mimeType" meta "mimeTypeScheme"] + + name + [value "name"] + + comments + [value "comments"] + + string + [value "string"] + + url + [value "url"] - FloatingRateSpecification: - + finalRateRounding - [value "finalRateRounding"] - + negativeInterestRateTreatment - [value "negativeInterestRateTreatment"] + ResourceLength: + + lengthUnit + [value "lengthUnit"] + + lengthValue + [value "lengthValue"] - FutureValueAmount: - + quantity - [meta "amount"] - + currency - [value "currency" maps 2 meta "currencyScheme"] - + calculationPeriodNumberOfDays - [value "calculationPeriodNumberOfDays"] - + valueDate - [value "valueDate"] + FallbackReferencePrice: + + valuationPostponement + [value "valuationPostponement"] + + fallBackSettlementRateOption + [value "fallBackSettlementRateOption" meta "settlementRateOptionScheme"] + + fallbackSurveyValuationPostponement + [set to True] + + calculationAgentDetermination + [value "calculationAgentDetermination"] - FxRate: - + quotedCurrencyPair - [value "quotedCurrencyPair"] - + rate - [value "rate"] + FinalCalculationPeriodDateAdjustment: + + relevantUnderlyingDateReference + [value "relevantUnderlyingDateReference" meta "href"] + + swapStreamReference + [value "swapStreamReference" meta "href"] + + businessDayConvention + [value "businessDayConvention"] - FxSpotRateSource: - + primarySource - [value "primaryRateSource"] - [hint "rateSource"] - + secondarySource - [value "secondaryRateSource"] + FloatingRateDefinition: + + calculatedRate + [value "calculatedRate"] + + rateObservation + [value "rateObservation"] + + floatingRateMultiplier + [value "floatingRateMultiplier"] + + spread + [value "spread"] + + capRate + [value "capRate"] + + floorRate + [value "floorRate"] - IndependentAmount: - + paymentDetail - [value "paymentDetail"] + FxFixingDate: + + businessDayConvention + [value "businessDayConvention"] + + businessCenters + [value "businessCenters"] + + businessCentersReference + [value "businessCentersReference" meta "href"] + + dateRelativeToPaymentDates + [value "dateRelativeToPaymentDates"] + + dateRelativeToCalculationPeriodDates + [value "dateRelativeToCalculationPeriodDates"] + + fxFixingDate + [value "fixingDate"] + [hint "fixingDate"] - InformationSource: - + sourceProvider - [value "rateSource" maps 2 meta "informationProviderScheme"] - + sourcePage - [value "rateSourcePage" maps 2 meta "rateSourcePageScheme"] - + sourcePageHeading - [value "rateSourcePageHeading" maps 2] + FxLinkedNotionalAmount: + + resetDate + [value "resetDate"] + + adjustedFxSpotFixingDate + [value "adjustedFxSpotFixingDate"] + + observedFxSpotRate + [value "observedFxSpotRate"] + + notionalAmount + [value "notionalAmount"] + + FxLinkedNotionalSchedule: + + varyingNotionalCurrency + [value "varyingNotionalCurrency" meta "currencyScheme"] + + varyingNotionalFixingDates + [value "varyingNotionalFixingDates"] + + fxSpotRateSource + [value "fxSpotRateSource"] + + fixingTime + [value "fixingTime" path "fxSpotRateSource"] + + varyingNotionalInterimExchangePaymentDates + [value "varyingNotionalInterimExchangePaymentDates"] + + PaymentCalculationPeriod: + [value "PaymentCalculationPeriod" meta "id"] + + unadjustedPaymentDate + [value "unadjustedPaymentDate"] + + adjustedPaymentDate + [value "adjustedPaymentDate"] + + calculationPeriod + [value "calculationPeriod"] + + fixedPaymentAmount + [value "fixedPaymentAmount"] + [value "amount" path "paymentAmount"] + [value "paymentAmount"] + + discountFactor + [value "discountFactor"] + + forecastPaymentAmount + [value "forecastPaymentAmount"] + + presentValueAmount + [value "presentValueAmount"] + + PriceSourceDisruption: + + fallbackReferencePrice + [value "fallbackReferencePrice"] + + ResetDates: + [value "ResetDates" meta "id" path "resetDates"] + + calculationPeriodDatesReference + [value "calculationPeriodDatesReference" path "resetDates" meta "href"] + [value "calculationPeriodDatesReference" path "interestLegCalculationPeriodDates->interestLegResetDates" meta "href"] + + resetRelativeTo + [value "resetRelativeTo" path "resetDates"] + [value "resetRelativeTo" path "interestLegCalculationPeriodDates->interestLegResetDates"] + + fixingDates + [value "fixingDates" path "resetDates"] + [value "relativeDate" path "interestLegCalculationPeriodDates->interestLegResetDates->fixingDates"] + [value "fixingDateOffset"] + + finalFixingDate + [value "finalFixingDate" path "feeLeg->periodicPayment->floatingAmountCalculation"] + + rateCutOffDaysOffset + [value "resetCutOffDaysOffset" path "resetDates"] + + resetFrequency + [value "resetFrequency" path "resetDates" , "resetFrequency" path "interestLegCalculationPeriodDates->interestLegResetDates"] + + resetDatesAdjustments + [value "resetDatesAdjustments" path "resetDates"] InitialFixingDate: + relativeDateOffset @@ -457,561 +802,101 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + initialFixingDate [value "initialFixingDate" path "feeLeg->periodicPayment->floatingAmountCalculation"] - ManualExercise: - + exerciseNotice - [value "exerciseNotice"] - + fallbackExercise - [value "fallbackExercise"] + StubCalculationPeriodAmount: + + calculationPeriodDatesReference + [value "calculationPeriodDatesReference" meta "href"] + + initialStub + [value "initialStub"] + + finalStub + [value "finalStub"] - Money: - [value "Money" meta "id"] + ValuationPostponement: + + maximumDaysOfPostponement + [value "maximumDaysOfPostponement"] - MultipleExercise: - + maximumNotionalAmount - [value "maximumNotionalAmount"] - + maximumNumberOfOptions - [value "maximumNumberOfOptions"] + SettlementRateOption: + + settlementRateOption + [value "settlementRateOption" meta "settlementRateOptionScheme"] + + priceSourceDisruption + [value "priceSourceDisruption"] - OtherAgreement: - + identifier - [value "identifier" meta "agreementIdScheme"] - + otherAgreementType - [value "type" meta "agreementTypeScheme"] - + version - [value "version" meta "agreementVersionScheme"] - + date - [value "date"] + ReferenceBanks: + + referenceBank + [value "referenceBank"] - PartialExercise: - + notionaReference - [value "notionalReference" meta "href"] - + integralMultipleAmount - [value "integralMultipleAmount"] - [value "integralMultipleExercise"] - + minimumNotionalAmount - [value "minimumNotionalAmount"] - + minimumNumberOfOptions - [value "minimumNumberOfOptions"] + Strike: + [value "Strike" meta "id"] + + strikeRate + [value "strikeRate"] + + buyer + [value "buyer"] + + seller + [value "seller"] - PaymentDates: - [value "PaymentDates" meta "id"] - [value "PaymentDates" meta "id" path "interestLegCalculationPeriodDates"] - [value "relativePaymentDates" meta "id" path "calculationPeriodsScheduleReference"] - + paymentFrequency - [value "paymentFrequency"] + StrikeSchedule: + + buyer + [value "buyer"] + + seller + [value "seller"] + + StubFloatingRate: + [value "StubFloatingRate" meta "id"] + + floatingRateIndex + [value "floatingRateIndex"] + + indexTenor [value "indexTenor"] - + firstPaymentDate - [value "firstPaymentDate"] - [value "firstPaymentDate" path "periodicPayment"] - + lastRegularPaymentDate - [value "lastRegularPaymentDate"] - [value "lastRegularPaymentDate" path "periodicPayment"] - + payRelativeTo - [value "payRelativeTo"] - + paymentDaysOffset - [value "paymentDaysOffset"] - + paymentDatesAdjustments - [value "paymentDatesAdjustments"] - [value "paymentDaysOffset"] - [hint "businessCenters"] + + floatingRateMultiplierSchedule + [value "floatingRateMultiplierSchedule"] + + spreadSchedule + [value "spreadSchedule"] + + rateTreatment + [value "rateTreatment"] + + capRateSchedule + [value "capRateSchedule"] + + floorRateSchedule + [value "floorRateSchedule"] - PaymentDateSchedule: - + interimPaymentDates - [value "paymentDatesInterim"] - [hint "adjustableDates"] - [hint "relativeDates"] - [hint "periodicDates"] - [hint "periodicPayment"] - + finalPaymentDate - [value "paymentDateFinal"] + StubValue: + + floatingRate + [value "floatingRate"] + + stubRate + [value "stubRate"] + + stubAmount + [value "stubAmount"] - PaymentDetail: - [value "PaymentDetail" meta "id"] - + paymentDate - [value "paymentDate"] - + paymentRule - [value "paymentRule"] - + paymentAmount - [value "paymentAmount"] + Asian: + + averagingInOut + [value "averagingInOut"] + + strikeFactor + [value "strikeFactor"] + + averagingPeriodIn + [value "averagingPeriodIn"] + + averagingPeriodOut + [value "averagingPeriodOut"] - PaymentDiscounting: - + discountFactor - [value "discountFactor"] - + presentValueAmount - [value "presentValueAmount"] - - PeriodicDates: - + startDate - [value "calculationStartDate"] - [hint "startDate"] - [value "observationStartDate"] - + endDate - [value "calculationEndDate"] - [hint "endDate"] - + periodFrequency - [value "calculationPeriodFrequency"] - [value "paymentFrequency"] - [hint "rollConvention"] - + periodDatesAdjustments - [value "calculationPeriodDatesAdjustments"] - [hint "businessCenters"] - + dayType - [value "dayType"] - - PremiumExpression: - + premiumType - [value "premiumType"] - + pricePerOption - [value "pricePerOption"] - + percentageOfNotional - [value "percentageOfNotional"] - - PriceQuantity: - + price - // For Swap Stream - [value "calculation" path "calculationPeriodAmount" mapper "FloatingRateCalculation"] - [value "fixedRateSchedule" path "calculationPeriodAmount->calculation"] - [value "spreadSchedule" path "calculationPeriodAmount->calculation->floatingRateCalculation"] - [value "knownAmountSchedule" path "calculationPeriodAmount"] - // For FRAs: - [hint "fixedRate"] - // For Credit: - [value "fixedAmountCalculation"] - [value "spreadSchedule" path "floatingAmountCalculation->floatingRate"] - // For Equity Swaps: - [value "rateOfReturn"] - [value "floatingRateCalculation" path "interestCalculation"] - [value "spreadSchedule" path "interestCalculation->floatingRateCalculation"] - [value "floatingRateMultiplierSchedule" path "interestCalculation->floatingRateCalculation"] - [value "underlyerPrice"] - // For FX: - [value "exchangeRate"] - // For Repo: - [value "fixedRateSchedule"] - [value "floatingRateCalculation"] - [value "spreadSchedule" path "floatingRateCalculation"] - [value "floatingRateMultiplierSchedule" path "floatingRateCalculation"] - // For Commodity: - [value "fixedPrice"] // Commodity Swap Fixed Leg - [value "spread" path "calculation"] // Commodity Swap Floating Leg - // For bullet payments - [value "paymentAmount"] - + quantity - // For Swap Stream - [value "notionalStepSchedule" path "calculationPeriodAmount->calculation->notionalSchedule"] - [value "fxLinkedNotionalSchedule" path "calculationPeriodAmount->calculation"] - [value "futureValueNotional" path "calculationPeriodAmount->calculation"] - [value "notionalAmount"] - // For FRAs: - [value "notional"] - // For CDS, Swaption, Index: - [value "calculationAmount" path "fixedAmountCalculation"] - [value "calculationAmount"] - [value "calculationAmount" path "floatingAmountCalculation"] - // For Equity Swaps: - [value "singleUnderlyer" path "underlyer"] - [value "basket" path "underlyer"] - [value "underlyer"] - [value "notionalAmount" path "notional"] - // Performance - [value "fixedPayment"] - [value "variance" path "amount"] - [value "correlation" path "amount"] - [value "volatility" path "amount"] - [hint "vegaNotional"] - // For FX: - [value "paymentAmount" path "exchangedCurrency1"] - [value "paymentAmount" path "exchangedCurrency2"] - [value "putCurrencyAmount"] - [value "callCurrencyAmount"] - // For Repo: - [value "settlementAmount" path "nearLeg"] - // For Commodity - [value "notionalQuantity"] - [value "totalNotionalQuantity" mapper "TotalNotionalQuantity"] - [value "notionalQuantitySchedule"] // Commodity Option - // For Options - [value "numberOfOptions" mapper "NumberOfOptions"] // handles optionEntitlement - + observable - // For Swap Streams etc - [value "floatingRateCalculation" path "calculationPeriodAmount->calculation"] - [value "inflationRateCalculation" path "calculationPeriodAmount->calculation"] - // For FRA: - [hint "floatingRateIndex" , "indexTenor"] - // For Credit: - [value "floatingAmountCalculation"] - [value "floatingRate" path "floatingAmountCalculation"] - // For Equity: - [value "singleUnderlyer" path "underlyer"] - [value "floatingRateCalculation" path "interestCalculation"] - [hint "equity"] - [hint "index"] - // For FX: - [value "fixing" path "nonDeliverableSettlement"] - [value "fixing" path "cashSettlement"] - [hint "quotedCurrencyPair"] - [hint "fixingInformationSource"] - [hint "features", "putCurrencyAmount" , "callCurrencyAmount", "strike"] - [value "exchangeRate"] - // For Repo: - [value "floatingRateCalculation"] - // For Repo / Bond Options: - [hint "bond" , "convertibleBond"] - // For Commodity Swap Floating Leg - [hint "commodity"] - [hint "commodityClassification"] - // Other - [value "underlyer"] - [hint "basketConstituent"] - + settlementTerms - [hint "settlementType"] - [hint "paymentDelay"] - [hint "paymentDate"] - [hint "adjustablePaymentDate"] - [hint "adjustedPaymentDate"] - + buyerSeller - [hint "payerPartyReference"] - [hint "receiverPartyReference"] - + effectiveDate - [value "ignore"] // Do not map, until a canonical representation of effective date is built in the CDM and existing effective date attributes can be re-directed here - - PriceSchedule: - + value - [value "initialRate" mapper "PriceUnitType"] - [value "initialValue" mapper "PriceUnitType"] - [value "rate" maps 2 mapper "PriceUnitType"] - [value "amount" mapper "PriceUnitType"] - [value "amount" path "initialPrice->netPrice" mapper "PriceUnitType"] - [value "fixedRate" mapper "PriceUnitType"] - [value "level" mapper "PriceUnitType"] - [value "levelPercentage" mapper "PriceUnitType"] - [value "strikePrice" mapper "PriceUnitType"] - [value "spread" mapper "PriceUnitType"] - [value "spread" path "floatingRateCalculation" mapper "PriceUnitType"] - [value "referencePrice" mapper "PriceUnitType"] - [value "price" maps 2] // For Commodity Swap Fixed Leg - [value "amount" path "strikePricePerUnit" mapper "PriceUnitType"] // For Commodity Option - [value "varianceStrikePrice" mapper "PriceUnitType"] - [value "volatilityStrikePrice" mapper "PriceUnitType"] - [value "correlationStrikePrice" mapper "PriceUnitType"] - [value "fixedStrike" mapper "PriceUnitType"] - [value "value" mapper "PriceUnitType"] - + unit - [value "fxLinkedNotionalSchedule" set when "floatingRateCalculation->spreadSchedule" exists] - [value "quotedCurrencyPair"] - [value "settlementAmount" path "nearLeg"] - // For Commodity Swap Fixed Leg - [hint "priceCurrency"] - [value "priceCurrency" path "fixedPriceStep"] - [value "fixedPriceStep"] - + perUnitOf - [value "fxLinkedNotionalSchedule" set when "floatingRateCalculation->spreadSchedule" exists] - [value "quotedCurrencyPair"] - [value "settlementAmount" path "nearLeg"] - [value "amount"] - // For Commodity Swap Fixed Leg - [hint "priceUnit"] - [value "priceUnit" path "fixedPriceStep"] - [value "fixedPriceStep"] - + datedValue - [value "step"] - [value "fixedPriceStep" mapper "PriceUnitType"] - [value "strikePricePerUnitStep" mapper "CommoditySchedules"] - + priceType - [set to PriceTypeEnum -> InterestRate when path = "fixedRateSchedule"] - [set to PriceTypeEnum -> InterestRate when "fixedRate" exists] - [set to PriceTypeEnum -> InterestRate when "initialRate" exists] - [set to PriceTypeEnum -> InterestRate when "spread" exists] - [set to PriceTypeEnum -> InterestRate when path = "knownAmountSchedule"] - [set to PriceTypeEnum -> InterestRate when "floatingRateCalculation->spread" exists] - [set to PriceTypeEnum -> InterestRate when path = "spreadSchedule"] - [set to PriceTypeEnum -> InterestRate when path = "floatingRateIndex"] - [set to PriceTypeEnum -> AssetPrice when "referencePrice" exists] - [set to PriceTypeEnum -> AssetPrice when "strikePrice" exists] - [set to PriceTypeEnum -> AssetPrice when "level" exists] - [set to PriceTypeEnum -> AssetPrice when "levelPercentage" exists] - [set to PriceTypeEnum -> AssetPrice when "initialPrice->netPrice->amount" exists] - [set to PriceTypeEnum -> Dividend when "fixedStrike" exists] - [set to PriceTypeEnum -> Correlation when "correlationStrikePrice" exists] - [set to PriceTypeEnum -> Variance when path = "variance" and "varianceStrikePrice" exists] - [set to PriceTypeEnum -> Volatility when path = "variance" and "volatilityStrikePrice" exists] - [set to PriceTypeEnum -> Volatility when path = "volatility" and "volatilityStrikePrice" exists] - [set to PriceTypeEnum -> CashPrice when path = "bulletPayment->payment->paymentAmount"] - [set to PriceTypeEnum -> ExchangeRate when path = "exchangeRate" and "rate" exists] - [set to PriceTypeEnum -> ExchangeRate when path = "fxOption->strike"] - // For Commodity Swaps - [set to PriceTypeEnum -> CashPrice when path = "fixedLeg->fixedPrice"] - [set to PriceTypeEnum -> CashPrice when path = "fixedLeg->fixedPriceSchedule"] - [set to PriceTypeEnum -> AssetPrice when path = "calculation->spread"] - // For Commodity Option - [set to PriceTypeEnum -> AssetPrice when "strikePricePerUnit->amount" exists] - [value "measureType"] - + arithmeticOperator - [set to ArithmeticOperationEnum -> Add when "spread" exists] - [set to ArithmeticOperationEnum -> Add when "floatingRateCalculation->spread" exists] - [set to ArithmeticOperationEnum -> Add when path = "spreadSchedule"] - [set to ArithmeticOperationEnum -> Add when path = "floatingRateIndex"] - [set to ArithmeticOperationEnum -> Add when path = "calculation->spread"] - [set to ArithmeticOperationEnum -> Max when path = "floorRateSchedule"] - [set to ArithmeticOperationEnum -> Min when path = "capRateSchedule"] - [set to ArithmeticOperationEnum -> Multiply when path = "floatingRateMultiplierSchedule"] - - PriceComposite: - + baseValue - [value "spotRate"] - + operand - [value "forwardPoints"] - + arithmeticOperator - [set to ArithmeticOperationEnum -> Add when "forwardPoints" exists] - + operandType - [set to PriceOperandEnum -> ForwardPoint when "forwardPoints" exists] - - CashPrice: - + cashPriceType - [set to CashPriceTypeEnum -> Fee when path = "fixedLeg->fixedPrice"] - [set to CashPriceTypeEnum -> Fee when path = "bulletPayment->payment->paymentAmount"] - + feeType - [value "paymentType"] - - PrincipalPayments: - [value "PrincipalExchanges" meta "id"] - + initialPayment - [value "initialExchange"] - + finalPayment - [value "finalExchange"] - + intermediatePayment - [value "intermediateExchange"] - + principalPaymentSchedule - [value "cashflows" mapper "PrincipalPaymentSchedule"] - - QuotedCurrencyPair: - + currency1 - [value "currency1" maps 2 meta "currencyScheme"] - [value "currency" path "putCurrencyAmount" maps 2] - + currency2 - [value "currency2" maps 2 meta "currencyScheme"] - [value "currency" path "callCurrencyAmount" maps 2] - + quoteBasis - [value "quoteBasis" maps 2] - [value "rateObservationQuoteBasis" path "asian" maps 2] - [value "strikeQuoteBasis" maps 2] - - RateObservation: - [value "RateObservation" meta "id"] - + resetDate - [value "resetDate"] - + adjustedFixingDate - [value "adjustedFixingDate"] - + observedRate - [value "observedRate"] - + treatedRate - [value "treatedRate"] - + observationWeight - [value "observationWeight"] - + rateReference - [value "rateReference" meta "href"] - + forecastRate - [value "forecastRate"] - + treatedForecastRate - [value "treatedForecastRate"] - - ResetFrequency: - + weeklyRollConvention - [value "weeklyRollConvention"] - - Resource: - + resourceId - [value "resourceId" meta "resourceIdScheme"] - + resourceType - [value "resourceType" meta "resourceTypeScheme"] - + language - [value "language" meta "languageScheme"] - + sizeInBytes - [value "sizeInBytes"] - + length - [value "length"] - + mimeType - [value "mimeType" meta "mimeTypeScheme"] - + name - [value "name"] - + comments - [value "comments"] - + string - [value "string"] - + url - [value "url"] - - ResourceLength: - + lengthUnit - [value "lengthUnit"] - + lengthValue - [value "lengthValue"] - - SettlementBase: - [meta "id"] - + settlementType - [value "settlementCurrency" mapper "SettlementType"] - [value "settlementCurrency" path "exercise" mapper "SettlementType"] - [value "settlementType"] - [value "settlementType" path "equityExercise"] - [set to SettlementTypeEnum -> Cash when "cashSettlement" exists] - [set to SettlementTypeEnum -> Cash when "settlementType" = "Cash"] - [set to SettlementTypeEnum -> Cash when "amount->cashSettlement" = True] - [set to SettlementTypeEnum -> Physical when "settlementType" = "Physical"] - [set to SettlementTypeEnum -> Cash when "cashSettlementTerms" exists] - [set to SettlementTypeEnum -> Physical when "physicalSettlementTerms" exists] - [set to SettlementTypeEnum -> Physical when "physicalExercise" exists] - [set to SettlementTypeEnum -> Cash when "nonDeliverableSettlement" exists] - + settlementCurrency - [value "settlementCurrency" maps 2 meta "currencyScheme"] - [value "settlementCurrency" path "settlementProvision"] - [value "cashSettlementCurrency" meta "currencyScheme"] - [value "cashSettlementCurrency" path "cashSettlement->cashPriceMethod"] - [value "cashSettlementCurrency" path "cashSettlement->crossCurrencyMethod"] - [value "settlementCurrency" path "cashSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms -> settlementCurrency] - [value "settlementCurrency" path "physicalSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms -> settlementCurrency] - [value "settlementCurrency" path "nonDeliverableSettlement" meta "currencyScheme"] - [value "settlementCurrency" path "cashSettlement"] - [value "settlementCurrency" path "exercise"] - [value "settlementCurrency" path "equityExercise"] - [value "currency" path "amount"] - [value "entitlementCurrency"] - - SettlementTerms: - + settlementDate - [value "cashSettlement"] - [value "cashSettlementPaymentDate" path "cashSettlement"] - [hint "valueDate"] - [value "settlementDate"] - [hint "settlementDate"] - [value "americanExercise"] - [value "europeanExercise"] - [value "exercise"] - [value "equityEuropeanExercise" path "equityExercise"] - [value "equityAmericanExercise" path "equityExercise"] - [hint "paymentDelay"] - [hint "paymentDate"] - [hint "adjustablePaymentDate"] - [hint "adjustedPaymentDate"] - [value "equityExercise"] - [hint "nonDeliverableSettlement"] - + settlementProvision - [value "ignore"] - + cashSettlementTerms - [value "cashSettlement"] - [value "cashSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms] - [value "settlementProvision" /*set when rosettaPath = Payout->interestRatePayout->settlementTerms*/ ] - [value "nonDeliverableSettlement"] - + physicalSettlementTerms - [value "physicalSettlement"] - [value "physicalSettlementTerms" set when rosettaPath = CreditDefaultPayout -> settlementTerms] - [value "clearingInstructions"] - - ValuationSource: - + quotedCurrencyPair - [value "quotedCurrencyPair" meta "quoteBasis"] - + informationSource - [value "informationSource"] - [value "fxSpotRateSource"] - + settlementRateOption - [value "settlementRateSource"] - [hint "settlementRateOption"] - + referenceBanks - [value "cashSettlementReferenceBanks"] - + dealerOrCCP - [hint "dealer"] - [value "mutuallyAgreedClearinghouse"] - - SettlementRateOption: - + settlementRateOption - [value "settlementRateOption" meta "settlementRateOptionScheme"] - + priceSourceDisruption - [value "priceSourceDisruption"] - - RateSchedule: - + price - [meta "initialValue"] - [meta "fixedRate"] - [value "spread" maps 2 meta "amount"] - [value "floatingRateMultiplierSchedule"] - - SpreadSchedule: - + spreadScheduleType - [value "SpreadScheduleType" meta "spreadScheduleTypeScheme"] - - Strike: - [value "Strike" meta "id"] - + strikeRate - [value "strikeRate"] - + buyer - [value "buyer"] - + seller - [value "seller"] - - StrikeSchedule: - + buyer - [value "buyer"] - + seller - [value "seller"] - - StubFloatingRate: - [value "StubFloatingRate" meta "id"] - + floatingRateIndex - [value "floatingRateIndex"] - + indexTenor - [value "indexTenor"] - + floatingRateMultiplierSchedule - [value "floatingRateMultiplierSchedule"] - + spreadSchedule - [value "spreadSchedule"] - + rateTreatment - [value "rateTreatment"] - + capRateSchedule - [value "capRateSchedule"] - + floorRateSchedule - [value "floorRateSchedule"] - - StubValue: - + floatingRate - [value "floatingRate"] - + stubRate - [value "stubRate"] - + stubAmount - [value "stubAmount"] - - Asian: - + averagingInOut - [value "averagingInOut"] - + strikeFactor - [value "strikeFactor"] - + averagingPeriodIn - [value "averagingPeriodIn"] - + averagingPeriodOut - [value "averagingPeriodOut"] - - ObservationTerms: - + observationTime - [value "pricingDates"] - [value "fixingTime"] - [value "fixingTime" path "fixingInformationSource"] - [value "valuationTime"] - + observationTimeType - [value "pricingDates"] - + calculationPeriodDates - [hint "calculationPeriodsSchedule"] - + numberOfObservationDates - [value "numberOfReturns"] - + informationSource - [value "fixingInformationSource"] - [hint "primaryRateSource"] - + observationDates - [hint "pricingDates"] - [value "pricingDates" path "pricingDates"] - [hint "amount"] - [hint "observationSchedule"] - [hint "rateObservation"] - [hint "valuationDate"] - [hint "fixingSchedule"] + ObservationTerms: + + observationTime + [value "pricingDates"] + [value "fixingTime"] + [value "fixingTime" path "fixingInformationSource"] + [value "valuationTime"] + + observationTimeType + [value "pricingDates"] + + calculationPeriodDates + [hint "calculationPeriodsSchedule"] + + numberOfObservationDates + [value "numberOfReturns"] + + informationSource + [value "fixingInformationSource"] + [hint "primaryRateSource"] + + observationDates + [hint "pricingDates"] + [value "pricingDates" path "pricingDates"] + [hint "amount"] + [hint "observationSchedule"] + [hint "rateObservation"] + [hint "valuationDate"] + [hint "fixingSchedule"] AveragingObservationList: + averagingObservation @@ -1035,12 +920,6 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + averagingPeriodFrequency [value "averagingPeriodFrequency"] - Barrier: - + barrierCap - [value "barrierCap"] - + barrierFloor - [value "barrierFloor"] - CalendarSpread: + expirationDateTwo [value "expirationDateTwo"] @@ -1117,191 +996,404 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + paymentDate [value "featurePaymentDate"] - FxFeature: - + referenceCurrency - [value "referenceCurrency" meta "id" , "currencyScheme"] - + composite - [value "composite"] - + quanto - [value "quanto"] - + crossCurrency - [value "crossCurrency"] - GracePeriodExtension: + applicable [value "applicable"] + gracePeriod [value "gracePeriod"] - Knock: - + knockIn - [value "knockIn"] - + knockOut - [value "knockOut"] + CancelableProvision: + + exerciseNotice + [value "exerciseNotice"] + + followUpConfirmation + [value "followUpConfirmation"] + + cancelableProvisionAdjustedDates + [value "cancelableProvisionAdjustedDates"] + + finalCalculationPeriodDateAdjustment + [value "finalCalculationPeriodDateAdjustment"] + + initialFee + [value "initialFee"] + + callingParty + [value "callingParty"] - OptionFeature: - + fxFeature - [value "fxFeature"] - + averagingFeature - [value "asian"] - [value "fixingSchedule"] - [hint "averagingMethod"] - + barrier - [value "barrier"] - + knock - [value "knock"] - + passThrough - [value "passThrough"] + CancelableProvisionAdjustedDates: + + cancellationEvent + [value "cancellationEvent"] - TerminationProvision: - + cancelableProvision - [value "cancelableProvision"] - [value "repo"] - + earlyTerminationProvision - [value "earlyTerminationProvision"] + CancellationEvent: + [meta "id"] + + adjustedExerciseDate + [value "adjustedExerciseDate"] + + adjustedEarlyTerminationDate + [value "adjustedEarlyTerminationDate"] + + CashflowRepresentation: + + cashflowsMatchParameters + [value "cashflowsMatchParameters"] + + paymentCalculationPeriod + [value "paymentCalculationPeriod"] + [value "adjustedPaymentDates"] + + DateRelativeToCalculationPeriodDates: + + calculationPeriodDatesReference + [value "calculationPeriodDatesReference" meta "href"] + + DateRelativeToPaymentDates: + + paymentDatesReference + [value "paymentDatesReference" meta "href"] + + DiscountingMethod: + + discountingType + [value "discountingType"] + [value "fraDiscounting" set when "fraDiscounting" <> "NONE"] + + discountRate + [value "discountRate"] + + discountRateDayCountFraction + [value "discountRateDayCountFraction" meta "dayCountFractionScheme"] + + PrincipalPayments: + [value "PrincipalExchanges" meta "id"] + + initialPayment + [value "initialExchange"] + + finalPayment + [value "finalExchange"] + + intermediatePayment + [value "intermediateExchange"] + + principalPaymentSchedule + [value "cashflows" mapper "PrincipalPaymentSchedule"] + + EarlyTerminationEvent: + [meta "id"] + + adjustedExerciseDate + [value "adjustedExerciseDate"] + + adjustedEarlyTerminationDate + [value "adjustedEarlyTerminationDate"] + + adjustedCashSettlementValuationDate + [value "adjustedCashSettlementValuationDate"] + + adjustedCashSettlementPaymentDate + [value "adjustedCashSettlementPaymentDate"] + + adjustedExerciseFeePaymentDate + [value "adjustedExerciseFeePaymentDate"] + + EarlyTerminationProvision: + [meta "id"] + + mandatoryEarlyTermination + [value "mandatoryEarlyTermination"] + + mandatoryEarlyTerminationDateTenor + [value "mandatoryEarlyTerminationDateTenor"] + + optionalEarlyTermination + [value "optionalEarlyTermination"] [hint "mutualEarlyTermination"] - + extendibleProvision - [value "extendibleProvision"] - + evergreenProvision - [value "ignore"] + + optionalEarlyTerminationParameters + [value "optionalEarlyTerminationParameters"] - OptionStrike: - + strikePrice - [hint "price"] - [value "price"] - [hint "strikePrice"] - [hint "rate"] - [hint "spread"] - [hint "strikePricePerUnit"] - [value "strikePricePerUnitSchedule"] - [hint "spotRate"] - + strikeReference - [value "strikeReference" meta "href"] - + referenceSwapCurve - [value "referenceSwapCurve"] - + averagingStrikeFeature - [value "FxAverageStrike"] + ExerciseEvent: + [meta "id"] + + adjustedExerciseDate + [value "adjustedExerciseDate"] + + adjustedRelevantSwapEffectiveDate + [value "adjustedRelevantSwapEffectiveDate"] + + adjustedCashSettlementValuationDate + [value "adjustedCashSettlementValuationDate"] + + adjustedCashSettlementPaymentDate + [value "adjustedCashSettlementPaymentDate"] + + adjustedExerciseFeePaymentDate + [value "adjustedExerciseFeePaymentDate"] - FxRateObservable: - + quotedCurrencyPair - [value "quotedCurrencyPair" meta "quoteBasis"] - [meta "rateObservationQuoteBasis"] - + primaryFxSpotRateSource - [value "informationSource"] - [value "primaryRateSource"] - + secondaryFxSpotRateSource - [value "informationSource"] + ExercisePeriod: + [value "ExercisePeriod" meta "id"] + + earliestExerciseDateTenor + [value "earliestExerciseDateTenor"] + + exerciseFrequency + [value "exerciseFrequency"] - ObservationDates: - + observationSchedule - [hint "rateObservation"] - [hint "adjustedDate"] - + periodicSchedule - [value "observationSchedule"] - [value "fixingSchedule"] - [value "amount"] - + parametricDates - [value "observationSchedule"] - [value "pricingDates"] + ExtendibleProvision: + + exerciseNotice + [value "exerciseNotice"] + + followUpConfirmation + [value "followUpConfirmation"] + + extendibleProvisionAdjustedDates + [value "extendibleProvisionAdjustedDates"] + + callingParty + [value "callingParty"] - ObservationSchedule: - + observationDate - [value "rateObservation"] + ExtendibleProvisionAdjustedDates: + + extensionEvent + [value "extensionEvent"] - ObservationDate: - + adjustedDate - [value "date"] - + weight - [value "averageRateWeightingFactor"] + ExtensionEvent: + [value "ExtensionEvent" meta "id"] + + adjustedExerciseDate + [value "adjustedExerciseDate"] + + adjustedExtendedTerminationDate + [value "adjustedExtendedTerminationDate"] - PassThrough: - + passThroughItem - [value "passThroughItem"] + CalculationAgent: + + calculationAgentParty + [value "calculationAgentPartyReference" mapper "CalculationAgentParty"] + + calculationAgentPartyEnum + [value "calculationAgentParty"] + + calculationAgentBusinessCenter + [value "calculationAgentBusinessCenter" meta "businessCenterScheme"] - PassThroughItem: - + passThroughPercentage - [value "passThroughPercentage"] + Collateral: + + independentAmount + [value "independentAmount"] - PubliclyAvailableInformation: - + standardPublicSources - [value "standardPublicSources"] - + publicSource - [value "publicSource"] - + specifiedNumber - [value "specifiedNumber"] + CollateralProvisions: + + collateralType + [value "ignore"] + + eligibleCollateral + [value "ignore"] + + substitutionProvisions + [value "ignore"] - Quanto: - + fxRate - [value "fxRate"] - + fxSpotRateSource - [value "fxSpotRateSource"] - + fixingTime - [value "fixingTime" path "fxSpotRateSource"] + ContractualMatrix: + + matrixType + [value "matrixType" meta "matrixTypeScheme"] + + matrixTerm + [value "matrixTerm" meta "matrixTermScheme"] - Restructuring: - + applicable - [value "applicable"] - + restructuringType - [value "restructuringType" meta "restructuringScheme"] - + multipleHolderObligation - [value "multipleHolderObligation"] - + multipleCreditEventNotices - [value "multipleCreditEventNotices"] + IndependentAmount: + + paymentDetail + [value "paymentDetail"] - StrategyFeature: - + strikeSpread - [value "strikeSpread" path "strategyFeature"] - + calendarSpread - [value "calendarSpread" path "strategyFeature"] + // For CDS protectionTerms see CreditDefaultPayout + // For CDS feeLeg see InterestRatePayout + // For Equities see PerformancePayout + Payout: + + interestRatePayout + // For Rates + [value "swapStream" , "additionalTerms" /*set when rosettaPath "interestRatePayout->rateSpecification->fixedRate" exists*/ ] + [value "capFloorStream"] + [value "fra" mapper "FraPayoutSplitter"] + // For Credit: + [value "creditDefaultSwap" set when "creditDefaultSwap->feeLeg->periodicPayment" exists] + // For Equity + [value "interestLeg"] + // For Repo: + [value "repo"] + + creditDefaultPayout + [value "creditDefaultSwap"] + [value "generalTerms" path "creditDefaultSwap"] + + optionPayout + [value "swaption"] + [value "creditDefaultSwapOption"] + [value "bondOption"] + [value "fxOption"] + [value "fxDigitalOption"] + [value "equityOption"] + [value "brokerEquityOption"] + [value "equityOptionTransactionSupplement"] + [value "commodityOption"] + [value "commoditySwaption"] + [value "varianceOptionTransactionSupplement"] + [value "dividendSwapOptionTransactionSupplement"] + [value "genericProduct" set when "genericProduct->optionType" exists] + + settlementPayout + [value "fxSingleLeg"] + [value "nearLeg"] + [value "farLeg"] + [value "coalPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] + [value "electricityPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] + [value "environmentalPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] + [value "gasPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] + [value "oilPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] + [value "genericProduct" set when condition-func MapGenericProductToForwardPayout condition-path "genericProduct->productType"] + + cashflow + [value "ignore"] + + commodityPayout + [value "commoditySwap", "floatingLeg" path "commoditySwap"] + + fixedPricePayout + [value "fixedLeg" path "commoditySwap"] + [value "fixedPayment" path "fixedLeg" , "dividendPeriod" path "dividendLeg" mapper "DividendFixedLeg"] + + assetPayout + [value "ignore"] + + performancePayout + [value "varianceLeg"] + [value "volatilityLeg"] + [value "correlationLeg"] + [value "dividendLeg"] + [value "fxVarianceSwap"] + [value "fxVolatilitySwap"] + [value "returnLeg"] - StrikeSpread: - + upperStrike - [value "upperStrike"] - + upperStrikeNumberOfOptions - [value "upperStrikeNumberOfOptions"] + PayoutBase: + + payerReceiver + [hint "payerPartyReference"] + [hint "receiverPartyReference"] + [hint "buyerPartyReference"] + [hint "sellerPartyReference"] + [value "generalTerms"] + + priceQuantity + // For Swap Stream and FRA: moved to InterestRatePayout + [value "knownAmountSchedule" path "calculationPeriodAmount"] + // For Options: + [hint "numberOfOptions"] + // For Bond Option: + [hint "notionalAmount"] + // For Credit Option: + [hint "notionalReference"] + // FX + [hint "strike"] + // For Commodity + [value "commodity"] + [hint "notionalQuantity"] + [hint "totalNotionalQuantity"] + [hint "amount"] + [hint "paymentAmount"] + [hint "notionalQuantitySchedule"] + // For Repo: + [value "nearLeg"] - Trigger: - + level - [hint "level"] - [hint "levelPercentage"] - [value "levelPrice"] - + creditEvents - [value "creditEvents"] - + creditEventsReference - [value "creditEventsReference" meta "href"] - + triggerType - [value "triggerType"] - + triggerTimeType - [value "triggerTimeType"] + BuyerSeller: + + buyer + [value "buyerPartyReference" mapper "Buyer"] + [value "payerPartyReference" mapper "CashPaymentBuyer"] + + seller + [value "sellerPartyReference" mapper "Seller"] + [value "receiverPartyReference" mapper "CashPaymentSeller"] - TriggerEvent: - + schedule - [value "schedule"] - + triggerDates - [value "triggerDates"] - + trigger - [value "trigger"] - + featurePayment - [value "featurePayment"] + PayerReceiver: + + payer + [value "payerPartyReference" mapper "Payer"] + [value "sellerPartyReference" maps 2 mapper "SellerAsPayerOrReceiver"] + [value "payerPartyReference" path "floatingLeg" mapper "Payer"] // FX Var / Vol swaps + [value "receiverPartyReference" path "fixedLeg" mapper "Payer"] // FX Var / Vol swaps + + receiver + [value "receiverPartyReference" mapper "Receiver"] + [value "buyerPartyReference" maps 2 mapper "BuyerAsReceiverOrPayer"] + [value "payerPartyReference" path "fixedLeg" mapper "Receiver"] // FX Var / Vol swaps + [value "receiverPartyReference" path "floatingLeg" mapper "Receiver"] // FX Var / Vol swaps + + PartyReferencePayerReceiver: + + payerPartyReference + [value "payerPartyReference" meta "href"] + + receiverPartyReference + [value "receiverPartyReference" meta "href"] + + ResolvablePriceQuantity: + [meta "id" path "notional"] + [meta "id" path "notionalSchedule"] + [meta "id" path "notionalSchedule->notionalStepSchedule"] + [meta "id" path "notionalAmount"] + [meta "id" path "calculationAmount"] + + resolvedQuantity + [value "ignore"] + + quantityReference + [value "relativeNotionalAmount" path "notional" meta "href"] + [value "constantNotionalScheduleReference" meta "href"] + // For CDS Option, CDX Index Option, Bond Option, Swaption: + [value "notionalReference" meta "href"] + + quantitySchedule + // Swap Stream + [value "notionalStepSchedule" path "notionalSchedule" meta "initialValue"] + [meta "initialValue"] + // FRA, Bond Forward, and FX Variance Swap + [value "notional" meta "amount"] + // Equity Swap - Only mapping the notional amount in the payout, not the no. shares + [value "notionalAmount" meta "amount"] + [value "relativeNotionalAmount" meta "href" mapper "RelativeNotionalAmount"] + // Div Swaps + [value "singleUnderlyer" meta "openUnits"] + // Credit + [value "calculationAmount" meta "amount"] + [value "calculationAmount" path "protectionTerms" meta "amount"] + // Repo + [value "settlementAmount" meta "amount"] + // FX + [value "paymentAmount" path "exchangedCurrency1" meta "amount"] + [value "paymentAmount" path "exchangedCurrency2" meta "amount"] + [value "strikeQuoteBasis" path "strike" mapper "FxOptionQuantityMeta"] + // Bond Option + [meta "numberOfOptions"] + // Commodity + [meta "totalNotionalQuantity"] + // Var / Vol / Corr Swap + [value "varianceAmount" path "amount->variance" meta "amount"] + [value "volatility" path "amount" meta "vegaNotionalAmount"] + [value "notionalAmount" path "amount->correlation" meta "amount"] + // Div Swap + [value "paymentAmount" meta "amount"] + + reset + [value "notionalReset"] + + futureValueNotional + [value "futureValueNotional"] + + priceSchedule + [meta "initialValue"] - WeightedAveragingObservation: - + dateTime - [value "dateTime"] - + observationNumber - [value "observationNumber"] - + weight - [value "weight"] + FutureValueAmount: + + quantity + [meta "amount"] + + currency + [value "currency" maps 2 meta "currencyScheme"] + + calculationPeriodNumberOfDays + [value "calculationPeriodNumberOfDays"] + + valueDate + [value "valueDate"] - BondReference: - + bond - [hint "bond"] - + conditionPrecedentBond - [value "conditionPrecedentBond"] - + discrepancyClause - [value "discrepancyClause"] + InterestRatePayout: + + dayCountFraction + [value "dayCountFraction" path "calculationPeriodAmount->calculation" meta "dayCountFractionScheme"] + [value "dayCountFraction" path "feeLeg->periodicPayment->fixedAmountCalculation" meta "dayCountFractionScheme"] + [value "dayCountFraction" path "feeLeg->periodicPayment->floatingAmountCalculation" meta "dayCountFractionScheme"] + [value "dayCountFraction" meta "dayCountFractionScheme"] + [value "dayCountFraction" path "interestCalculation" meta "dayCountFractionScheme"] + + paymentDates + [value "paymentDates"] + [value "periodicPayment" path "feeLeg"] + [value "interestLegPaymentDates" path "interestLegCalculationPeriodDates"] + [hint "indexTenor"] + + paymentDate + [value "paymentDate"] + [value "feeLeg"] + + paymentDelay + [value "paymentDelay"] + + discountingMethod + [value "discounting" path "calculationPeriodAmount->calculation"] + [hint "fraDiscounting"] + + principalPayment + [value "principalExchanges"] + [hint "cashflows"] + [value "calculationPeriodAmount"] + + compoundingMethod + [value "compoundingMethod" path "calculationPeriodAmount->calculation"] + + cashflowRepresentation + [value "cashflows"] + [value "periodicPayment" path "feeLeg"] + + stubPeriod + [value "stubCalculationPeriodAmount"] + [value "stubCalculationPeriod"] + + bondReference + [value "bondReference"] + + rateSpecification + [value "calculation" path "calculationPeriodAmount"] + // For FRAs: + [hint "fixedRate" , "floatingRateIndex" , "indexTenor"] + // For CDS: + [value "periodicPayment" path "feeLeg"] + // For Equity: + [value "interestCalculation"] + // For Repo: + [hint "fixedRateSchedule"] + [hint "floatingRateCalculation"] + - priceQuantity + + priceQuantity + // For Swap Stream: + [value "calculation" path "calculationPeriodAmount"] + [value "fxLinkedNotionalSchedule" path "calculationPeriodAmount->calculation"] + [hint "calculationPeriodAmount"] + // For FRAs: + [hint "notional"] + // For the interest leg of Equity Swap: + [value "notional"] + // For the fee leg of CDS + [value "fixedAmountCalculation" path "feeLeg->periodicPayment"] + [value "floatingAmountCalculation" path "feeLeg->periodicPayment"] + [value "protectionTerms" mapper "FeeLeg"] // filtered out if feeLeg exists CalculationPeriodBase: - [meta "id"] + [meta "id"] + adjustedStartDate [value "adjustedStartDate"] + adjustedEndDate @@ -1366,227 +1458,412 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML [value "calculationPeriodsSchedule"] [value "periodicPayment" path "feeLeg"] - CancelableProvision: - + exerciseNotice - [value "exerciseNotice"] - + followUpConfirmation - [value "followUpConfirmation"] - + cancelableProvisionAdjustedDates - [value "cancelableProvisionAdjustedDates"] - + finalCalculationPeriodDateAdjustment - [value "finalCalculationPeriodDateAdjustment"] - + initialFee - [value "initialFee"] - + callingParty - [value "callingParty"] + PaymentDates: + [value "PaymentDates" meta "id"] + [value "PaymentDates" meta "id" path "interestLegCalculationPeriodDates"] + [value "relativePaymentDates" meta "id" path "calculationPeriodsScheduleReference"] + + paymentFrequency + [value "paymentFrequency"] + [value "indexTenor"] + + firstPaymentDate + [value "firstPaymentDate"] + [value "firstPaymentDate" path "periodicPayment"] + + lastRegularPaymentDate + [value "lastRegularPaymentDate"] + [value "lastRegularPaymentDate" path "periodicPayment"] + + payRelativeTo + [value "payRelativeTo"] + + paymentDaysOffset + [value "paymentDaysOffset"] + + paymentDatesAdjustments + [value "paymentDatesAdjustments"] + [value "paymentDaysOffset"] + [hint "businessCenters"] + + PaymentDateSchedule: + + interimPaymentDates + [value "paymentDatesInterim"] + [hint "adjustableDates"] + [hint "relativeDates"] + [hint "periodicDates"] + [hint "periodicPayment"] + + finalPaymentDate + [value "paymentDateFinal"] + + PaymentDetail: + [value "PaymentDetail" meta "id"] + + paymentDate + [value "paymentDate"] + + paymentRule + [value "paymentRule"] + + paymentAmount + [value "paymentAmount"] + + PercentageRule: + + paymentPercent + [value "paymentPercent"] + + notionalAmountReference + [value "notionalAmountReference" meta "href"] + + PeriodicDates: + + startDate + [value "calculationStartDate"] + [hint "startDate"] + [value "observationStartDate"] + + endDate + [value "calculationEndDate"] + [hint "endDate"] + + periodFrequency + [value "calculationPeriodFrequency"] + [value "paymentFrequency"] + [hint "rollConvention"] + + periodDatesAdjustments + [value "calculationPeriodDatesAdjustments"] + [hint "businessCenters"] + + dayType + [value "dayType"] + + StubPeriod: + + calculationPeriodDatesReference + [value "calculationPeriodDatesReference" meta "href"] + + initialStub + [value "initialStub"] + + finalStub + [value "finalStub"] + + CalculationPeriodFrequency: + + rollConvention + [value "rollConvention"] + + balanceOfFirstPeriod + [value "balanceOfFirstPeriod"] + + BondReference: + + bond + [hint "bond"] + + conditionPrecedentBond + [value "conditionPrecedentBond"] + + discrepancyClause + [value "discrepancyClause"] + + RateSpecification: + + FixedRateSpecification + [hint "fixedRateSchedule"] + [hint "fixedRate"] + [hint "fixedAmountCalculation"] + + FloatingRateSpecification + [value "floatingRateCalculation"] + // For FRAs: + [hint "floatingRateIndex" , "indexTenor"] + // For Credit: + [value "floatingAmountCalculation"] + [value "floatingRate" path "floatingAmountCalculation"] + + InflationRateSpecification + [value "inflationRateCalculation"] + + FixedRateSpecification: + [meta "id" path "fixedAmountCalculation->fixedRate"] + + rateSchedule + [value "fixedRateSchedule"] + [value "fixedAmountCalculation"] + [hint "fixedRate"] + + RateSchedule: + + price + [meta "initialValue"] + [meta "fixedRate"] + [value "spread" maps 2 meta "amount"] + [value "floatingRateMultiplierSchedule"] + + FloatingRateSpecification: + + finalRateRounding + [value "finalRateRounding"] + + negativeInterestRateTreatment + [value "negativeInterestRateTreatment"] + + InflationRateSpecification: + + inflationLag + [value "inflationLag"] + + indexSource + [value "indexSource" meta "rateSourcePageScheme"] + + mainPublication + [value "mainPublication" meta "mainPublicationScheme"] + + interpolationMethod + [value "interpolationMethod" meta "interpolationMethodScheme"] + + initialIndexLevel + [value "initialIndexLevel"] + + fallbackBondApplicable + [value "fallbackBondApplicable"] + + floatingRateMultiplierSchedule + [hint "floatingRateMultiplierSchedule"] + + FloatingRateBase: + [meta "id"] + + rateOption + [meta "floatingRateIndex"] + + spreadSchedule + [value "spreadSchedule"] + + capRateSchedule + [value "capRateSchedule"] + + floorRateSchedule + [value "floorRateSchedule"] + + SpreadSchedule: + + spreadScheduleType + [value "SpreadScheduleType" meta "spreadScheduleTypeScheme"] - CancelableProvisionAdjustedDates: - + cancellationEvent - [value "cancellationEvent"] + FloatingRate: + + floatingRateMultiplierSchedule + [value "floatingRateMultiplierSchedule"] + + rateTreatment + [value "rateTreatment"] + + calculationParameters + [value "calculationParameters"] + + fallbackRate + [value "fallbackRate"] - CancellationEvent: - [meta "id"] - + adjustedExerciseDate - [value "adjustedExerciseDate"] - + adjustedEarlyTerminationDate - [value "adjustedEarlyTerminationDate"] + FloatingRateIndex: + + InterestRateIndex + [value "floatingRateCalculation"] + [hint "floatingRateIndex", "indexTenor"] + + InflationIndex + [value "inflationRateCalculation"] - CashflowRepresentation: - + cashflowsMatchParameters - [value "cashflowsMatchParameters"] - + paymentCalculationPeriod - [value "paymentCalculationPeriod"] - [value "adjustedPaymentDates"] + InterestRateIndex: + + floatingRateIndex + [value "floatingRateIndex" maps 2 meta "floatingRateIndexScheme"] + + indexTenor + [value "indexTenor" maps 2] + + assetClass + [value "floatingRateIndex" mapper "IndexAssetClass"] - SettlementDate: - [meta "id" path "settlementDate"] - [meta "id" path "cashSettlementPaymentDate"] - + adjustableOrRelativeDate - [hint "relativeDate"] - [value "settlementDate"] - [value "settlementDate" path "nonDeliverableSettlement"] - [value "relativePaymentDates"] - [value "paymentDates"] - [hint "adjustablePaymentDate"] - [hint "adjustedPaymentDate"] - [value "paymentDate" set when "paymentAmount" exists /*and rosettaPath = PriceQuantity->settlementTerms->settlementDate*/ ] - + valueDate - [value "valueDate"] - [value "latestValueDate"] - + adjustableDates - [value "adjustableDates"] - + businessDateRange - [value "businessDateRange"] - + paymentDelay - [value "paymentDelay" set when "singlePayment" exists /*and rosettaPath = PriceQuantity->settlementTerms->settlementDate*/ ] + InflationIndex: + + inflationRateIndex + [value "floatingRateIndex" maps 2 meta "floatingRateIndexScheme"] + + indexTenor + [value "indexTenor" maps 2] + + assetClass + [set to AssetClassEnum -> InterestRate] - DateRelativeToCalculationPeriodDates: - + calculationPeriodDatesReference - [value "calculationPeriodDatesReference" meta "href"] + CreditDefaultPayout: + [meta "id"] + + generalTerms + [value "generalTerms"] + [hint "underlyer"] + + protectionTerms + [value "protectionTerms"] + - priceQuantity + + priceQuantity + [value "protectionTerms"] - DateRelativeToPaymentDates: - + paymentDatesReference - [value "paymentDatesReference" meta "href"] + GeneralTerms: + + referenceInformation + [value "referenceInformation"] + + indexReferenceInformation + [value "indexReferenceInformation"] + + basketReferenceInformation + [value "basketReferenceInformation"] + [hint "underlyer"] + + additionalTerm + [value "additionalTerm" meta "additionalTermScheme"] + + substitution + [value "substitution"] + + modifiedEquityDelivery + [value "modifiedEquityDelivery"] - DiscountingMethod: - + discountingType - [value "discountingType"] - [value "fraDiscounting" set when "fraDiscounting" <> "NONE"] - + discountRate - [value "discountRate"] - + discountRateDayCountFraction - [value "discountRateDayCountFraction" meta "dayCountFractionScheme"] + ProtectionTerms: + [value "ProtectionTerms" meta "id"] + + creditEvents + [value "creditEvents"] + + obligations + [value "obligations"] + + floatingAmountEvents + [value "floatingAmountEvents"] - EarlyTerminationEvent: - [meta "id"] - + adjustedExerciseDate - [value "adjustedExerciseDate"] - + adjustedEarlyTerminationDate - [value "adjustedEarlyTerminationDate"] - + adjustedCashSettlementValuationDate - [value "adjustedCashSettlementValuationDate"] - + adjustedCashSettlementPaymentDate - [value "adjustedCashSettlementPaymentDate"] - + adjustedExerciseFeePaymentDate - [value "adjustedExerciseFeePaymentDate"] + ReferenceInformation: + + referenceObligation + [value "referenceObligation"] + + noReferenceObligation + [value "noReferenceObligation"] + + unknownReferenceObligation + [value "unknownReferenceObligation"] + + allGuarantees + [value "allGuarantees"] + + referencePrice + [hint "referencePrice"] + + referencePolicy + [value "referencePolicy"] + + securedList + [value "securedList"] - EarlyTerminationProvision: - [meta "id"] - + mandatoryEarlyTermination - [value "mandatoryEarlyTermination"] - + mandatoryEarlyTerminationDateTenor - [value "mandatoryEarlyTerminationDateTenor"] - + optionalEarlyTermination - [value "optionalEarlyTermination"] - [hint "mutualEarlyTermination"] - + optionalEarlyTerminationParameters - [value "optionalEarlyTerminationParameters"] + ReferenceObligation: + + security + [hint "bond"] + [hint "convertibleBond"] + [hint "mortgage"] + + loan + [hint "loan"] + + primaryObligor + [value "primaryObligor"] + + primaryObligorReference + [value "primaryObligorReference" meta "href"] + + guarantor + [value "guarantor"] + + guarantorReference + [value "guarantorReference"] + + standardReferenceObligation + [value "standardReferenceObligation"] - ExerciseEvent: - [meta "id"] - + adjustedExerciseDate - [value "adjustedExerciseDate"] - + adjustedRelevantSwapEffectiveDate - [value "adjustedRelevantSwapEffectiveDate"] - + adjustedCashSettlementValuationDate - [value "adjustedCashSettlementValuationDate"] - + adjustedCashSettlementPaymentDate - [value "adjustedCashSettlementPaymentDate"] - + adjustedExerciseFeePaymentDate - [value "adjustedExerciseFeePaymentDate"] + ReferencePair: + + referenceObligation + [value "referenceObligation"] + + noReferenceObligation + [value "noReferenceObligation"] + + entityType + [value "entityType" meta "entityTypeScheme"] - ExercisePeriod: - [value "ExercisePeriod" meta "id"] - + earliestExerciseDateTenor - [value "earliestExerciseDateTenor"] - + exerciseFrequency - [value "exerciseFrequency"] + ReferencePool: + + referencePoolItem + [value "referencePoolItem"] + [value "underlyer"] + + ReferencePoolItem: + + constituentWeight + [value "constituentWeight"] + + referencePair + [value "referencePair"] + [value "referenceEntity"] + + protectionTermsReference + [value "protectionTermsReference" meta "href"] + + cashSettlementTermsReference + [value "settlementTermsReference" maps 2 meta "href"] + + physicalSettlementTermsReference + [value "settlementTermsReference" maps 2 meta "href"] + + OptionPayout: + [meta "id"] + + settlementTerms + [hint "physicalExercise"] + + payerReceiver + [hint "putCurrencyAmount"] + [hint "callCurrencyAmount"] + + feature + [value "feature"] + [value "features"] + [hint "averagingMethod"] + + observationTerms + [value "asian" path "features"] + [hint "pricingDates"] + [hint "calculationPeriodsSchedule"] + [value "equityValuation" path "equityExercise"] + + schedule + [value "schedule"] + + delivery + [value "ignore"] + + strike + [value "strike"] + [hint "strikePricePerUnit"] + [hint "strikePricePerUnitSchedule"] + [hint "spotRate"] + + underlier + [value "singleUnderlyer" path "underlyer"] + [value "basketConstituent" path "underlyer->basket"] + [value "strike"] + [hint "bond", "convertibleBond", "equity", "index", "mortgage"] + [hint "swap"] + [hint "varianceSwapTransactionSupplement"] + [hint "dividendSwapTransactionSupplement"] + [hint "commodity"] + [hint "commoditySwap"] + [hint "creditDefaultSwap"] + + optionType + [value "optionType"] + [value "strikeQuoteBasis" path "strike"] + [set to OptionTypeEnum -> Straddle when "swaptionStraddle" = True] - ExtendibleProvision: - + exerciseNotice - [value "exerciseNotice"] - + followUpConfirmation - [value "followUpConfirmation"] - + extendibleProvisionAdjustedDates - [value "extendibleProvisionAdjustedDates"] - + callingParty - [value "callingParty"] + OptionFeature: + + fxFeature + [value "fxFeature"] + + averagingFeature + [value "asian"] + [value "fixingSchedule"] + [hint "averagingMethod"] + + barrier + [value "barrier"] + + knock + [value "knock"] + + passThrough + [value "passThrough"] - ExtendibleProvisionAdjustedDates: - + extensionEvent - [value "extensionEvent"] + FxFeature: + + referenceCurrency + [value "referenceCurrency" meta "id" , "currencyScheme"] + + composite + [value "composite"] + + quanto + [value "quanto"] + + crossCurrency + [value "crossCurrency"] - ExtensionEvent: - [value "ExtensionEvent" meta "id"] - + adjustedExerciseDate - [value "adjustedExerciseDate"] - + adjustedExtendedTerminationDate - [value "adjustedExtendedTerminationDate"] + Quanto: + + fxRate + [value "fxRate"] + + fxSpotRateSource + [value "fxSpotRateSource"] + + fixingTime + [value "fixingTime" path "fxSpotRateSource"] - FallbackReferencePrice: - + valuationPostponement - [value "valuationPostponement"] - + fallBackSettlementRateOption - [value "fallBackSettlementRateOption" meta "settlementRateOptionScheme"] - + fallbackSurveyValuationPostponement - [set to True] - + calculationAgentDetermination - [value "calculationAgentDetermination"] + FxRate: + + quotedCurrencyPair + [value "quotedCurrencyPair"] + + rate + [value "rate"] - FinalCalculationPeriodDateAdjustment: - + relevantUnderlyingDateReference - [value "relevantUnderlyingDateReference" meta "href"] - + swapStreamReference - [value "swapStreamReference" meta "href"] - + businessDayConvention - [value "businessDayConvention"] + FxSpotRateSource: + + primarySource + [value "primaryRateSource"] + [hint "rateSource"] + + secondarySource + [value "secondaryRateSource"] - FloatingRateDefinition: - + calculatedRate - [value "calculatedRate"] - + rateObservation - [value "rateObservation"] - + floatingRateMultiplier - [value "floatingRateMultiplier"] - + spread - [value "spread"] - + capRate - [value "capRate"] - + floorRate - [value "floorRate"] + InformationSource: + + sourceProvider + [value "rateSource" maps 2 meta "informationProviderScheme"] + + sourcePage + [value "rateSourcePage" maps 2 meta "rateSourcePageScheme"] + + sourcePageHeading + [value "rateSourcePageHeading" maps 2] - FxFixingDate: - + businessDayConvention - [value "businessDayConvention"] - + businessCenters - [value "businessCenters"] - + businessCentersReference - [value "businessCentersReference" meta "href"] - + dateRelativeToPaymentDates - [value "dateRelativeToPaymentDates"] - + dateRelativeToCalculationPeriodDates - [value "dateRelativeToCalculationPeriodDates"] - + fxFixingDate - [value "fixingDate"] - [hint "fixingDate"] + Barrier: + + barrierCap + [value "barrierCap"] + + barrierFloor + [value "barrierFloor"] - FxLinkedNotionalAmount: - + resetDate - [value "resetDate"] - + adjustedFxSpotFixingDate - [value "adjustedFxSpotFixingDate"] - + observedFxSpotRate - [value "observedFxSpotRate"] - + notionalAmount - [value "notionalAmount"] + Knock: + + knockIn + [value "knockIn"] + + knockOut + [value "knockOut"] - FxLinkedNotionalSchedule: - + varyingNotionalCurrency - [value "varyingNotionalCurrency" meta "currencyScheme"] - + varyingNotionalFixingDates - [value "varyingNotionalFixingDates"] - + fxSpotRateSource - [value "fxSpotRateSource"] - + fixingTime - [value "fixingTime" path "fxSpotRateSource"] - + varyingNotionalInterimExchangePaymentDates - [value "varyingNotionalInterimExchangePaymentDates"] + PassThrough: + + passThroughItem + [value "passThroughItem"] - InflationRateSpecification: - + inflationLag - [value "inflationLag"] - + indexSource - [value "indexSource" meta "rateSourcePageScheme"] - + mainPublication - [value "mainPublication" meta "mainPublicationScheme"] - + interpolationMethod - [value "interpolationMethod" meta "interpolationMethodScheme"] - + initialIndexLevel - [value "initialIndexLevel"] - + fallbackBondApplicable - [value "fallbackBondApplicable"] - + floatingRateMultiplierSchedule - [hint "floatingRateMultiplierSchedule"] + PassThroughItem: + + passThroughPercentage + [value "passThroughPercentage"] + + TerminationProvision: + + cancelableProvision + [value "cancelableProvision"] + [value "repo"] + + earlyTerminationProvision + [value "earlyTerminationProvision"] + [hint "mutualEarlyTermination"] + + extendibleProvision + [value "extendibleProvision"] + + evergreenProvision + [value "ignore"] MandatoryEarlyTermination: [value "MandatoryEarlyTermination" meta "id"] @@ -1627,1221 +1904,1168 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + earlyTerminationEvent [value "earlyTerminationEvent"] - PaymentCalculationPeriod: - [value "PaymentCalculationPeriod" meta "id"] - + unadjustedPaymentDate - [value "unadjustedPaymentDate"] - + adjustedPaymentDate - [value "adjustedPaymentDate"] - + calculationPeriod - [value "calculationPeriod"] - + fixedPaymentAmount - [value "fixedPaymentAmount"] - [value "amount" path "paymentAmount"] - [value "paymentAmount"] - + discountFactor - [value "discountFactor"] - + forecastPaymentAmount - [value "forecastPaymentAmount"] - + presentValueAmount - [value "presentValueAmount"] - - PriceSourceDisruption: - + fallbackReferencePrice - [value "fallbackReferencePrice"] - - ResetDates: - [value "ResetDates" meta "id" path "resetDates"] - + calculationPeriodDatesReference - [value "calculationPeriodDatesReference" path "resetDates" meta "href"] - [value "calculationPeriodDatesReference" path "interestLegCalculationPeriodDates->interestLegResetDates" meta "href"] - + resetRelativeTo - [value "resetRelativeTo" path "resetDates"] - [value "resetRelativeTo" path "interestLegCalculationPeriodDates->interestLegResetDates"] - + fixingDates - [value "fixingDates" path "resetDates"] - [value "relativeDate" path "interestLegCalculationPeriodDates->interestLegResetDates->fixingDates"] - [value "fixingDateOffset"] - + finalFixingDate - [value "finalFixingDate" path "feeLeg->periodicPayment->floatingAmountCalculation"] - + rateCutOffDaysOffset - [value "resetCutOffDaysOffset" path "resetDates"] - + resetFrequency - [value "resetFrequency" path "resetDates" , "resetFrequency" path "interestLegCalculationPeriodDates->interestLegResetDates"] - + resetDatesAdjustments - [value "resetDatesAdjustments" path "resetDates"] - - StubCalculationPeriodAmount: - + calculationPeriodDatesReference - [value "calculationPeriodDatesReference" meta "href"] - + initialStub - [value "initialStub"] - + finalStub - [value "finalStub"] - - ValuationPostponement: - + maximumDaysOfPostponement - [value "maximumDaysOfPostponement"] + OptionStrike: + + strikePrice + [hint "price"] + [value "price"] + [hint "strikePrice"] + [hint "rate"] + [hint "spread"] + [hint "strikePricePerUnit"] + [value "strikePricePerUnitSchedule"] + [hint "spotRate"] + + strikeReference + [value "strikeReference" meta "href"] + + referenceSwapCurve + [value "referenceSwapCurve"] + + averagingStrikeFeature + [value "FxAverageStrike"] - Loan: - + borrower - [value "borrower" path "loan"] - + lien - [value "lien" path "loan" meta "lienScheme"] - + facilityType - [value "facilityType" path "loan" meta "facilityTypeScheme"] - + creditAgreementDate - [value "creditAgreementDate" path "loan"] - + tranche - [value "tranche" path "loan" meta "loanTrancheScheme"] + ObservationDates: + + observationSchedule + [hint "rateObservation"] + [hint "adjustedDate"] + + periodicSchedule + [value "observationSchedule"] + [value "fixingSchedule"] + [value "amount"] + + parametricDates + [value "observationSchedule"] + [value "pricingDates"] - AssetBase: - + taxonomy - [value "commodityClassification"] - + isExchangeListed - [set to True when "bond->exchangeId" exists] - [set to True when "convertibleBond->exchangeId" exists] - [set to True when "loan->exchangeId" exists] - [set to True when "mortgage->exchangeId" exists] - [set to True when "equity->exchangeId" exists] - [set to True when "index->exchangeId" exists] - [set to True when "commodity->exchangeId" exists] - [set to True when "exchangeTradedContractNearest->exchangeId" exists] - + exchange - [value "bond"] - [value "convertibleBond"] - [value "loan"] - [value "mortgage"] - [value "equity"] - [value "index"] - [value "commodity"] - [value "exchangeTradedContractNearest"] + ObservationSchedule: + + observationDate + [value "rateObservation"] - AssetIdentifier: - + identifier - [value "instrumentId" path "bond" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "convertibleBond" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "loan" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "mortgage" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "equity" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "index" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "commodity" maps 2 mapper "AssetIdentifierType"] - [value "instrumentId" path "exchangeTradedContractNearest" maps 2 mapper "AssetIdentifierType"] - [value "description" path "equity" maps 2 mapper "AssetIdentifierType"] - [value "currency" path "paymentAmount" maps 2 meta "currencyScheme"] - [value "currency" path "fixedAmount" maps 2 meta "currencyScheme"] - + identifierType - [set to AssetIdTypeEnum -> CurrencyCode when "paymentAmount->currency" exists] - [set to AssetIdTypeEnum -> CurrencyCode when "fixedAmount->currency" exists] - - ProductIdentifier: - + identifier - [value "productId" maps 2 mapper "ProductIdentifierSource"] - [value "productId" path "commoditySwaption" maps 2 mapper "ProductIdentifierSource"] - [value "productId" path "fra" maps 2 mapper "ProductIdentifierSource"] - [value "productId" path "creditDefaultSwapOption" maps 2 mapper "ProductIdentifierSource"] - [value "productId" path "bondOption" maps 2 mapper "ProductIdentifierSource"] - [value "productId" path "genericProduct" maps 2 mapper "ProductIdentifierSource"] + ObservationDate: + + adjustedDate + [value "date"] + + weight + [value "averageRateWeightingFactor"] - ProductBase: - + productTaxonomy - [hint "primaryAssetClass"] - [hint "secondaryAssetClass"] - [hint "fra"] - [hint "creditDefaultSwapOption"] - [hint "bondOption"] - [hint "commoditySwaption"] - [hint "genericProduct"] - [hint "productType"] + PubliclyAvailableInformation: + + standardPublicSources + [value "standardPublicSources"] + + publicSource + [value "publicSource"] + + specifiedNumber + [value "specifiedNumber"] - Taxonomy: - + source - [set to TaxonomySourceEnum -> ISDA when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification"] - [set to TaxonomySourceEnum -> EMIR when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification"] + Restructuring: + + applicable + [value "applicable"] + + restructuringType + [value "restructuringType" meta "restructuringScheme"] + + multipleHolderObligation + [value "multipleHolderObligation"] + + multipleCreditEventNotices + [value "multipleCreditEventNotices"] - ProductTaxonomy: - + primaryAssetClass - [value "primaryAssetClass" meta "assetClassScheme"] - [value "primaryAssetClass" path "fra" meta "assetClassScheme"] - [value "primaryAssetClass" path "creditDefaultSwapOption" meta "assetClassScheme"] - [value "primaryAssetClass" path "bondOption" meta "assetClassScheme"] - [value "primaryAssetClass" path "commoditySwaption" meta "assetClassScheme"] - [value "primaryAssetClass" path "genericProduct" meta "assetClassScheme"] - + secondaryAssetClass - [value "secondaryAssetClass" meta "assetClassScheme"] - [value "secondaryAssetClass" path "fra" meta "assetClassScheme"] - [value "secondaryAssetClass" path "creditDefaultSwapOption" meta "assetClassScheme"] - [value "secondaryAssetClass" path "bondOption" meta "assetClassScheme"] - [value "secondaryAssetClass" path "commoditySwaption" meta "assetClassScheme"] - [value "secondaryAssetClass" path "genericProduct" meta "assetClassScheme"] - + source - [value "productType" mapper "TaxonomySource"] - [value "productType" path "fra" mapper "TaxonomySource"] - [value "productType" path "creditDefaultSwapOption" mapper "TaxonomySource"] - [value "productType" path "bondOption" mapper "TaxonomySource"] - [value "productType" path "commoditySwaption" mapper "TaxonomySource"] - [value "productType" path "genericProduct" mapper "TaxonomySource"] + StrategyFeature: + + strikeSpread + [value "strikeSpread" path "strategyFeature"] + + calendarSpread + [value "calendarSpread" path "strategyFeature"] - TaxonomyValue: - + name - [value "productType"] - [value "productType" path "fra"] - [value "productType" path "creditDefaultSwapOption"] - [value "productType" path "bondOption"] - [value "productType" path "commoditySwaption"] - [value "productType" path "genericProduct"] + StrikeSpread: + + upperStrike + [value "upperStrike"] + + upperStrikeNumberOfOptions + [value "upperStrikeNumberOfOptions"] - TaxonomyClassification: - + value - [value "code"] - + ordinal - [set to 1 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-1-commodity-classification"] - [set to 2 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-2-commodity-classification"] - [set to 3 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/esma-emir-refit-layer-3-commodity-classification"] - [set to 1 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-1-commodity-classification"] - [set to 2 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-2-commodity-classification"] - [set to 3 when "code->commodityClassificationScheme" = "http://www.fpml.org/coding-scheme/isda-layer-3-commodity-classification"] + Trigger: + + level + [hint "level"] + [hint "levelPercentage"] + [value "levelPrice"] + + creditEvents + [value "creditEvents"] + + creditEventsReference + [value "creditEventsReference" meta "href"] + + triggerType + [value "triggerType"] + + triggerTimeType + [value "triggerTimeType"] - Security: - + identifier - [value "equity" meta "description"] - [meta "instrumentId"] - [hint "bond"] - [hint "convertibleBond"] - [hint "mortgage"] - [hint "equity"] - + securityType - [set to SecurityTypeEnum -> Debt when "bond" exists] - [set to SecurityTypeEnum -> Debt when "convertibleBond" exists] - [set to SecurityTypeEnum -> Debt when "mortgage" exists] - [set to SecurityTypeEnum -> Equity when "equity" exists] + TriggerEvent: + + schedule + [value "schedule"] + + triggerDates + [value "triggerDates"] + + trigger + [value "trigger"] + + featurePayment + [value "featurePayment"] - MeasureSchedule: - + datedValue - [value "ignore"] + WeightedAveragingObservation: + + dateTime + [value "dateTime"] + + observationNumber + [value "observationNumber"] + + weight + [value "weight"] - QuantitySchedule: - + value - [value "initialValue" maps 2] - [value "amount" maps 2] - [value "openUnits" maps 2] - [value "numberOfOptions" maps 2] - [value "basketPercentage" maps 2] - [value "quantity" maps 2] - [value "amount" path "paymentAmount"] - [value "amount" path "fixedAmount"] - [value "amount" path "varianceAmount"] - [value "amount" path "notionalAmount"] - [value "vegaNotionalAmount" mapper "VegaNotionalAmount"] - [value "amount" path "vegaNotional" mapper "VegaNotionalAmount"] - + unit - [value "singleUnderlyer"] - [value "basket"] - [value "basketPercentage"] - [hint "openUnits"] - [value "paymentAmount"] - [value "fixedAmount"] - [value "varianceAmount"] - [value "notionalAmount"] - [value "notionalStep"] - [hint "quantityUnit"] - + multiplier - [hint "optionEntitlement"] - [hint "entitlementCurrency"] - + frequency - [value "Frequency"] - // For Commodity Swap Fixed Leg - [hint "quantityFrequency"] - [value "notionalStep"] - + datedValue - [value "step"] - [value "notionalStep"] - [value "period"] - [value "calculationPeriod" path "period"] + Underlier: + + Observable + [value "bond" meta "instrumentId" mapper "UnderlierMeta"] + [value "convertibleBond" meta "instrumentId" mapper "UnderlierMeta"] + [value "equity" meta "instrumentId" mapper "UnderlierMeta"] + [value "index" meta "instrumentId" mapper "UnderlierMeta"] + [value "mortgage" meta "instrumentId" mapper "UnderlierMeta"] + [value "commodity" meta "instrumentId" mapper "UnderlierMeta"] + [value "strikeQuoteBasis" mapper "AssetCashMeta"] + [value "quotedCurrencyPair" meta "quoteBasis"] - Measure: - // Only used to map quantity multiplier - // TBD: merge Measure, PriceSchedule and QuantitySchedule synonyms into a single "MeasureBase" - + value - [value "optionEntitlement"] - + unit - [hint "entitlementCurrency"] + Product: + + NonTransferableProduct + [value "swap"] + [value "varianceSwapTransactionSupplement"] + [value "dividendSwapTransactionSupplement"] + [value "creditDefaultSwap"] + [hint "creditDefaultSwap"] + [value "commoditySwap"] + [hint "commoditySwap"] + + TransferableProduct + [value "ignore"] - FixedPrice: - + price - [value "fixedPrice" meta "price"] - [hint "fixedStrike"] - [value "fixedPriceStep" path "fixedPriceSchedule" meta "price"] + ExerciseTerms: + + commencementDate + [value "commencementDate" path "americanExercise"] + [value "commencementDate" path "americanExercise->exercisePeriod"] + [value "commencementDate" path "exercise->americanExercise->exercisePeriod"] + [value "commencementDate" path "equityExercise->equityAmericanExercise"] + + earliestExerciseTime + [value "earliestExerciseTime" path "americanExercise"] + [value "earliestExerciseTime" path "bermudaExercise"] + [value "earliestExerciseTime" path "europeanExercise"] + + exerciseDates + [value "bermudaExerciseDates" path "bermudaExercise"] + [value "bermudaExerciseDates" path "equityBermudaExercise"] + [value "bermudaExerciseDates" path "equityExercise->equityBermudaExercise"] + + exerciseFee + [value "exerciseFee" path "europeanExercise"] + + exerciseFeeSchedule + [value "exerciseFeeSchedule" path "americanExercise"] + [value "exerciseFeeSchedule" path "bermudaExercise"] + + exerciseProcedure + [value "physicalExercise"] + [value "exerciseProcedure"] + [value "exercise"] + [value "equityExercise"] + [value "equityAmericanExercise" path "equityExercise"] + [value "europeanExercise"] + [value "americanExercise"] + [hint "exercise"] + + expirationDate + [value "expirationDate" path "americanExercise"] + [value "expirationDate" path "americanExercise->exercisePeriod"] + [value "expirationDate" path "exercise->americanExercise->exercisePeriod"] + [value "expirationDate" path "equityExercise->equityAmericanExercise"] + [value "expirationDates" path "americanExercise"] + [value "expirationDate" path "europeanExercise"] + [value "expirationDate" path "exercise->europeanExercise"] + [value "expirationDate" path "equityExercise->equityEuropeanExercise"] + [value "expirationDate" path "physicalExercise->europeanExercise"] + [value "expirationDates" path "europeanExercise"] + // For FX Option + [value "europeanExercise"] + [value "americanExercise"] + // [hint "americanExercise->expiryDate"] + // [hint "expiryDate"] + + expirationTime + [value "expirationTime" path "americanExercise"] + [value "expiryTime" path "americanExercise"] + [value "equityExpirationTime" path "equityAmericanExercise"] + [value "expirationTime" path "bermudaExercise"] + [value "equityExpirationTime" path "equityBermudaExercise"] + [value "expirationTime" path "europeanExercise"] + [value "expirationTime" path "physicalExercise->europeanExercise"] + [value "equityExpirationTime" path "equityEuropeanExercise"] + // For FX Options + [value "expiryTime" path "europeanExercise"] + + expirationTimeType + [value "equityExpirationTimeType" path "equityExercise->equityEuropeanExercise"] + [value "equityExpirationTimeType" path "equityExercise->equityAmericanExercise"] + [value "equityExpirationTimeType" path "equityExercise->equityBermudaExercise"] + + latestExerciseTime + [value "latestExerciseTime" path "americanExercise"] + [value "latestExerciseTime" path "equityExercise->equityAmericanExercise"] + [value "latestExerciseTime" path "bermudaExercise"] + [value "latestExerciseTime" path "equityExercise->equityBermudaExercise"] + + multipleExercise + [value "multipleExercise" path "americanExercise"] + [value "equityMultipleExercise" path "equityExercise->equityAmericanExercise"] + [value "multipleExercise" path "bermudaExercise"] + [value "equityMultipleExercise" path "equityExercise->equityBermudaExercise"] + + partialExercise + [value "partialExercise" path "europeanExercise"] + [value "partialExercise" path "creditDefaultSwapOption->europeanExercise"] + [value "partialExercise" path "bondOption->europeanExercise"] + [value "partialExercise" path "cancelableProvision->europeanExercise"] + [value "partialExercise" path "extendibleProvision->europeanExercise"] + [value "partialExercise" path "swaption->europeanExercise"] + + relevantUnderlyingDate + [value "relevantUnderlyingDate" path "americanExercise"] + [value "relevantUnderlyingDate" path "bermudaExercise"] + [value "relevantUnderlyingDate" path "europeanExercise"] + + style + [set to OptionExerciseStyleEnum -> European when "europeanExercise" exists] + [set to OptionExerciseStyleEnum -> European when "physicalExercise->europeanExercise" exists] + [set to OptionExerciseStyleEnum -> European when "exercise->europeanExercise" exists] + [set to OptionExerciseStyleEnum -> European when "equityExercise->equityEuropeanExercise" exists] + [set to OptionExerciseStyleEnum -> American when "americanExercise" exists] + [set to OptionExerciseStyleEnum -> American when "physicalExercise->americanExercise" exists] + [set to OptionExerciseStyleEnum -> American when "exercise->americanExercise" exists] + [set to OptionExerciseStyleEnum -> American when "equityExercise->equityAmericanExercise" exists] + [set to OptionExerciseStyleEnum -> Bermuda when "bermudaExercise" exists] + [set to OptionExerciseStyleEnum -> Bermuda when "equityExercise->equityBermudaExercise" exists] - NonNegativeStep: - + stepDate - [value "stepDate"] - + stepValue - [value "stepValue"] + ExerciseFee: + + notionalReference + [value "notionalReference" meta "href"] + + feeAmount + [value "feeAmount"] + + feeRate + [value "feeRate"] + + feePaymentDate + [value "feePaymentDate"] - Rounding: - + roundingDirection - [value "roundingDirection"] - + precision - [value "precision"] + ExerciseFeeSchedule: + + notionalReference + [value "notionalReference" meta "href"] + + feeAmountSchedule + [value "feeAmountSchedule"] + + feeRateSchedule + [value "feeRateSchedule"] + + feePaymentDate + [value "feePaymentDate"] - Schedule: - + value - [value "initialValue" set when "step" exists] - + datedValue - [value "step"] + ExerciseNotice: + + exerciseNoticeGiver + [value "partyReference" mapper "ExerciseNoticeGiver"] + + exerciseNoticeReceiver + [value "exerciseNoticePartyReference" mapper "ExerciseNoticeReceiver"] + + businessCenter + [value "businessCenter" meta "businessCenterScheme"] - DatedValue: - [value "Step" meta "id"] - + date - [value "stepDate" maps 2] - [value "startDate" maps 2] - + value - [value "stepValue" maps 2] - [value "quantity" set when path = "notionalStep"] - [value "amount" maps 2] - [value "price" maps 2] + ExerciseProcedure: + + manualExercise + [value "manualExercise"] + + automaticExercise + [hint "automaticExercise"] + + followUpConfirmation + [value "followUpConfirmation"] + [value "writtenConfirmation"] + + limitedRightToConfirm + [value "limitedRightToConfirm"] + + splitTicket + [value "splitTicket"] - DividendCurrency: - + currency - [value "currency" meta "currencyScheme"] - + determinationMethod - [value "determinationMethod"] - + currencyReference - [value "currencyReference" meta "href"] + ManualExercise: + + exerciseNotice + [value "exerciseNotice"] + + fallbackExercise + [value "fallbackExercise"] - DividendDateReference: - + dateReference - [value "dividendDateReference"] - + paymentDateOffset - [value "paymentDateOffset"] - [value "relativeDate"] + Money: + [value "Money" meta "id"] - DividendPaymentDate: - + dividendDateReference - [hint "dividendDateReference"] - + dividendDate - [value "paymentDate"] - [hint "unadjustedStartDate"] - [hint "unadjustedEndDate"] - [value "dividendPeriodEffectiveDate" meta "href"] - [value "dividendPeriodEndDate" meta "href"] + MultipleExercise: + + maximumNotionalAmount + [value "maximumNotionalAmount"] + + maximumNumberOfOptions + [value "maximumNumberOfOptions"] - AssignedIdentifier: + OtherAgreement: + identifier - [value "tradeId" maps 2 meta "tradeIdScheme"] - [value "tradeId" path "versionedTradeId" meta "tradeIdScheme"] - [value "businessUnitId" meta "unitScheme"] - [value "eventId" meta "eventIdScheme"] - [value "messageId"] - [value "collateralPortfolio"] - [value "linkId" path "partyTradeIdentifier" mapper "LinkId"] + [value "identifier" meta "agreementIdScheme"] + + otherAgreementType + [value "type" meta "agreementTypeScheme"] + version - [value "version" path "versionedTradeId"] - [value "version"] + [value "version" meta "agreementVersionScheme"] + + date + [value "date"] - TradeIdentifier: - + identifierType - // [set to TradeIdentifierTypeEnum -> UniqueSwapIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier" and "issuer->issuerIdScheme" = "http://www.fpml.org/coding-scheme/external/cftc/issuer-identifier"] - [set to TradeIdentifierTypeEnum -> UniqueTransactionIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/uti"] - [set to TradeIdentifierTypeEnum -> UniqueTransactionIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/unique-transaction-identifier"] - [set to TradeIdentifierTypeEnum -> UniqueSwapIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/usi"] - [set to TradeIdentifierTypeEnum -> UniqueSwapIdentifier when "tradeId->tradeIdScheme" = "http://www.fpml.org/coding-scheme/external/unique-swap-identifier"] + PartialExercise: + + notionaReference + [value "notionalReference" meta "href"] + + integralMultipleAmount + [value "integralMultipleAmount"] + [value "integralMultipleExercise"] + + minimumNotionalAmount + [value "minimumNotionalAmount"] + + minimumNumberOfOptions + [value "minimumNumberOfOptions"] - Identifier: + CommodityPayout: [meta "id"] - [meta "id" path "versionedTradeId->tradeId"] - + issuerReference - [value "issuer" meta "href"] - [value "partyReference" meta "href"] - + issuer - [value "issuer" maps 2 meta "issuerIdScheme"] + + pricingDates + [value "pricingDates" path "calculation"] + + paymentDates + [value "paymentDates"] + [value "relativePaymentDates"] + + underlier + [value "commodity" meta "instrumentId"] + + fxFeature + [value "fxFeature"] + + calculationPeriodDates + [hint "calculationPeriodsSchedule"] + [hint "calculationPeriods"] + + delivery + [value "ignore"] - IdentifiedList: - + listId - [value "packageIdentifier" , "packageIdentifier" path "packageHeader"] - + componentId - [value "partyTradeIdentifier" path "trade->tradeHeader" set when "trade->tradeHeader->originatingPackage" exists] + CommodityPriceReturnTerms: + + spread + [value "calculation"] + + conversionFactor + [value "conversionFactor" path "calculation"] - CalculationAgentModel: - + calculationAgent - [value "calculationAgent"] - [value "calculationAgent" path "swaption"] - + calculationAgentBusinessCenter - [value "calculationAgentBusinessCenter"] + PricingDates: + + specifiedDates + [value "calculationPeriodsScheduleReference"] + [value "pricingDates"] + + ParametricDates: + + dayOfWeek + [value "dayOfWeek"] + + dayDistribution + [value "dayDistribution"] + + businessCenters + [hint "businessCalendar"] + + dayType + [value "dayType"] + + lag + [value "lag"] + + Lag: + + lagDuration + [value "lagDuration"] + + firstObservationDateOffset + [value "firstObservationDateOffset"] - PercentageRule: - + paymentPercent - [value "paymentPercent"] - + notionalAmountReference - [value "notionalAmountReference" meta "href"] + Commodity: + + identifier + [hint "commodity"] + + priceQuoteType + [value "specifiedPrice" path "commodity" maps 2] + + deliveryDateReference + [value "commodity"] + + description + [value "description" path "commodity"] - Observable: - + productIdentifier + DeliveryDateParameters: + + deliveryNearby + [hint "deliveryDates"] + [value "deliveryNearby"] + + deliveryDateRollConvention + [value "deliveryDateRollConvention"] + + deliveryDateExpirationConvention [value "ignore"] - + basket - [hint "basketConstituent"] - Cashflow: - [meta "id"] - + priceQuantity - // For FX Option - [hint "putCurrencyAmount"] - [hint "callCurrencyAmount"] - // For FX: - [hint "exchangedCurrency1"] - [hint "exchangedCurrency2"] + SettlementPayout: + [meta "id"] + payerReceiver - [value "exchangedCurrency1"] - [value "exchangedCurrency2"] - [hint "putCurrencyAmount"] - [hint "callCurrencyAmount"] - - CashflowType: - + cashflowType - [value "paymentType"] - - TradeState: - [meta "id" path "trade"] - + trade - [value "trade" mapper "Party"] - [hint "party" , "account" , "quote" , "partyTradeIdentifier"] - + resetHistory + [value "exchangedCurrency1" maps 2 set when "exchangeRate->quotedCurrencyPair->quoteBasis" = "Currency2PerCurrency1"] + [value "exchangedCurrency2" maps 2 set when "exchangeRate->quotedCurrencyPair->quoteBasis" = "Currency1PerCurrency2"] + + priceQuantity + [value "exchangedCurrency1" maps 2 set when "exchangeRate->quotedCurrencyPair->quoteBasis" = "Currency2PerCurrency1"] + [value "exchangedCurrency2" maps 2 set when "exchangeRate->quotedCurrencyPair->quoteBasis" = "Currency1PerCurrency2"] + [hint "notional"] + + underlier + [value "quoteBasis" path "exchangeRate->quotedCurrencyPair" mapper "AssetCashMeta"] + [value "underlyer"] + + delivery [value "ignore"] - + transferHistory - // premium - [value "bondOption" path "trade"] - [value "swaption" path "trade"] - [value "fxOption" path "trade"] - [value "fxDigitalOption" path "trade"] - [value "creditDefaultSwapOption" path "trade"] - [value "commodityOption" path "trade"] - [value "commodityBasketOption" path "trade"] - [value "capFloor" path "trade"] - [value "commoditySwaption" path "trade"] - // equityPremium - [value "equityOption" path "trade"] - [value "brokerEquityOption" path "trade"] - [value "dividendSwapOptionTransactionSupplement" path "trade"] - [value "equityOptionTransactionSupplement" path "trade"] - [value "varianceOptionTransactionSupplement" path "trade"] - [value "dividendSwapOptionTransactionSupplement" path "trade"] - [value "fxVarianceSwap" path "trade"] - [value "fxVolatilitySwap" path "trade"] - // initialPayment / singlePayment - [value "feeLeg" path "trade->creditDefaultSwap"] - // additionalPayment - [value "swap" path "trade"] - // otherPartyPayment - [value "trade"] - + observationHistory + + FixedPricePayout: + [meta "id"] + + paymentDates + [value "paymentDates"] + [value "relativePaymentDates"] + [hint "paymentDate"] + + schedule [value "ignore"] - Trade: - + tradeIdentifier - [value "partyTradeIdentifier"] - [value "partyTradeIdentifier" path "tradeHeader"] - [value "tradeHeader"] - + tradeDate - [value "tradeDate" maps 2 meta "id"] - [value "tradeDate" path "tradeHeader" maps 2 meta "id"] - + party - [value "party"] - + partyRole - [value "determiningParty" , "barrierDeterminationAgent" , "hedgingParty" , "brokerPartyReference" mapper "PartyRole"] - [value "partyTradeIdentifier" path "tradeHeader" , "partyTradeInformation" path "tradeHeader"] - + clearedDate - [value "clearedDate" path "tradeHeader"] - + collateral - [value "collateral"] - + account - [value "account"] + FixedPrice: + + price + [value "fixedPrice" meta "price"] + [hint "fixedStrike"] + [value "fixedPriceStep" path "fixedPriceSchedule" meta "price"] - TransferState: - [meta "id" path "singlePayment"] - [meta "id" path "additionalPayment"] - + transfer - [value "premium"] - [value "equityPremium"] - [value "initialPayment"] - [value "singlePayment"] - [value "additionalPayment"] - [value "otherPartyPayment"] + PaymentDiscounting: + + discountFactor + [value "discountFactor"] + + presentValueAmount + [value "presentValueAmount"] - Transfer: - + identifier + PerformancePayout: + [meta "id"] + + payerReceiver + [hint "fixedLeg"] + [hint "floatingLeg"] + - priceQuantity + + priceQuantity + [value "vegaNotional" set when path = "fxVolatilitySwap"] + // For Equity Swap + [value "rateOfReturn"] + [value "underlyer" set when path = "dividendLeg"] + [value "notional"] // when monetary amount + [hint "notional"] // for FX Variance Swap + + paymentDates + [value "paymentDates" path "rateOfReturn"] + + underlier + [value "singleUnderlyer" path "underlyer"] + [value "basketConstituent" path "underlyer->basket"] + [hint "quotedCurrencyPair"] + + fxFeature + [value "fxFeature"] + + portfolioReturnTerms [value "ignore"] - + settlementOrigin + + initialValuationPrice [value "ignore"] - + resetOrigin + + interimValuationPrice + [value "ignore"] + + finalValuationPrice [value "ignore"] - TransferExpression: - + priceTransfer - [set to FeeTypeEnum -> Upfront when path = "additionalPayment"] - [set to FeeTypeEnum -> Upfront when path = "otherPartyPayment"] - [set to FeeTypeEnum -> Upfront when path = "initialPayment"] - [set to FeeTypeEnum -> Upfront when path = "singlePayment->fixedAmount"] - [set to FeeTypeEnum -> Upfront when "paymentType" = "Additional Payment"] - [set to FeeTypeEnum -> Premium when path = "premium"] - [set to FeeTypeEnum -> Premium when path = "equityPremium"] - [set to FeeTypeEnum -> BrokerageCommission when "paymentType" = "Brokerage"] - [set to FeeTypeEnum -> Novation when path = "novation->payment"] + ValuationDates: + + initialValuationDate + [value "initialPrice" path "rateOfReturn"] + + interimValuationDate + [value "valuationPriceInterim" path "rateOfReturn"] + + finalValuationDate + [value "valuationPriceFinal" path "rateOfReturn"] + [value "valuation"] + [hint "valuationDate"] + [hint "valuationDateOffset"] - Asset: - + Cash - [hint "paymentAmount"] - [hint "fixedAmount"] - + Commodity - [hint "commodity"] - [hint "commodityClassification"] - + DigitalAsset - [value "ignore"] - + Instrument - [hint "equity"] - [hint "bond"] - [hint "convertibleBond"] - [hint "loan"] - [hint "exchangeTradedContractNearest"] + PerformanceValuationDates: + [meta "id" path "valuationRules"] + + determinationMethod + [value "determinationMethod"] + + valuationDate + [value "valuationDate" path "valuationRules"] + [value "valuationDate"] + [hint "valuationDate"] + + valuationDates + [value "valuationDates" path "valuationRules"] + [value "valuationDates"] + [hint "valuationDateOffset"] + + valuationTimeType + [value "valuationTimeType" path "valuationRules"] + [value "valuationTimeType"] + + valuationTime + [value "valuationTime"] - Instrument: - + ListedDerivative - [hint "exchangeTradedContractNearest"] - + Loan - [hint "loan"] - + Security - [hint "equity"] - [hint "bond"] - [hint "convertibleBond"] + ReturnTerms: + + priceReturnTerms + [value "return"] + + dividendReturnTerms + // Equity swaps + [value "return" , "underlyer"] + // Dividend swaps + [hint "declaredCashDividendPercentage" , "declaredCashEquivalentDividendPercentage" , "dividendPeriod" , "specialDividends" , "materialDividend"] + + varianceReturnTerms + [value "variance" path "amount"] + [hint "amount"] + [hint "valuation"] + [hint "annualizationFactor" , "meanAdjustment" , "vegaNotional" , "fixedLeg"] + + volatilityReturnTerms + [value "volatility" path "amount"] + [hint "amount"] + [hint "valuation"] + [hint "annualizationFactor" , "meanAdjustment" , "fixedLeg"] + + correlationReturnTerms + [value "correlation" path "amount"] + [hint "amount"] + [hint "valuation"] - IndexBase: - + name - [value "description" path "index"] - + provider - [value "ignore"] - + assetClass - [value "index" mapper "IndexAssetClass"] - [value "quoteBasis" mapper "IndexAssetClass"] - [value "putCurrencyAmount" mapper "IndexAssetClass"] - [value "callCurrencyAmount" mapper "IndexAssetClass"] + PriceReturnTerms: + + returnType + [value "returnType"] + + DividendReturnTerms: + + dividendPayoutRatio + // Equity swaps + [value "singleUnderlyer", "basketConstituent" path "basket", "dividendConditions" mapper "DividendPayoutBasketConstituent"] + // Dividend swaps + [hint "declaredCashDividendPercentage" , "declaredCashEquivalentDividendPercentage"] + + dividendReinvestment + [value "dividendReinvestment" path "dividendConditions"] + + dividendEntitlement + [value "dividendEntitlement" path "dividendConditions"] + + dividendAmountType + [value "dividendAmount" path "dividendConditions"] + + firstOrSecondPeriod + [value "dividendPeriod" path "dividendConditions"] + + extraordinaryDividendsParty + [value "extraOrdinaryDividends" path "dividendConditions" mapper "ExtraordinaryDividendsParty"] + + excessDividendAmount + [value "excessDividendAmount" path "dividendConditions"] + + dividendCurrency + [value "dividendConditions"] + + nonCashDividendTreatment + [value "nonCashDividendTreatment" path "dividendConditions"] + + dividendComposition + [value "dividendComposition" path "dividendConditions"] + + specialDividends + [value "specialDividends"] + + materialDividend + [value "materialDividend"] + + dividendPeriod + // Equity swaps + [value "dividendConditions"] + // Dividend swaps + [value "dividendPeriod"] - Index: - + CreditIndex - [value "ignore"] - + EquityIndex - [hint "index"] - + FloatingRateIndex - [value "ignore"] - + ForeignExchangeRate - [value "putCurrencyAmount"] - [value "callCurrencyAmount"] - [hint "putCurrencyAmount"] - [hint "callCurrencyAmount"] - [value "quotedCurrencyPair"] - [value "fixingInformationSource"] - [value "strike"] - [value "asian" path "features"] - + InflationIndex - [value "ignore"] - + OtherIndex - [value "ignore"] + DividendPeriod: + + startDate + [hint "unadjustedStartDate"] + [hint "dividendPeriodEffectiveDate"] + + endDate + [hint "unadjustedEndDate"] + [hint "dividendPeriodEndDate"] + + dateAdjustments + [value "dateAdjustments"] + + basketConstituent + [value "underlierReference"] + + dividendPaymentDate + [value "dividendPaymentDate"] + [hint "paymentDate"] + + dividendValuationDate + [value "valuationDate"] - ForeignExchangeRate: - + primaryFxSpotRateSource - [value "primaryRateSource"] + DividendCurrency: + + currency + [value "currency" meta "currencyScheme"] + + determinationMethod + [value "determinationMethod"] + + currencyReference + [value "currencyReference" meta "href"] - ContractDetails: - + documentation - [value "documentation" mapper "Documentation"] - + governingLaw - [value "governingLaw" meta "governingLawScheme"] + DividendDateReference: + + dateReference + [value "dividendDateReference"] + + paymentDateOffset + [value "paymentDateOffset"] + [value "relativeDate"] - ExecutionDetails: - + packageReference - [value "originatingPackage" path "tradeHeader"] + DividendPaymentDate: + + dividendDateReference + [hint "dividendDateReference"] + + dividendDate + [value "paymentDate"] + [hint "unadjustedStartDate"] + [hint "unadjustedEndDate"] + [value "dividendPeriodEffectiveDate" meta "href"] + [value "dividendPeriodEndDate" meta "href"] - FixedRateSpecification: - [meta "id" path "fixedAmountCalculation->fixedRate"] - + rateSchedule - [value "fixedRateSchedule"] - [value "fixedAmountCalculation"] - [hint "fixedRate"] + ReturnTermsBase: + + expectedN + [value "expectedN"] + + initialLevel + [value "initialLevel"] - ResolvablePriceQuantity: - [meta "id" path "notional"] - [meta "id" path "notionalSchedule"] - [meta "id" path "notionalSchedule->notionalStepSchedule"] - [meta "id" path "notionalAmount"] - [meta "id" path "calculationAmount"] - + resolvedQuantity - [value "ignore"] - + quantityReference - [value "relativeNotionalAmount" path "notional" meta "href"] - [value "constantNotionalScheduleReference" meta "href"] - // For CDS Option, CDX Index Option, Bond Option, Swaption: - [value "notionalReference" meta "href"] - + quantitySchedule - // Swap Stream - [value "notionalStepSchedule" path "notionalSchedule" meta "initialValue"] - [meta "initialValue"] - // FRA and FX Variance Swap - [value "notional" meta "amount"] - // Equity Swap - Only mapping the notional amount in the payout, not the no. shares - [value "notionalAmount" meta "amount"] - [value "relativeNotionalAmount" meta "href" mapper "RelativeNotionalAmount"] - // Div Swaps - [value "singleUnderlyer" meta "openUnits"] - // Credit - [value "calculationAmount" meta "amount"] - [value "calculationAmount" path "protectionTerms" meta "amount"] - // Repo - [value "settlementAmount" meta "amount"] - // FX - [value "paymentAmount" path "exchangedCurrency1" meta "amount"] - [value "paymentAmount" path "exchangedCurrency2" meta "amount"] - [value "putCurrencyAmount" meta "amount"] - [value "callCurrencyAmount" meta "amount"] - // Bond Option - [meta "numberOfOptions"] - // Commodity - [meta "totalNotionalQuantity"] - // Var / Vol / Corr Swap - [value "varianceAmount" path "amount->variance" meta "amount"] - [value "volatility" path "amount" meta "vegaNotionalAmount"] - [value "notionalAmount" path "amount->correlation" meta "amount"] - // Div Swap - [value "paymentAmount" meta "amount"] - + reset - [value "notionalReset"] - + futureValueNotional - [value "futureValueNotional"] - + priceSchedule - [meta "initialValue"] + VolatilityReturnTerms: + // Common for variance, volatility and correlation (ReturnTermsBase) + + dividendApplicability + [value "amount" set when path = "volatilityLeg"] + + valuationTerms + [value "valuation" set when path = "volatilityLeg"] + // Volatility specific + + volatilityStrikePrice + [hint "volatilityStrikePrice"] + [value "fixedLeg" set when path = "fxVolatilitySwap"] + + volatilityCapFloor + [value "volatilityCap"] + + annualizationFactor + [value "annualizationFactor" set when path = "fxVolatilitySwap"] + + meanAdjustment + [value "meanAdjustment" set when path = "fxVolatilitySwap"] - CreditDefaultPayout: - [meta "id"] - + generalTerms - [value "generalTerms"] - [hint "underlyer"] - + protectionTerms - [value "protectionTerms"] - - priceQuantity - + priceQuantity - [value "protectionTerms"] + VarianceReturnTerms: + // Common for variance, volatility and correlation (ReturnTermsBase) + + dividendApplicability + [value "amount" set when path = "varianceLeg"] + + valuationTerms + [value "valuation" set when path = "varianceLeg"] + // Variance specific + + varianceStrikePrice + [hint "varianceStrikePrice"] + [value "fixedLeg" set when path = "fxVarianceSwap"] + + volatilityStrikePrice + [hint "volatilityStrikePrice"] + + vegaNotionalAmount + [hint "vegaNotionalAmount"] + [value "vegaNotional" set when path = "fxVarianceSwap"] + + exchangeTradedContractNearest + [value "variance" path "amount" set when path = "varianceLeg"] + + annualizationFactor + [value "annualizationFactor" set when path = "fxVarianceSwap"] + + meanAdjustment + [value "meanAdjustment" set when path = "fxVarianceSwap"] - EconomicTerms: - + effectiveDate - [value "effectiveDate" path "generalTerms"] - [value "effectiveDate" path "commoditySwap"] - [value "effectiveDate" path "fxOption"] - [value "effectiveDate"] - [value "effectiveDate" path "varianceLeg"] - [value "effectiveDate" path "volatilityLeg"] - [value "effectiveDate" path "correlationLeg"] - [value "effectiveDate" path "dividendLeg"] - [value "effectiveDate" path "fixedLeg"] - [value "effectiveDate" path "returnLeg"] - [value "effectiveDate" path "genericProduct"] - + terminationDate - [value "scheduledTerminationDate" path "generalTerms"] - [value "terminationDate"] - [value "terminationDate" path "varianceLeg"] - [value "terminationDate" path "volatilityLeg"] - [value "terminationDate" path "correlationLeg"] - [value "terminationDate" path "dividendLeg"] - [value "terminationDate" path "fixedLeg"] - [value "terminationDate" path "returnLeg"] - [value "terminationDate" path "genericProduct"] - + dateAdjustments - [value "dateAdjustments" path "generalTerms"] - [value "extraordinaryEvents"] - + calculationAgent - [value "calculationAgent"] - [hint "calculationAgentBusinessCenter"] - + collateral - [value "ignore"] - + nonStandardisedTerms - [set to True when "tradeHeader->partyTradeInformation->nonStandardTerms" = True] - [set to False when "tradeHeader->partyTradeInformation->nonStandardTerms" = False] + CorrelationReturnTerms: + // Common for variance, volatility and correlation (ReturnTermsBase) + + dividendApplicability + [value "amount" set when path = "correlationLeg"] + + valuationTerms + [value "valuation" set when path = "correlationLeg"] + // Correlation specific + + correlationStrikePrice + [hint "correlationStrikePrice"] + + boundedCorrelation + [value "boundedCorrelation"] + + numberOfDataSeries + [value "numberOfDataSeries"] - GeneralTerms: - + referenceInformation - [value "referenceInformation"] - + indexReferenceInformation - [value "indexReferenceInformation"] - + basketReferenceInformation - [value "basketReferenceInformation"] - [hint "underlyer"] - + additionalTerm - [value "additionalTerm" meta "additionalTermScheme"] - + substitution - [value "substitution"] - + modifiedEquityDelivery - [value "modifiedEquityDelivery"] + NumberRange: + + upperBound + [hint "maximumBoundaryPercent"] + + lowerBound + [hint "minimumBoundaryPercent"] - InterestRatePayout: - + dayCountFraction - [value "dayCountFraction" path "calculationPeriodAmount->calculation" meta "dayCountFractionScheme"] - [value "dayCountFraction" path "feeLeg->periodicPayment->fixedAmountCalculation" meta "dayCountFractionScheme"] - [value "dayCountFraction" path "feeLeg->periodicPayment->floatingAmountCalculation" meta "dayCountFractionScheme"] - [value "dayCountFraction" meta "dayCountFractionScheme"] - [value "dayCountFraction" path "interestCalculation" meta "dayCountFractionScheme"] - + paymentDates - [value "paymentDates"] - [value "periodicPayment" path "feeLeg"] - [value "interestLegPaymentDates" path "interestLegCalculationPeriodDates"] - [hint "indexTenor"] - + paymentDate - [value "paymentDate"] - [value "feeLeg"] - + paymentDelay - [value "paymentDelay"] - + discountingMethod - [value "discounting" path "calculationPeriodAmount->calculation"] - [hint "fraDiscounting"] - + principalPayment - [value "principalExchanges"] - [hint "cashflows"] - [value "calculationPeriodAmount"] - + compoundingMethod - [value "compoundingMethod" path "calculationPeriodAmount->calculation"] - + cashflowRepresentation - [value "cashflows"] - [value "periodicPayment" path "feeLeg"] - + stubPeriod - [value "stubCalculationPeriodAmount"] - [value "stubCalculationPeriod"] - + bondReference - [value "bondReference"] - + rateSpecification - [value "calculation" path "calculationPeriodAmount"] - // For FRAs: - [hint "fixedRate" , "floatingRateIndex" , "indexTenor"] - // For CDS: - [value "periodicPayment" path "feeLeg"] - // For Equity: - [value "interestCalculation"] - // For Repo: - [hint "fixedRateSchedule"] - [hint "floatingRateCalculation"] - - priceQuantity - + priceQuantity - // For Swap Stream: - [value "calculation" path "calculationPeriodAmount"] - [value "fxLinkedNotionalSchedule" path "calculationPeriodAmount->calculation"] - [hint "calculationPeriodAmount"] - // For FRAs: - [hint "notional"] - // For the interest leg of Equity Swap: - [value "notional"] - // For the fee leg of CDS - [value "fixedAmountCalculation" path "feeLeg->periodicPayment"] - [value "floatingAmountCalculation" path "feeLeg->periodicPayment"] - [value "protectionTerms" mapper "FeeLeg"] // filtered out if feeLeg exists + NumberBound: + + number + [value "maximumBoundaryPercent"] + [value "minimumBoundaryPercent"] - OptionPayout: - [meta "id"] - + settlementTerms - [hint "physicalExercise"] - + payerReceiver - [hint "putCurrencyAmount"] - [hint "callCurrencyAmount"] - + feature - [value "feature"] - [value "features"] - [hint "averagingMethod"] - + observationTerms - [value "asian" path "features"] - [hint "pricingDates"] - [hint "calculationPeriodsSchedule"] - [value "equityValuation" path "equityExercise"] - + schedule - [value "schedule"] - + delivery - [value "ignore"] - + strike - [value "strike"] - [hint "strikePricePerUnit"] - [hint "strikePricePerUnitSchedule"] - [hint "spotRate"] - + underlier - [value "singleUnderlyer" path "underlyer" , "underlyer"] - [hint "bond" , "equity" , "mortgage" , "convertibleBond" , "index"] - [hint "swap"] - [hint "creditDefaultSwap"] - [hint "quotedCurrencyPair"] - [hint "features" , "putCurrencyAmount" , "callCurrencyAmount"] - [hint "commodity"] - [hint "commodityClassification"] - [hint "commoditySwap"] - [hint "varianceSwapTransactionSupplement"] - [hint "dividendSwapTransactionSupplement"] - + optionType - [value "optionType"] - [set to OptionTypeEnum -> Straddle when "swaptionStraddle" = True] + VarianceCapFloor: + + varianceCap + [value "varianceCap"] + + unadjustedVarianceCap + [value "unadjustedVarianceCap"] + + boundedVariance + [value "boundedVariance"] - ExerciseTerms: - + commencementDate - [value "commencementDate" path "americanExercise"] - [value "commencementDate" path "americanExercise->exercisePeriod"] - [value "commencementDate" path "exercise->americanExercise->exercisePeriod"] - [value "commencementDate" path "equityExercise->equityAmericanExercise"] - + earliestExerciseTime - [value "earliestExerciseTime" path "americanExercise"] - [value "earliestExerciseTime" path "bermudaExercise"] - [value "earliestExerciseTime" path "europeanExercise"] - + exerciseDates - [value "bermudaExerciseDates" path "bermudaExercise"] - [value "bermudaExerciseDates" path "equityBermudaExercise"] - [value "bermudaExerciseDates" path "equityExercise->equityBermudaExercise"] - + exerciseFee - [value "exerciseFee" path "europeanExercise"] - + exerciseFeeSchedule - [value "exerciseFeeSchedule" path "americanExercise"] - [value "exerciseFeeSchedule" path "bermudaExercise"] - + exerciseProcedure - [value "physicalExercise"] - [value "exerciseProcedure"] - [value "exercise"] - [value "equityExercise"] - [value "equityAmericanExercise" path "equityExercise"] - [value "europeanExercise"] - [value "americanExercise"] - [hint "exercise"] - + expirationDate - [value "expirationDate" path "americanExercise"] - [value "expirationDate" path "americanExercise->exercisePeriod"] - [value "expirationDate" path "exercise->americanExercise->exercisePeriod"] - [value "expirationDate" path "equityExercise->equityAmericanExercise"] - [value "expirationDates" path "americanExercise"] - [value "expirationDate" path "europeanExercise"] - [value "expirationDate" path "exercise->europeanExercise"] - [value "expirationDate" path "equityExercise->equityEuropeanExercise"] - [value "expirationDate" path "physicalExercise->europeanExercise"] - [value "expirationDates" path "europeanExercise"] - // For FX Option - [value "europeanExercise"] - [value "americanExercise"] - // [hint "americanExercise->expiryDate"] - // [hint "expiryDate"] - + expirationTime - [value "expirationTime" path "americanExercise"] - [value "expiryTime" path "americanExercise"] - [value "equityExpirationTime" path "equityAmericanExercise"] - [value "expirationTime" path "bermudaExercise"] - [value "equityExpirationTime" path "equityBermudaExercise"] - [value "expirationTime" path "europeanExercise"] - [value "expirationTime" path "physicalExercise->europeanExercise"] - [value "equityExpirationTime" path "equityEuropeanExercise"] - // For FX Options - [value "expiryTime" path "europeanExercise"] - + expirationTimeType - [value "equityExpirationTimeType" path "equityExercise->equityEuropeanExercise"] - [value "equityExpirationTimeType" path "equityExercise->equityAmericanExercise"] - [value "equityExpirationTimeType" path "equityExercise->equityBermudaExercise"] - + latestExerciseTime - [value "latestExerciseTime" path "americanExercise"] - [value "latestExerciseTime" path "equityExercise->equityAmericanExercise"] - [value "latestExerciseTime" path "bermudaExercise"] - [value "latestExerciseTime" path "equityExercise->equityBermudaExercise"] - + multipleExercise - [value "multipleExercise" path "americanExercise"] - [value "equityMultipleExercise" path "equityExercise->equityAmericanExercise"] - [value "multipleExercise" path "bermudaExercise"] - [value "equityMultipleExercise" path "equityExercise->equityBermudaExercise"] - + partialExercise - [value "partialExercise" path "europeanExercise"] - [value "partialExercise" path "creditDefaultSwapOption->europeanExercise"] - [value "partialExercise" path "bondOption->europeanExercise"] - [value "partialExercise" path "cancelableProvision->europeanExercise"] - [value "partialExercise" path "extendibleProvision->europeanExercise"] - [value "partialExercise" path "swaption->europeanExercise"] - + relevantUnderlyingDate - [value "relevantUnderlyingDate" path "americanExercise"] - [value "relevantUnderlyingDate" path "bermudaExercise"] - [value "relevantUnderlyingDate" path "europeanExercise"] - + style - [set to OptionExerciseStyleEnum -> European when "europeanExercise" exists] - [set to OptionExerciseStyleEnum -> European when "physicalExercise->europeanExercise" exists] - [set to OptionExerciseStyleEnum -> European when "exercise->europeanExercise" exists] - [set to OptionExerciseStyleEnum -> European when "equityExercise->equityEuropeanExercise" exists] - [set to OptionExerciseStyleEnum -> American when "americanExercise" exists] - [set to OptionExerciseStyleEnum -> American when "physicalExercise->americanExercise" exists] - [set to OptionExerciseStyleEnum -> American when "exercise->americanExercise" exists] - [set to OptionExerciseStyleEnum -> American when "equityExercise->equityAmericanExercise" exists] - [set to OptionExerciseStyleEnum -> Bermuda when "bermudaExercise" exists] - [set to OptionExerciseStyleEnum -> Bermuda when "equityExercise->equityBermudaExercise" exists] + VolatilityCapFloor: + + applicable + [value "applicable"] + + totalVolatilityCap + [value "totalVolatilityCap"] + + volatilityCapFactor + [value "volatilityCapFactor"] - ForwardPayout: - [meta "id"] - - payerReceiver - - priceQuantity - + priceQuantity - [hint "notional"] - + delivery - [value "ignore"] + BoundedVariance: + + daysInRangeAdjustment + [value "daysInRangeAdjustment"] + + realisedVarianceMethod + [value "realisedVarianceMethod"] + + upperBarrier + [value "upperBarrier"] + + lowerBarrier + [value "lowerBarrier"] - CommodityPayout: - [meta "id"] - + pricingDates - [value "pricingDates" path "calculation"] - + paymentDates - [value "paymentDates"] - [value "relativePaymentDates"] - + fxFeature - [value "fxFeature"] - + calculationPeriodDates - [hint "calculationPeriodsSchedule"] - [hint "calculationPeriods"] - + delivery - [value "ignore"] + ValuationTerms: + + futuresPriceValuation + [value "futuresPriceValuation"] + + optionsPriceValuation + [value "optionsPriceValuation"] + + numberOfValuationDates + [value "numberOfValuationDates"] + + dividendValuationDates + [value "dividendValuationDates"] + + fPVFinalPriceElectionFallback + [value "fPVFinalPriceElectionFallback"] + + multipleExchangeIndexAnnexFallback + [value "multipleExchangeIndexAnnexFallback"] + + componentSecurityIndexAnnexFallback + [value "componentSecurityIndexAnnexFallback"] + + DividendApplicability: + + optionsExchangeDividends + [value "optionsExchangeDividends"] + + additionalDividends + [value "additionalDividends"] + + allDividends + [value "allDividends"] - CommodityPriceReturnTerms: - + spread - [value "calculation"] - + conversionFactor - [value "conversionFactor" path "calculation"] + AdjustableRelativeOrPeriodicDates: + [meta "id"] + + adjustableDates + [value "adjustableDates"] + + relativeDates + [value "relativeDates"] + [value "relativeDateSequence"] + [value "valuationDateOffset"] + + periodicDates + [value "periodicDates"] + [value "periodicPayment"] + [hint "amount"] + [hint "valuationDateOffset"] - PricingDates: - + specifiedDates - [value "calculationPeriodsScheduleReference"] - [value "pricingDates"] + AmountSchedule: + + currency + [value "currency" meta "currencyScheme"] - ParametricDates: - + dayOfWeek - [value "dayOfWeek"] - + dayDistribution - [value "dayDistribution"] - + businessCenters - [hint "businessCalendar"] - + dayType - [value "dayType"] - + lag - [value "lag"] + AutomaticExercise: + + thresholdRate + [value "thresholdRate" path "automaticExercise"] + + isApplicable + [value "automaticExercise"] - Lag: - + lagDuration - [value "lagDuration"] - + firstObservationDateOffset - [value "firstObservationDateOffset"] + Observable: + + Basket + [hint "basketConstituent"] - FixedPricePayout: - [meta "id"] - + paymentDates - [value "paymentDates"] - [value "relativePaymentDates"] - [hint "paymentDate"] - + schedule + Asset: + + Cash + [value "quoteBasis" path "exchangeRate->quotedCurrencyPair" mapper "CashAssetIdentifier"] + [value "strikeQuoteBasis" mapper "CashAssetIdentifier"] + [hint "paymentAmount"] + + Commodity + [hint "commodity"] + [hint "commodityClassification"] + + DigitalAsset [value "ignore"] + + Instrument + [hint "equity"] + [hint "bond"] + [hint "convertibleBond"] + [hint "loan"] + [hint "exchangeTradedContractNearest"] - PayoutBase: - + payerReceiver - [hint "payerPartyReference"] - [hint "receiverPartyReference"] - [hint "buyerPartyReference"] - [hint "sellerPartyReference"] - [value "generalTerms"] - + priceQuantity - // For Swap Stream and FRA: moved to InterestRatePayout - [value "knownAmountSchedule" path "calculationPeriodAmount"] - // For Options: - [hint "numberOfOptions"] - // For Bond Option: - [hint "notionalAmount"] - // For Credit Option: - [hint "notionalReference"] - // For Repo: - [value "nearLeg"] - // For Commodity + AssetBase: + + taxonomy + [value "commodityClassification"] + + isExchangeListed + [set to True when "bond->exchangeId" exists] + [set to True when "convertibleBond->exchangeId" exists] + [set to True when "loan->exchangeId" exists] + [set to True when "mortgage->exchangeId" exists] + [set to True when "equity->exchangeId" exists] + [set to True when "index->exchangeId" exists] + [set to True when "commodity->exchangeId" exists] + [set to True when "exchangeTradedContractNearest->exchangeId" exists] + + exchange + [value "bond"] + [value "convertibleBond"] + [value "loan"] + [value "mortgage"] + [value "equity"] + [value "index"] [value "commodity"] - [hint "notionalQuantity"] - [hint "totalNotionalQuantity"] - [hint "amount"] - [hint "paymentAmount"] - [hint "notionalQuantitySchedule"] + [value "exchangeTradedContractNearest"] - // For CDS protectionTerms see CreditDefaultPayout - // For CDS feeLeg see InterestRatePayout - // For Equities see PerformancePayout - Payout: - + interestRatePayout - // For Swap Stream - [value "swapStream" , "additionalTerms" /*set when rosettaPath "interestRatePayout->rateSpecification->fixedRate" exists*/ ] - // For CapFloor: - [value "capFloorStream"] - // For FRA: - [value "fra" mapper "FraPayoutSplitter"] - // For CDS: - [value "creditDefaultSwap" set when "creditDefaultSwap->feeLeg->periodicPayment" exists] - // For Equity Swap - [value "interestLeg"] - // For Repo: - [value "repo"] - + creditDefaultPayout - [value "creditDefaultSwap"] - [value "generalTerms" path "creditDefaultSwap"] - + optionPayout - [value "swaption"] - [value "creditDefaultSwapOption"] - [value "bondOption"] - [value "fxOption"] - [hint "fxOption"] - [value "fxDigitalOption"] - [value "equityOption"] - [value "brokerEquityOption"] - [value "commodityOption"] - [value "commoditySwaption"] - [value "varianceOptionTransactionSupplement"] - [value "dividendSwapOptionTransactionSupplement"] - [value "genericProduct" set when "genericProduct->optionType" exists] - + forwardPayout - [value "fxSingleLeg"] - [value "nearLeg"] - [value "farLeg"] - [value "coalPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] - [value "electricityPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] - [value "environmentalPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] - [value "gasPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] - [value "oilPhysicalLeg" path "commoditySwap" mapper "CommodityClassificationMeta"] - [value "genericProduct" set when condition-func MapGenericProductToForwardPayout condition-path "genericProduct->productType"] - + cashflow + AssetIdentifier: + + identifier + [value "instrumentId" path "bond" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "convertibleBond" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "loan" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "mortgage" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "equity" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "index" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "commodity" maps 2 mapper "AssetIdentifierType"] + [value "instrumentId" path "exchangeTradedContractNearest" maps 2 mapper "AssetIdentifierType"] + [value "description" path "equity" maps 2 mapper "AssetIdentifierType"] + [value "indexId" maps 2 mapper "AssetIdentifierType"] + [value "indexName" maps 2 mapper "AssetIdentifierType"] + [value "floatingRateIndex" maps 2 mapper "AssetIdentifierType"] + // premium + [value "currency" path "paymentAmount" maps 2 meta "currencyScheme"] + + identifierType + [set to AssetIdTypeEnum -> CurrencyCode when "paymentAmount->currency" exists] + + Instrument: + + ListedDerivative + [hint "exchangeTradedContractNearest"] + + Loan + [hint "loan"] + + Security + [hint "equity"] + [hint "bond"] + [hint "convertibleBond"] + + Loan: + + borrower + [value "borrower" path "loan"] + + lien + [value "lien" path "loan" meta "lienScheme"] + + facilityType + [value "facilityType" path "loan" meta "facilityTypeScheme"] + + creditAgreementDate + [value "creditAgreementDate" path "loan"] + + tranche + [value "tranche" path "loan" meta "loanTrancheScheme"] + + Security: + + identifier + [value "equity" meta "description"] + [meta "instrumentId"] + [hint "bond"] + [hint "convertibleBond"] + [hint "mortgage"] + [hint "equity"] + + securityType + [set to SecurityTypeEnum -> Debt when "bond" exists] + [set to SecurityTypeEnum -> Debt when "convertibleBond" exists] + [set to SecurityTypeEnum -> Debt when "mortgage" exists] + [set to SecurityTypeEnum -> Equity when "equity" exists] + + IndexBase: + + name + [value "description" path "index"] + [value "indexName"] + + provider [value "ignore"] - + commodityPayout - [value "commoditySwap", "floatingLeg" path "commoditySwap"] - + fixedPricePayout - [value "fixedLeg" path "commoditySwap"] - [value "fixedPayment" path "fixedLeg" , "dividendPeriod" path "dividendLeg" mapper "DividendFixedLeg"] - + assetPayout + + Index: + + CreditIndex [value "ignore"] - + assetPayout + + EquityIndex + [hint "index"] + + ForeignExchangeRateIndex + [value "quotedCurrencyPair"] + [value "fixingInformationSource"] + + OtherIndex [value "ignore"] - + performancePayout + + EquityIndex: + + assetClass + [value "index" mapper "IndexAssetClass"] + + ForeignExchangeRateIndex: + + primaryFxSpotRateSource + [value "primaryRateSource"] + + assetClass + [set to AssetClassEnum -> ForeignExchange] + + Basket: + + basketConstituent + [value "basketConstituent"] + + BasketConstituent: + + quantity + [value "constituentWeight"] + [hint "constituentWeight"] + + TradeLot: + + priceQuantity + // Rates + [value "swapStream"] + [value "capFloorStream"] + [value "fra" mapper "FraPriceQuantitySplitter"] + [value "payment"] + [value "bondOption"] + // Credit + [value "periodicPayment" path "feeLeg"] + [value "protectionTerms"] + // Equity + [value "returnLeg"] + [value "interestLeg"] + [value "equityOption"] + [value "brokerEquityOption"] + [value "equityOptionTransactionSupplement"] + // Performance [value "varianceLeg"] - [value "volatilityLeg"] - [value "correlationLeg"] + [value "fixedLeg"] [value "dividendLeg"] + [value "correlationLeg"] + [value "volatilityLeg"] [value "fxVarianceSwap"] [value "fxVolatilitySwap"] - [value "returnLeg"] - + settlementPayout - [value "ignore"] - - Product: - + contractualProduct - // For Equity Swap: - [value "returnSwap" , "equitySwapTransactionSupplement"] - // For Swap Stream: - [value "swap"] - // For Swaption: - [value "swaption"] - [hint "swaption"] - // For CapFloor: - [value "capFloor"] - [hint "capFloor"] - // For FRA: - [hint "fra"] - // For Bond Options: - [hint "bondOption"] - // For CDS: - [value "creditDefaultSwap"] - [hint "creditDefaultSwap"] - // For CDS Option - [hint "creditDefaultSwapOption"] - // For FX: - [hint "fxSingleLeg"] + // FX + [value "nearLeg"] + [value "farLeg"] [value "fxSingleLeg"] - // For FX Option: [value "fxOption"] - [hint "fxOption"] [value "fxDigitalOption"] - [hint "fxDigitalOption"] - // For fxSwap - [value "fxSwap"] - // For Repo: - [hint "repo"] - [hint "calculationAgent" , "calculationAgentBusinessCenter"] - // For Equity Options: - [hint "equityOption"] - [value "equityOption"] - [hint "brokerEquityOption"] - [value "brokerEquityOption"] - // For Commodity Swap - [value "commoditySwap"] - [hint "commoditySwap"] - // For Commodity Option - [hint "commodityOption"] + // Commodity [value "commodityOption"] - [hint "commoditySwaption"] - // [value "commoditySwaption"] - // For Variance / Volatility / Correlation / Dividend - [value "varianceSwap" , "varianceSwapTransactionSupplement"] - [value "volatilitySwap" , "volatilitySwapTransactionSupplement"] - [value "correlationSwap"] - [value "dividendSwapTransactionSupplement"] - [hint "varianceOptionTransactionSupplement"] - [hint "dividendSwapOptionTransactionSupplement"] - [value "fxVarianceSwap"] - [hint "fxVarianceSwap"] - [value "fxVolatilitySwap"] - [hint "fxVolatilitySwap"] - [hint "genericProduct"] - [hint "tradeHeader"] - + index + [value "floatingLeg"] + [value "coalPhysicalLeg"] + [value "electricityPhysicalLeg"] + [value "environmentalPhysicalLeg"] + [value "gasPhysicalLeg"] + [value "oilPhysicalLeg"] + // Other + [value "repo"] + [value "genericProduct" mapper "InterestRateForwardDebtPrice"] + [value "productSummary"] + + lotIdentifier + [value "ignore"] + + PriceQuantity: + + price + // For Swap Stream + [value "calculation" path "calculationPeriodAmount" mapper "FloatingRateCalculation"] + [value "fixedRateSchedule" path "calculationPeriodAmount->calculation"] + [value "spreadSchedule" path "calculationPeriodAmount->calculation->floatingRateCalculation"] + [value "knownAmountSchedule" path "calculationPeriodAmount"] + // For FRAs: + [hint "fixedRate"] + // For Credit: + [value "fixedAmountCalculation"] + [value "spreadSchedule" path "floatingAmountCalculation->floatingRate"] + // For Equity Swaps: + [value "rateOfReturn"] + [value "floatingRateCalculation" path "interestCalculation"] + [value "spreadSchedule" path "interestCalculation->floatingRateCalculation"] + [value "floatingRateMultiplierSchedule" path "interestCalculation->floatingRateCalculation"] + [value "underlyerPrice"] + [hint "equityPremium"] + // For FX: + [value "exchangeRate"] + // For Repo: + [value "fixedRateSchedule"] + [value "floatingRateCalculation"] + [value "spreadSchedule" path "floatingRateCalculation"] + [value "floatingRateMultiplierSchedule" path "floatingRateCalculation"] + // For Commodity: + [value "fixedPrice"] // Commodity Swap Fixed Leg + [value "spread" path "calculation"] // Commodity Swap Floating Leg + // For bullet payments + [value "paymentAmount"] + + quantity + // For Swap Stream + [value "notionalStepSchedule" path "calculationPeriodAmount->calculation->notionalSchedule"] + [value "fxLinkedNotionalSchedule" path "calculationPeriodAmount->calculation"] + [value "futureValueNotional" path "calculationPeriodAmount->calculation"] + [value "notionalAmount"] + // For FRAs: + [value "notional"] + // For CDS, Swaption, Index: + [value "calculationAmount" path "fixedAmountCalculation"] + [value "calculationAmount"] + [value "calculationAmount" path "floatingAmountCalculation"] + // For Equity Swaps: + [value "singleUnderlyer" path "underlyer"] + [value "basket" path "underlyer"] + [value "notionalAmount" path "notional"] + // Performance + [value "fixedPayment"] + [value "variance" path "amount"] + [value "notionalAmount" path "amount->correlation"] + [value "volatility" path "amount"] + [hint "vegaNotional"] + // For FX: + [value "paymentAmount" path "exchangedCurrency1"] + [value "paymentAmount" path "exchangedCurrency2"] + [value "putCurrencyAmount"] + [value "callCurrencyAmount"] + // For Repo: + [value "settlementAmount" path "nearLeg"] + // For Commodity + [value "notionalQuantity"] + [value "totalNotionalQuantity" mapper "TotalNotionalQuantity"] + [value "notionalQuantitySchedule"] // Commodity Option + // For Options + [value "numberOfOptions" mapper "NumberOfOptions"] // handles optionEntitlement + + observable + // For Swap Streams etc + [value "calculation" path "calculationPeriodAmount"] + // For FRA: + [hint "floatingRateIndex" , "indexTenor"] + // For Credit: + [value "floatingAmountCalculation"] + [value "floatingRate" path "floatingAmountCalculation"] + // For Equity: + [value "singleUnderlyer" path "underlyer"] + [value "interestCalculation"] + [hint "equity"] [hint "index"] - //[value "exchangeRate"] - //[hint "features", "putCurrencyAmount" , "callCurrencyAmount"] - + loan - [hint "loan"] - + commodity + // For FX: + [hint "exchangeRate"] + [value "strike"] + // For FX variance: + [hint "quotedCurrencyPair"] + [hint "fixingInformationSource"] + // For Repo / Bond Options: + [hint "bond" , "convertibleBond"] + // For Commodity Swap Floating Leg [hint "commodity"] [hint "commodityClassification"] - //[meta "specifiedPrice"] - + security - [value "underlyer"] - [hint "bond" , "equity" , "mortgage" , "convertibleBond"] - + basket - [value "basket"] + // Other + [value "basket" path "underlyer"] + [value "underlyer"] // For bond forwards (generic products) + + effectiveDate + [value "ignore"] // Do not map, until a canonical representation of effective date is built in the CDM and existing effective date attributes can be re-directed here + + Measure: + // Only used to map quantity multiplier + // TBD: merge Measure, PriceSchedule and QuantitySchedule synonyms into a single "MeasureBase" + + value + [value "optionEntitlement"] + + unit + [hint "entitlementCurrency"] + + MeasureSchedule: + + datedValue + [value "ignore"] + + PriceSchedule: + + value + [value "initialRate" mapper "PriceUnitType"] + [value "initialValue" mapper "PriceUnitType"] + [value "rate" maps 2 mapper "PriceUnitType"] + [value "amount" mapper "PriceUnitType"] + [value "amount" path "initialPrice->netPrice" mapper "PriceUnitType"] + [value "fixedRate" mapper "PriceUnitType"] + [value "level" mapper "PriceUnitType"] + [value "levelPercentage" mapper "PriceUnitType"] + [value "strikePrice" mapper "PriceUnitType"] + [value "spread" mapper "PriceUnitType"] + [value "spread" path "floatingRateCalculation" mapper "PriceUnitType"] + [value "referencePrice" mapper "PriceUnitType"] + [value "price" maps 2] // For Commodity Swap Fixed Leg + [value "amount" path "strikePricePerUnit" mapper "PriceUnitType"] // For Commodity Option + [value "varianceStrikePrice" mapper "PriceUnitType"] + [value "volatilityStrikePrice" mapper "PriceUnitType"] + [value "correlationStrikePrice" mapper "PriceUnitType"] + [value "fixedStrike" mapper "PriceUnitType"] + [value "value" mapper "PriceUnitType"] + [value "amount" path "equityPremium->pricePerOption" mapper "PriceUnitType"] + + unit + [value "fxLinkedNotionalSchedule" set when "floatingRateCalculation->spreadSchedule" exists] + [value "quotedCurrencyPair"] + [value "settlementAmount" path "nearLeg"] + // For Commodity Swap Fixed Leg + [hint "priceCurrency"] + [value "priceCurrency" path "fixedPriceStep"] + [value "fixedPriceStep"] + + perUnitOf + [value "fxLinkedNotionalSchedule" set when "floatingRateCalculation->spreadSchedule" exists] + [value "quotedCurrencyPair"] + [value "settlementAmount" path "nearLeg"] + [value "amount"] + // For Commodity Swap Fixed Leg + [hint "priceUnit"] + [value "priceUnit" path "fixedPriceStep"] + [value "fixedPriceStep"] + + datedValue + [value "step"] + [value "fixedPriceStep" mapper "PriceUnitType"] + [value "strikePricePerUnitStep" mapper "CommoditySchedules"] + + priceType + [set to PriceTypeEnum -> InterestRate when path = "fixedRateSchedule"] + [set to PriceTypeEnum -> InterestRate when "fixedRate" exists] + [set to PriceTypeEnum -> InterestRate when "initialRate" exists] + [set to PriceTypeEnum -> InterestRate when "spread" exists] + [set to PriceTypeEnum -> InterestRate when path = "knownAmountSchedule"] + [set to PriceTypeEnum -> InterestRate when "floatingRateCalculation->spread" exists] + [set to PriceTypeEnum -> InterestRate when path = "spreadSchedule"] + [set to PriceTypeEnum -> InterestRate when path = "floatingRateIndex"] + [set to PriceTypeEnum -> AssetPrice when "referencePrice" exists] + [set to PriceTypeEnum -> AssetPrice when "strikePrice" exists] + [set to PriceTypeEnum -> AssetPrice when "level" exists] + [set to PriceTypeEnum -> AssetPrice when "levelPercentage" exists] + [set to PriceTypeEnum -> AssetPrice when "initialPrice->netPrice->amount" exists] + [set to PriceTypeEnum -> AssetPrice when "equityPremium->pricePerOption" exists] + [set to PriceTypeEnum -> Dividend when "fixedStrike" exists] + [set to PriceTypeEnum -> Correlation when "correlationStrikePrice" exists] + [set to PriceTypeEnum -> Variance when path = "variance" and "varianceStrikePrice" exists] + [set to PriceTypeEnum -> Volatility when path = "variance" and "volatilityStrikePrice" exists] + [set to PriceTypeEnum -> Volatility when path = "volatility" and "volatilityStrikePrice" exists] + [set to PriceTypeEnum -> CashPrice when path = "bulletPayment->payment->paymentAmount"] + [set to PriceTypeEnum -> ExchangeRate when path = "exchangeRate" and "rate" exists] + [set to PriceTypeEnum -> ExchangeRate when path = "fxOption->strike"] + // For Commodity Swaps + [set to PriceTypeEnum -> CashPrice when path = "fixedLeg->fixedPrice"] + [set to PriceTypeEnum -> CashPrice when path = "fixedLeg->fixedPriceSchedule"] + [set to PriceTypeEnum -> AssetPrice when path = "calculation->spread"] + // For Commodity Option + [set to PriceTypeEnum -> AssetPrice when "strikePricePerUnit->amount" exists] + [value "measureType"] + + arithmeticOperator + [set to ArithmeticOperationEnum -> Add when "spread" exists] + [set to ArithmeticOperationEnum -> Add when "floatingRateCalculation->spread" exists] + [set to ArithmeticOperationEnum -> Add when path = "spreadSchedule"] + [set to ArithmeticOperationEnum -> Add when path = "floatingRateIndex"] + [set to ArithmeticOperationEnum -> Add when path = "calculation->spread"] + [set to ArithmeticOperationEnum -> Max when path = "floorRateSchedule"] + [set to ArithmeticOperationEnum -> Min when path = "capRateSchedule"] + [set to ArithmeticOperationEnum -> Multiply when path = "floatingRateMultiplierSchedule"] - Basket: - + basketConstituent - [value "basketConstituent"] - - BasketConstituent: - + quantity - [value "constituentWeight"] - [hint "constituentWeight"] + PriceComposite: + + baseValue + [value "spotRate"] + + operand + [value "forwardPoints"] + + arithmeticOperator + [set to ArithmeticOperationEnum -> Add when "forwardPoints" exists] + + operandType + [set to PriceOperandEnum -> ForwardPoint when "forwardPoints" exists] - Commodity: - + identifier - [hint "commodity"] - + priceQuoteType - [value "specifiedPrice" path "commodity" maps 2] - + deliveryDateReference - [value "commodity"] - + description - [value "description" path "commodity"] + PremiumExpression: + + premiumType + [value "premiumType"] + + pricePerOption + [value "pricePerOption"] + + percentageOfNotional + [value "percentageOfNotional"] - DeliveryDateParameters: - + deliveryNearby - [hint "deliveryDates"] - [value "deliveryNearby"] - + deliveryDateRollConvention - [value "deliveryDateRollConvention"] - + deliveryDateExpirationConvention - [value "ignore"] + CashPrice: + + cashPriceType + [set to CashPriceTypeEnum -> Fee when path = "fixedLeg->fixedPrice"] + [set to CashPriceTypeEnum -> Fee when path = "bulletPayment->payment->paymentAmount"] + + feeType + [value "paymentType"] - TradeLot: - + priceQuantity - // Rates - [value "swapStream"] - [value "capFloorStream"] - [value "fra" mapper "FraPriceQuantitySplitter"] - [value "payment"] - // Credit - [value "periodicPayment" path "feeLeg"] - [value "protectionTerms"] - // Equity - [value "returnLeg"] + QuantitySchedule: + + value + [value "initialValue" maps 2] + [value "amount" maps 2] + [value "openUnits" maps 2] + [value "numberOfOptions" maps 2] + [value "basketPercentage" maps 2] + [value "quantity" maps 2] + [value "amount" path "paymentAmount"] + [value "amount" path "fixedAmount"] + [value "amount" path "varianceAmount"] + [value "vegaNotionalAmount" mapper "VegaNotionalAmount"] + [value "amount" path "vegaNotional" mapper "VegaNotionalAmount"] + + unit + [value "singleUnderlyer"] [value "basket"] - [value "interestLeg"] - // Performance - [value "varianceLeg"] - [value "fixedLeg"] - [value "dividendLeg"] - [value "correlationLeg"] - [value "volatilityLeg"] - [value "fxVarianceSwap"] - [value "fxVolatilitySwap"] - // FX - [value "nearLeg"] - [value "farLeg"] - [value "fxSingleLeg"] - // Other - [value "repo"] - [value "floatingLeg"] - [value "coalPhysicalLeg"] - [value "electricityPhysicalLeg"] - [value "environmentalPhysicalLeg"] - [value "gasPhysicalLeg"] - [value "oilPhysicalLeg"] - [value "genericProduct" mapper "InterestRateForwardDebtPrice"] - [value "productSummary"] - // Additional payment - // Options: Quantity and Observable (Except Swaption, Credit Default Swaption) - [hint "underlyer"] // Equity Option - [value "bondOption"] - [value "fxOption"] - [value "fxDigitalOption"] - [value "equityOption"] - [merge "commodity"] - [hint "notionalQuantity"] // Commodity Option - [value "commodityOption"] - [hint "numberOfOptions" , "optionEntitlement" , "entitlementCurrency"] // For Equity / Bond Option - + lotIdentifier - [value "ignore"] + [value "basketPercentage"] + [hint "openUnits"] + [value "paymentAmount"] + [value "fixedAmount"] + [value "varianceAmount"] + [value "notionalStep"] + [hint "quantityUnit"] + + multiplier + [hint "optionEntitlement"] + [hint "entitlementCurrency"] + + frequency + [value "Frequency"] + // For Commodity Swap Fixed Leg + [hint "quantityFrequency"] + [value "notionalStep"] + + datedValue + [value "step"] + [value "notionalStep"] + [value "period"] + [value "calculationPeriod" path "period"] - TradableProduct: - + tradeLot - // Rates - [value "swap" , "swap" path "swaption" , "swaption"] - [value "capFloor"] - [hint "fra"] - [hint "bondOption"] - [value "bulletPayment"] - // Credit - [value "creditDefaultSwap" , "creditDefaultSwap" path "creditDefaultSwapOption" , "creditDefaultSwapOption" , "tradeHeader"] - // FX - [hint "fxSingleLeg"] - [value "fxSwap"] - [hint "fxOption" , "fxDigitalOption"] - // Equity - [value "returnSwap" , "equitySwapTransactionSupplement"] - [value "underlyer" path "returnSwap->returnLeg"] - [hint "equityOption"] - [value "underlyer" path "equityOption"] - [value "brokerEquityOption"] - // Performance - [value "varianceSwap"] - [value "dividendSwapTransactionSupplement"] - [value "correlationSwap"] - [value "volatilitySwapTransactionSupplement"] - [value "varianceOptionTransactionSupplement"] - [value "dividendSwapTransactionSupplement" path "dividendSwapOptionTransactionSupplement"] - [value "varianceSwapTransactionSupplement" path "varianceOptionTransactionSupplement"] - [hint "fxVarianceSwap"] - [hint "fxVolatilitySwap"] - // Other - [value "commoditySwap"] - [hint "commodityOption"] - [value "commoditySwap" path "commoditySwaption"] - [hint "repo"] - [hint "genericProduct" , "quote"] - [hint "productSummary"] - + adjustment - [value "notionalAdjustments" path "returnSwap->returnLeg" , "notionalAdjustments" path "equitySwapTransactionSupplement->returnLeg"] + NonNegativeStep: + + stepDate + [value "stepDate"] + + stepValue + [value "stepValue"] - RateSpecification: - + fixedRate - [hint "fixedRateSchedule"] - [hint "fixedRate"] - [hint "fixedAmountCalculation"] - + floatingRate - [value "floatingRateCalculation"] - // For FRAs: - [hint "floatingRateIndex" , "indexTenor"] - // For Credit: - [value "floatingAmountCalculation"] - [value "floatingRate" path "floatingAmountCalculation"] - + inflationRate - [value "inflationRateCalculation"] + Rounding: + + roundingDirection + [value "roundingDirection"] + + precision + [value "precision"] - StubPeriod: - + calculationPeriodDatesReference - [value "calculationPeriodDatesReference" meta "href"] - + initialStub - [value "initialStub"] - + finalStub - [value "finalStub"] + Schedule: + + value + [value "initialValue" set when "step" exists] + + datedValue + [value "step"] + + DatedValue: + [value "Step" meta "id"] + + date + [value "stepDate" maps 2] + [value "startDate" maps 2] + + value + [value "stepValue" maps 2] + [value "quantity" set when path = "notionalStep"] + [value "amount" maps 2] + [value "price" maps 2] TransactedPrice: + marketFixedRate @@ -3114,55 +3338,27 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML [value "businessCentersReference" meta "href"] + dateRelativeTo [value "dateRelativeTo" meta "href"] - [value "payRelativeTo" meta "href"] - + adjustedDate - [value "adjustedDate"] - - ConstituentWeight: - + openUnits - [value "openUnits"] - + basketPercentage - [value "basketPercentage"] - - DividendPayoutRatio: - + totalRatio - [value "dividendPayoutRatio" path "dividendPayout"] - + cashRatio - [value "dividendPayoutRatioCash"] - [value "declaredCashDividendPercentage"] - + nonCashRatio - [value "dividendPayoutRatioNonCash"] - [value "declaredCashEquivalentDividendPercentage"] - - BuyerSeller: - + buyer - [value "buyerPartyReference" mapper "Buyer"] - [value "payerPartyReference" mapper "CashPaymentBuyer"] - + seller - [value "sellerPartyReference" mapper "Seller"] - [value "receiverPartyReference" mapper "CashPaymentSeller"] - - PayerReceiver: - + payer - [value "payerPartyReference" mapper "Payer"] - [value "sellerPartyReference" maps 2 mapper "SellerAsPayerOrReceiver"] - [value "payerPartyReference" path "floatingLeg" mapper "Payer"] // FX Var / Vol swaps - [value "receiverPartyReference" path "fixedLeg" mapper "Payer"] // FX Var / Vol swaps - [value "putCurrencyAmount" maps 2 mapper "OptionBuyerAsPayer"] - [value "callCurrencyAmount" maps 2 mapper "OptionSellerAsPayer"] - + receiver - [value "receiverPartyReference" mapper "Receiver"] - [value "buyerPartyReference" maps 2 mapper "BuyerAsReceiverOrPayer"] - [value "payerPartyReference" path "fixedLeg" mapper "Receiver"] // FX Var / Vol swaps - [value "receiverPartyReference" path "floatingLeg" mapper "Receiver"] // FX Var / Vol swaps - [value "putCurrencyAmount" maps 2 mapper "OptionSellerAsReceiver"] - [value "callCurrencyAmount" maps 2 mapper "OptionBuyerAsReceiver"] + [value "payRelativeTo" meta "href"] + + adjustedDate + [value "adjustedDate"] - PartyReferencePayerReceiver: - + payerPartyReference - [value "payerPartyReference" meta "href"] - + receiverPartyReference - [value "receiverPartyReference" meta "href"] + ConstituentWeight: + + openUnits + [value "openUnits"] + + basketPercentage + [value "basketPercentage"] + + DividendPayoutRatio: + + totalRatio + [value "dividendPayoutRatio" path "dividendPayout"] + + cashRatio + [value "dividendPayoutRatioCash"] + [value "declaredCashDividendPercentage"] + + nonCashRatio + [value "dividendPayoutRatioNonCash"] + [value "declaredCashEquivalentDividendPercentage"] + + basketConstituent + [value "equity" meta "instrumentId"] ReferenceBank: + referenceBankId @@ -3409,168 +3605,8 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + tranche [value "tranche"] - CashSettlementTerms: - [meta "id"] - + cashSettlementMethod - [set to CashSettlementMethodEnum -> CashPriceMethod when "cashPriceMethod" exists] - [set to CashSettlementMethodEnum -> CashPriceAlternateMethod when "cashPriceAlternateMethod" exists] - [set to CashSettlementMethodEnum -> ParYieldCurveUnadjustedMethod when "parYieldCurveUnadjustedMethod" exists] - [set to CashSettlementMethodEnum -> ParYieldCurveAdjustedMethod when "parYieldCurveAdjustedMethod" exists] - [set to CashSettlementMethodEnum -> ZeroCouponYieldAdjustedMethod when "zeroCouponYieldAdjustedMethod" exists] - [set to CashSettlementMethodEnum -> CrossCurrencyMethod when "crossCurrencyMethod" exists] - [set to CashSettlementMethodEnum -> CollateralizedCashPriceMethod when "collateralizedCashPriceMethod" exists] - [set to CashSettlementMethodEnum -> MidMarketIndicativeQuotations when "midMarketValuation->indicativeQuotations" exists] - [set to CashSettlementMethodEnum -> MidMarketIndicativeQuotationsAlternate when "midMarketValuation->indicativeQuotationsAlternate" exists] - [set to CashSettlementMethodEnum -> MidMarketCalculationAgentDetermination when "midMarketValuation->calculationAgentDetermination" exists] - [set to CashSettlementMethodEnum -> ReplacementValueFirmQuotations when "replacementValue->firmQuotations" exists] - [set to CashSettlementMethodEnum -> ReplacementValueCalculationAgentDetermination when "replacementValue->calculationAgentDetermination" exists] - + valuationDate - [value "fixing"] - [value "rateSourceFixing"] - [value "valuationDate"] - [value "nonDeliverableSettlement"] - [value "cashSettlementValuationDate"] - + valuationTime - [value "fixingTime" path "fixing->fxSpotRateSource"] - [value "valuationTime"] - [value "cashSettlementValuationTime"] - + cashSettlementAmount - [value "cashSettlementAmount"] - + recoveryFactor - [value "recoveryFactor"] - + fixedSettlement - [value "fixedSettlement"] - + accruedInterest - [value "accruedInterest"] - + valuationMethod - [hint "fixing"] - [hint "rateSourceFixing"] - [value "valuationMethod"] - [value "nonDeliverableSettlement"] - [value "cashPriceMethod"] - [value "cashPriceAlternateMethod"] - [value "parYieldCurveAdjustedMethod"] - [value "parYieldCurveUnadjustedMethod"] - [value "zeroCouponYieldAdjustedMethod"] - [value "crossCurrencyMethod"] - [value "collateralizedCashPriceMethod"] - [hint "minimumQuotationAmount" , "quotationAmount" , "quotationMethod"] - [value "midMarketValuation"] - [value "replacementValue"] - - PhysicalSettlementTerms: - + physicalSettlementPeriod - [value "physicalSettlementPeriod"] - + deliverableObligations - [value "deliverableObligations"] - + escrow - [value "escrow"] - + sixtyBusinessDaySettlementCap - [value "sixtyBusinessDaySettlementCap"] - + clearedPhysicalSettlement - [value "clearedPhysicalSettlement"] - + predeterminedClearingOrganizationParty - [value "predeterminedClearingOrganizationPartyReference" mapper "PredeterminedClearingOrganizationParty"] - - ValuationMethod: - + valuationSource - [value "settlementRateSource"] - [value "fixing"] - [value "rateSourceFixing"] - [hint "settlementRateOption"] - [value "indicativeQuotations"] - // The following are un-tested: - // [value "indicativeQuotationsAlternate"] - // [value "calculationAgentDetermination"] - [value "firmQuotations"] - + quotationMethod - [value "quotationMethod"] - [value "quotationRateType"] - + quotationAmount - [value "quotationAmount"] - + minimumQuotationAmount - [value "minimumQuotationAmount"] - + cashCollateralValuationMethod - [value "indicativeQuotations"] - // The following are un-tested: - // [value "indicativeQuotationsAlternate"] - // [value "calculationAgentDetermination"] - [value "firmQuotations"] - - DeliverableObligations: - + accruedInterest - [value "accruedInterest"] - + category - [value "category"] - + notSubordinated - [value "notSubordinated"] - + specifiedCurrency - [value "specifiedCurrency"] - + notSovereignLender - [value "notSovereignLender"] - + notDomesticCurrency - [value "notDomesticCurrency"] - + notDomesticLaw - [value "notDomesticLaw"] - + listed - [value "listed"] - + notContingent - [value "notContingent"] - + notDomesticIssuance - [value "notDomesticIssuance"] - + assignableLoan - [value "assignableLoan"] - + consentRequiredLoan - [value "consentRequiredLoan"] - + directLoanParticipation - [value "directLoanParticipation"] - + transferable - [value "transferable"] - + maximumMaturity - [value "maximumMaturity"] - + acceleratedOrMatured - [value "acceleratedOrMatured"] - + notBearer - [value "notBearer"] - + fullFaithAndCreditObLiability - [value "fullFaithAndCreditObLiability"] - + generalFundObligationLiability - [value "generalFundObligationLiability"] - + revenueObligationLiability - [value "revenueObligationLiability"] - + indirectLoanParticipation - [value "indirectLoanParticipation"] - + excluded - [value "excluded"] - + othReferenceEntityObligations - [value "othReferenceEntityObligations"] - - FloatingAmountEvents: - + failureToPayPrincipal - [value "failureToPayPrincipal"] - + interestShortfall - [value "interestShortfall"] - + writedown - [value "writedown"] - + impliedWritedown - [value "impliedWritedown"] - + floatingAmountProvisions - [value "floatingAmountProvisions"] - + additionalFixedPayments - [value "additionalFixedPayments"] - - FloatingAmountProvisions: - + wacCapInterestProvision - [value "WACCapInterestProvision"] - + stepUpProvision - [value "stepUpProvision"] - - CreditIndexReferenceInformation: - [value "IndexReferenceInformation" meta "id"] - + indexName - [value "indexName" meta "indexNameScheme"] - + indexId - [value "indexId" meta "indexIdScheme"] + CreditIndex: + [value "CreditIndex" meta "id"] + indexSeries [value "indexSeries"] + indexAnnexVersion @@ -3589,6 +3625,8 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML [value "indexFactor"] + seniority [value "seniority"] + + assetClass + [set to AssetClassEnum -> Credit] InterestShortFall: + interestShortfallCap @@ -3622,75 +3660,6 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + maximumBusinessDays [value "maximumBusinessDays"] - ProtectionTerms: - [value "ProtectionTerms" meta "id"] - + creditEvents - [value "creditEvents"] - + obligations - [value "obligations"] - + floatingAmountEvents - [value "floatingAmountEvents"] - - ReferenceInformation: - + referenceObligation - [value "referenceObligation"] - + noReferenceObligation - [value "noReferenceObligation"] - + unknownReferenceObligation - [value "unknownReferenceObligation"] - + allGuarantees - [value "allGuarantees"] - + referencePrice - [hint "referencePrice"] - + referencePolicy - [value "referencePolicy"] - + securedList - [value "securedList"] - - ReferenceObligation: - + security - [hint "bond"] - [hint "convertibleBond"] - [hint "mortgage"] - + loan - [hint "loan"] - + primaryObligor - [value "primaryObligor"] - + primaryObligorReference - [value "primaryObligorReference" meta "href"] - + guarantor - [value "guarantor"] - + guarantorReference - [value "guarantorReference"] - + standardReferenceObligation - [value "standardReferenceObligation"] - - ReferencePair: - + referenceObligation - [value "referenceObligation"] - + noReferenceObligation - [value "noReferenceObligation"] - + entityType - [value "entityType" meta "entityTypeScheme"] - - ReferencePool: - + referencePoolItem - [value "referencePoolItem"] - [value "underlyer"] - - ReferencePoolItem: - + constituentWeight - [value "constituentWeight"] - + referencePair - [value "referencePair"] - [value "referenceEntity"] - + protectionTermsReference - [value "protectionTermsReference" meta "href"] - + cashSettlementTermsReference - [value "settlementTermsReference" maps 2 meta "href"] - + physicalSettlementTermsReference - [value "settlementTermsReference" maps 2 meta "href"] - SettledEntityMatrix: + matrixSource [value "matrixSource" meta "settledEntityMatrixSourceScheme"] @@ -3721,16 +3690,6 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML + fxFixingSchedule [value "fxFixingSchedule"] - ForeignExchange: - + exchangedCurrency1 - [hint "exchangedCurrency1"] - [hint "putCurrencyAmount"] - + exchangedCurrency2 - [hint "exchangedCurrency2"] - [hint "callCurrencyAmount"] - + tenorPeriod - [value "tenorPeriod"] - FxRateSourceFixing: + settlementRateSource [value "settlementRateSource"] @@ -7174,9 +7133,11 @@ synonym source FpML_5_Confirmation_To_TradeState extends FpML PutCallEnum: + Put [value "Put"] + [value "CallCurrencyPerPutCurrency"] + Call [value "Call"] - + [value "PutCurrencyPerCallCurrency"] + OptionTypeEnum: + Payer [value "Payer"] diff --git a/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-workflowstep-synonym.rosetta b/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-workflowstep-synonym.rosetta index 415e2112a9..26a301ad44 100644 --- a/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-workflowstep-synonym.rosetta +++ b/rosetta-source/src/main/rosetta/mapping-fpml-confirmation-workflowstep-synonym.rosetta @@ -3,13 +3,10 @@ version "${project.version}" import cdm.base.math.* import cdm.base.staticdata.identifier.* - -import cdm.observable.asset.* - -import cdm.product.common.settlement.* -import cdm.mapping.fpml.confirmation.tradestate.* -import cdm.event.workflow.* import cdm.event.common.* +import cdm.event.workflow.* +import cdm.mapping.fpml.confirmation.tradestate.* +import cdm.observable.asset.* synonym source FpML_5_Confirmation_To_WorkflowStep extends FpML_5_Confirmation_To_TradeState { diff --git a/rosetta-source/src/main/rosetta/mapping-ore-synonym.rosetta b/rosetta-source/src/main/rosetta/mapping-ore-synonym.rosetta index b7e3bad313..1a31820421 100644 --- a/rosetta-source/src/main/rosetta/mapping-ore-synonym.rosetta +++ b/rosetta-source/src/main/rosetta/mapping-ore-synonym.rosetta @@ -5,11 +5,8 @@ import cdm.base.math.* import cdm.base.datetime.* import cdm.base.staticdata.party.* import cdm.base.staticdata.asset.rates.* - import cdm.event.common.* - import cdm.observable.asset.* - import cdm.product.asset.* import cdm.product.template.* import cdm.product.common.schedule.* @@ -27,8 +24,12 @@ synonym source ORE_1_0_39 extends ORE + tradeIdentifier + party [value "Envelope" path "Trade"] - + tradableProduct - [value "Trade" mapper "ORECounterparty"] + + product + [value "SwapData" path "Trade"] + + tradeLot + [value "Trade"] + + counterparty + [value "Trade" mapper "ORECounterparty"] + party [value "Envelope" path "Trade"] @@ -40,7 +41,7 @@ synonym source ORE_1_0_39 extends ORE + partyReference [value "Envelope"] + role - [set to CounterpartyRoleEnum -> Party2 when rosettaPath = TradeState -> trade -> tradableProduct -> counterparty] + [set to CounterpartyRoleEnum -> Party2 when rosettaPath = TradeState -> trade -> counterparty] PriceSchedule: + value @@ -74,10 +75,6 @@ synonym source ORE_1_0_39 extends ORE + datedValue [value "step"] - Product: - + contractualProduct - [value "SwapData"] - Payout: + interestRatePayout [value "LegData"] @@ -88,7 +85,7 @@ synonym source ORE_1_0_39 extends ORE [value "ignore"] + commodityPayout [value "ignore"] - + forwardPayout + + settlementPayout [value "ignore"] + fixedPricePayout [value "ignore"] @@ -130,16 +127,16 @@ synonym source ORE_1_0_39 extends ORE + unadjustedDate [value "StartDate"] - FloatingRateOption: + InterestRateIndex: + floatingRateIndex [value "Index" maps 2] RateSpecification: - + fixedRate + + FixedRateSpecification [value "FixedLegData"] - + floatingRate + + FloatingRateSpecification [value "FloatingLegData"] - + inflationRate + + InflationRateSpecification [value "ignore"] FixedRateSpecification: diff --git a/rosetta-source/src/main/rosetta/margin-schedule-enum.rosetta b/rosetta-source/src/main/rosetta/margin-schedule-enum.rosetta index ada1d808c5..d0dc30d0b8 100644 --- a/rosetta-source/src/main/rosetta/margin-schedule-enum.rosetta +++ b/rosetta-source/src/main/rosetta/margin-schedule-enum.rosetta @@ -38,4 +38,3 @@ enum StandardizedScheduleProductClassEnum: SwapsAndPortfolioSwaps FixedFloatSwap BasisSwap - \ No newline at end of file diff --git a/rosetta-source/src/main/rosetta/margin-schedule-func.rosetta b/rosetta-source/src/main/rosetta/margin-schedule-func.rosetta index 35383bce0b..a2b415e359 100644 --- a/rosetta-source/src/main/rosetta/margin-schedule-func.rosetta +++ b/rosetta-source/src/main/rosetta/margin-schedule-func.rosetta @@ -1,165 +1,173 @@ namespace cdm.margin.schedule version "${project.version}" -import cdm.event.workflow.* import cdm.event.common.* import cdm.event.position.* import cdm.base.datetime.* import cdm.base.math.* -import cdm.base.staticdata.asset.common.* import cdm.product.qualification.* import cdm.product.template.* -import cdm.product.asset.* import cdm.product.common.settlement.* -import cdm.observable.asset.* - func BuildStandardizedSchedule: <"Takes a trade and uses qualification to extract the relevant information to populate the grid that will be used to calculate the gross initial margin."> - inputs: + inputs: trade Trade (1..1) - output: standardizedSchedule StandardizedSchedule (1..1) - set standardizedSchedule -> assetClass: - StandardizedScheduleAssetClass(trade) - set standardizedSchedule -> productClass: - StandardizedScheduleProductClass(trade) - set standardizedSchedule -> notional: - StandardizedScheduleNotional(trade) + output: + standardizedSchedule StandardizedSchedule (1..1) + set standardizedSchedule -> assetClass: StandardizedScheduleAssetClass(trade) + set standardizedSchedule -> productClass: StandardizedScheduleProductClass(trade) + set standardizedSchedule -> notional: StandardizedScheduleNotional(trade) set standardizedSchedule -> notionalCurrency: StandardizedScheduleNotionalCurrency(trade) - set standardizedSchedule -> durationInYears: - StandardizedScheduleDuration(trade) + set standardizedSchedule -> durationInYears: StandardizedScheduleDuration(trade) func GetGrossInitialMarginFromStandardizedSchedule: <"Takes the grid information from an specific trade and calculates the gross initial margin."> - inputs: + inputs: standardizedSchedule StandardizedSchedule (1..1) - output: grossInitialMargin Quantity (0..1) + output: + grossInitialMargin Quantity (0..1) alias initialMarginRequirement: - GetIMRequirement(standardizedSchedule -> assetClass, standardizedSchedule -> durationInYears) + GetIMRequirement( + standardizedSchedule -> assetClass, + standardizedSchedule -> durationInYears + ) set grossInitialMargin -> value: standardizedSchedule -> notional * initialMarginRequirement * 0.01 - set grossInitialMargin -> unit -> currency: - standardizedSchedule -> notionalCurrency + set grossInitialMargin -> unit -> currency: standardizedSchedule -> notionalCurrency func StandardizedScheduleAssetClass: <"Identifies the asset class of a trade, according to the standardized schedule classification."> - inputs: trade Trade (1..1) - output: assetClass StandardizedScheduleAssetClassEnum (0..1) - alias product: - ProductForTrade(trade) - alias economicTerms: - EconomicTermsForProduct(product) + inputs: + trade Trade (1..1) + output: + assetClass StandardizedScheduleAssetClassEnum (0..1) + + alias economicTerms: trade -> product -> economicTerms + set assetClass: - if Qualify_AssetClass_InterestRate(economicTerms) then StandardizedScheduleAssetClassEnum -> InterestRates - else if Qualify_AssetClass_Credit(economicTerms) then StandardizedScheduleAssetClassEnum -> Credit - else if Qualify_AssetClass_ForeignExchange(economicTerms) then StandardizedScheduleAssetClassEnum -> ForeignExchange - else if Qualify_AssetClass_Equity(economicTerms) then StandardizedScheduleAssetClassEnum -> Equity - else if Qualify_AssetClass_Commodity(economicTerms) then StandardizedScheduleAssetClassEnum -> Commodity + if Qualify_AssetClass_InterestRate(economicTerms) + then StandardizedScheduleAssetClassEnum -> InterestRates + else if Qualify_AssetClass_Credit(economicTerms) + then StandardizedScheduleAssetClassEnum -> Credit + else if Qualify_AssetClass_ForeignExchange(economicTerms) + then StandardizedScheduleAssetClassEnum -> ForeignExchange + else if Qualify_AssetClass_Equity(economicTerms) + then StandardizedScheduleAssetClassEnum -> Equity + else if Qualify_AssetClass_Commodity(economicTerms) + then StandardizedScheduleAssetClassEnum -> Commodity func StandardizedScheduleProductClass: <"Identifies the product class of a trade, according to the standardized schedule classification."> - inputs: trade Trade (1..1) - output: productClass StandardizedScheduleProductClassEnum (0..1) - alias product: - ProductForTrade(trade) - alias economicTerms: - EconomicTermsForProduct(product) - set productClass: - if IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) - then StandardizedScheduleProductClassEnum -> SwapWithCallableBermudanRightToEnterExitSwaps - else if Qualify_BaseProduct_IRSwap(economicTerms) - then StandardizedScheduleProductClassEnum -> Swap - else if Qualify_BaseProduct_CrossCurrency(economicTerms) - then StandardizedScheduleProductClassEnum -> CrossCurrencySwap - else if IsIRSwaptionStraddle(economicTerms) - then StandardizedScheduleProductClassEnum -> SwaptionStraddle - else if Qualify_InterestRate_Option_Swaption(economicTerms) - then StandardizedScheduleProductClassEnum -> Swaption - // IR Exotic swap with an exotic coupon against a floating leg not supported - else if Qualify_InterestRate_CapFloor(economicTerms) - then StandardizedScheduleProductClassEnum -> Option - else if Qualify_InterestRate_Fra(economicTerms) - then StandardizedScheduleProductClassEnum -> ForwardRateAgreement - else if Qualify_CreditDefaultSwap_SingleName(economicTerms) - then StandardizedScheduleProductClassEnum -> SingleNameCreditDefaultSwap - else if Qualify_CreditDefaultSwap_Index(economicTerms) - then StandardizedScheduleProductClassEnum -> IndexCDS - else if Qualify_CreditDefaultSwap_IndexTranche(economicTerms) - then StandardizedScheduleProductClassEnum -> IndexTranche - else if Qualify_CreditDefaultSwaption(economicTerms) - then StandardizedScheduleProductClassEnum -> Swaption - else if IsCreditNthToDefault(economicTerms) - then StandardizedScheduleProductClassEnum -> CreditNthToDefault - // Credit Total return swap on a bond not supported - else if Qualify_ForeignExchange_Swap(economicTerms) - then StandardizedScheduleProductClassEnum -> DeliverableSwap - else if Qualify_ForeignExchange_NDS(economicTerms) - then StandardizedScheduleProductClassEnum -> NonDeliverableCrossCurrencySwap - else if Qualify_ForeignExchange_Spot_Forward(economicTerms) - then StandardizedScheduleProductClassEnum -> DeliverableForward - else if Qualify_ForeignExchange_NDF(economicTerms) - then StandardizedScheduleProductClassEnum -> NonDeliverableForward - else if IsFXDeliverableOption(economicTerms) - then StandardizedScheduleProductClassEnum -> DeliverableOption - else if IsFXNonDeliverableOption(economicTerms) - then StandardizedScheduleProductClassEnum -> NonDeliverableOption - else if Qualify_ForeignExchange_ParameterReturnVariance(economicTerms) - then StandardizedScheduleProductClassEnum -> VarianceSwap - else if Qualify_ForeignExchange_ParameterReturnVolatility(economicTerms) - then StandardizedScheduleProductClassEnum -> VolatilitySwap - else if Qualify_ForeignExchange_ParameterReturnCorrelation(economicTerms) - then StandardizedScheduleProductClassEnum -> CorrelationSwap - else if Qualify_EquityOption_PriceReturnBasicPerformance_Basket(economicTerms) - or Qualify_EquityOption_PriceReturnBasicPerformance_Index(economicTerms) - or Qualify_EquityOption_PriceReturnBasicPerformance_SingleName(economicTerms) - or Qualify_EquityOption_ParameterReturnVolatility_Basket(economicTerms) - or Qualify_EquityOption_ParameterReturnVolatility_Index(economicTerms) - or Qualify_EquityOption_ParameterReturnVolatility_SingleName(economicTerms) - or Qualify_EquityOption_ParameterReturnVariance_Basket(economicTerms) - or Qualify_EquityOption_ParameterReturnVariance_Index(economicTerms) - or Qualify_EquityOption_ParameterReturnVariance_SingleName(economicTerms) - or Qualify_EquityOption_ParameterReturnCorrelation_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnCorrelation_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnCorrelation_SingleName(economicTerms) - or Qualify_EquityOption_ParameterReturnDividend_Basket(economicTerms) - or Qualify_EquityOption_ParameterReturnDividend_Index(economicTerms) - or Qualify_EquityOption_ParameterReturnDividend_SingleName(economicTerms) - then StandardizedScheduleProductClassEnum -> Option - else if Qualify_BaseProduct_EquityForward(economicTerms) - then StandardizedScheduleProductClassEnum -> Forward - else if Qualify_EquitySwap_ParameterReturnDividend_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnDividend_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnDividend_SingleName(economicTerms) - then StandardizedScheduleProductClassEnum -> DividendSwap - else if Qualify_EquitySwap_ParameterReturnVariance_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnVariance_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnVariance_SingleName(economicTerms) - then StandardizedScheduleProductClassEnum -> VarianceSwap - else if Qualify_EquitySwap_ParameterReturnVolatility_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnVolatility_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnVolatility_SingleName(economicTerms) - then StandardizedScheduleProductClassEnum -> VolatilitySwap - // EQ Contract fo Difference (CFD) not supported - else if Qualify_BaseProduct_EquitySwap(economicTerms) - then StandardizedScheduleProductClassEnum -> SwapsAndPortfolioSwaps - else if Qualify_Commodity_Forward(economicTerms) - then StandardizedScheduleProductClassEnum -> Forward - else if Qualify_Commodity_Option(economicTerms) - then StandardizedScheduleProductClassEnum -> Option - else if Qualify_Commodity_Swap_FixedFloat(economicTerms) - then StandardizedScheduleProductClassEnum -> FixedFloatSwap - else if Qualify_Commodity_Swap_Basis(economicTerms) - then StandardizedScheduleProductClassEnum -> BasisSwap - else if Qualify_Commodity_Swaption(economicTerms) - then StandardizedScheduleProductClassEnum -> Swaption - // CO Contract for Difference (CFD) not supported + inputs: + trade Trade (1..1) + output: + productClass StandardizedScheduleProductClassEnum (0..1) + + alias economicTerms: trade -> product -> economicTerms + + set productClass: + if IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) + then StandardizedScheduleProductClassEnum -> SwapWithCallableBermudanRightToEnterExitSwaps + else if Qualify_BaseProduct_IRSwap(economicTerms) + then StandardizedScheduleProductClassEnum -> Swap + else if Qualify_BaseProduct_CrossCurrency(economicTerms) + then StandardizedScheduleProductClassEnum -> CrossCurrencySwap + else if IsIRSwaptionStraddle(economicTerms) + then StandardizedScheduleProductClassEnum -> SwaptionStraddle + else if Qualify_InterestRate_Option_Swaption(economicTerms) + then StandardizedScheduleProductClassEnum -> Swaption + // IR Exotic swap with an exotic coupon against a floating leg not supported + else if Qualify_InterestRate_CapFloor(economicTerms) + then StandardizedScheduleProductClassEnum -> Option + else if Qualify_InterestRate_Fra(economicTerms) + then StandardizedScheduleProductClassEnum -> ForwardRateAgreement + else if Qualify_CreditDefaultSwap_SingleName(economicTerms) + then StandardizedScheduleProductClassEnum -> SingleNameCreditDefaultSwap + else if Qualify_CreditDefaultSwap_Index(economicTerms) + then StandardizedScheduleProductClassEnum -> IndexCDS + else if Qualify_CreditDefaultSwap_IndexTranche(economicTerms) + then StandardizedScheduleProductClassEnum -> IndexTranche + else if Qualify_CreditDefaultSwaption(economicTerms) + then StandardizedScheduleProductClassEnum -> Swaption + else if IsCreditNthToDefault(economicTerms) + then StandardizedScheduleProductClassEnum -> CreditNthToDefault + // Credit Total return swap on a bond not supported + else if Qualify_ForeignExchange_Swap(economicTerms) + then StandardizedScheduleProductClassEnum -> DeliverableSwap + else if Qualify_ForeignExchange_NDS(economicTerms) + then StandardizedScheduleProductClassEnum -> NonDeliverableCrossCurrencySwap + else if Qualify_ForeignExchange_Spot_Forward(economicTerms) + then StandardizedScheduleProductClassEnum -> DeliverableForward + else if Qualify_ForeignExchange_NDF(economicTerms) + then StandardizedScheduleProductClassEnum -> NonDeliverableForward + else if IsFXDeliverableOption(economicTerms) + then StandardizedScheduleProductClassEnum -> DeliverableOption + else if IsFXNonDeliverableOption(economicTerms) + then StandardizedScheduleProductClassEnum -> NonDeliverableOption + else if Qualify_ForeignExchange_ParameterReturnVariance(economicTerms) + then StandardizedScheduleProductClassEnum -> VarianceSwap + else if Qualify_ForeignExchange_ParameterReturnVolatility(economicTerms) + then StandardizedScheduleProductClassEnum -> VolatilitySwap + else if Qualify_ForeignExchange_ParameterReturnCorrelation(economicTerms) + then StandardizedScheduleProductClassEnum -> CorrelationSwap + else if Qualify_EquityOption_PriceReturnBasicPerformance_Basket(economicTerms) + or Qualify_EquityOption_PriceReturnBasicPerformance_Index(economicTerms) + or Qualify_EquityOption_PriceReturnBasicPerformance_SingleName( + economicTerms + ) + or Qualify_EquityOption_ParameterReturnVolatility_Basket(economicTerms) + or Qualify_EquityOption_ParameterReturnVolatility_Index(economicTerms) + or Qualify_EquityOption_ParameterReturnVolatility_SingleName(economicTerms) + or Qualify_EquityOption_ParameterReturnVariance_Basket(economicTerms) + or Qualify_EquityOption_ParameterReturnVariance_Index(economicTerms) + or Qualify_EquityOption_ParameterReturnVariance_SingleName(economicTerms) + or Qualify_EquityOption_ParameterReturnCorrelation_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnCorrelation_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnCorrelation_SingleName(economicTerms) + or Qualify_EquityOption_ParameterReturnDividend_Basket(economicTerms) + or Qualify_EquityOption_ParameterReturnDividend_Index(economicTerms) + or Qualify_EquityOption_ParameterReturnDividend_SingleName(economicTerms) + then StandardizedScheduleProductClassEnum -> Option + else if Qualify_BaseProduct_EquityForward(economicTerms) + then StandardizedScheduleProductClassEnum -> Forward + else if Qualify_EquitySwap_ParameterReturnDividend_Basket(economicTerms) + or Qualify_EquitySwap_ParameterReturnDividend_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnDividend_SingleName(economicTerms) + then StandardizedScheduleProductClassEnum -> DividendSwap + else if Qualify_EquitySwap_ParameterReturnVariance_Basket(economicTerms) + or Qualify_EquitySwap_ParameterReturnVariance_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnVariance_SingleName(economicTerms) + then StandardizedScheduleProductClassEnum -> VarianceSwap + else if Qualify_EquitySwap_ParameterReturnVolatility_Basket(economicTerms) + or Qualify_EquitySwap_ParameterReturnVolatility_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnVolatility_SingleName(economicTerms) + then StandardizedScheduleProductClassEnum -> VolatilitySwap + // EQ Contract fo Difference (CFD) not supported + else if Qualify_BaseProduct_EquitySwap(economicTerms) + then StandardizedScheduleProductClassEnum -> SwapsAndPortfolioSwaps + else if Qualify_Commodity_Forward(economicTerms) + then StandardizedScheduleProductClassEnum -> Forward + else if Qualify_Commodity_Option(economicTerms) + then StandardizedScheduleProductClassEnum -> Option + else if Qualify_Commodity_Swap_FixedFloat(economicTerms) + then StandardizedScheduleProductClassEnum -> FixedFloatSwap + else if Qualify_Commodity_Swap_Basis(economicTerms) + then StandardizedScheduleProductClassEnum -> BasisSwap + else if Qualify_Commodity_Swaption(economicTerms) + then StandardizedScheduleProductClassEnum -> Swaption + +// CO Contract for Difference (CFD) not supported func StandardizedScheduleNotional: <"Extracts the notional amount of a trade, according to the product class-depending extraction method defined in the ISDA industry survey."> inputs: trade Trade (1..1) output: notional number (0..1) + alias product: - ProductForTrade(trade) + trade -> product + alias economicTerms: - EconomicTermsForProduct(product) + product -> economicTerms + set notional: if Qualify_BaseProduct_IRSwap(economicTerms) or IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) then ( @@ -173,7 +181,7 @@ func StandardizedScheduleNotional: <"Extracts the notional amount of a trade, ac ) else if Qualify_InterestRate_Option_Swaption(economicTerms) or IsIRSwaptionStraddle(economicTerms) then ( - UnderlierForProduct(product) -> contractualProduct -> economicTerms -> payout -> interestRatePayout filter (priceQuantity -> quantitySchedule exists) then first then priceQuantity + UnderlierForProduct(product) -> Product ->> economicTerms -> payout -> interestRatePayout filter (priceQuantity -> quantitySchedule exists) then first then priceQuantity then StandardizedScheduleMonetaryNotionalFromResolvablePQ ) // IR Exotic swap with an exotic coupon against a floating leg not supported @@ -184,7 +192,7 @@ func StandardizedScheduleNotional: <"Extracts the notional amount of a trade, ac ) else if Qualify_InterestRate_Fra(economicTerms) then ( - economicTerms -> payout -> interestRatePayout filter rateSpecification -> fixedRate exists then only-element then priceQuantity + economicTerms -> payout -> interestRatePayout filter rateSpecification -> FixedRateSpecification exists then only-element then priceQuantity then StandardizedScheduleMonetaryNotionalFromResolvablePQ ) else if Qualify_CreditDefaultSwap_SingleName(economicTerms) @@ -197,27 +205,27 @@ func StandardizedScheduleNotional: <"Extracts the notional amount of a trade, ac ) else if Qualify_CreditDefaultSwaption(economicTerms) then ( - UnderlierForProduct(product) -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> priceQuantity + UnderlierForProduct(product) -> Product ->> economicTerms -> payout -> creditDefaultPayout -> priceQuantity then StandardizedScheduleMonetaryNotionalFromResolvablePQ ) // Credit Total return swap on a bond not supported else if Qualify_ForeignExchange_Swap(economicTerms) then ( - StandardizedScheduleFXSwapNotional(FXFarLeg(product)) -> value + economicTerms -> payout -> settlementPayout only-element -> priceQuantity -> quantitySchedule -> value ) else if Qualify_ForeignExchange_NDS(economicTerms) then 0.0 //Recieve side notional and currency. What does that mean? else if Qualify_ForeignExchange_Spot_Forward(economicTerms) then ( - economicTerms -> payout -> forwardPayout only-element -> underlier -> foreignExchange -> exchangedCurrency1 -> priceQuantity -> quantitySchedule -> value + economicTerms -> payout -> settlementPayout only-element -> priceQuantity -> quantitySchedule -> value ) else if Qualify_ForeignExchange_NDF(economicTerms) then ( - StandardizedScheduleFXNDFNotional(economicTerms -> payout -> forwardPayout only-element) -> value + economicTerms -> payout -> settlementPayout only-element -> settlementTerms -> cashSettlementTerms -> cashSettlementAmount only-element -> value ) else if IsFXDeliverableOption(economicTerms) then ( - economicTerms -> payout -> optionPayout only-element -> underlier -> foreignExchange -> exchangedCurrency1 -> priceQuantity -> quantitySchedule -> value + economicTerms -> payout -> optionPayout only-element -> priceQuantity -> quantitySchedule -> value ) else if IsFXNonDeliverableOption(economicTerms) then ( @@ -232,41 +240,41 @@ func StandardizedScheduleNotional: <"Extracts the notional amount of a trade, ac else if Qualify_ForeignExchange_ParameterReturnCorrelation(economicTerms) then 0.0 //No sample trades else if Qualify_EquityOption_PriceReturnBasicPerformance_Basket(economicTerms) - or Qualify_EquityOption_PriceReturnBasicPerformance_Index(economicTerms) - or Qualify_EquityOption_PriceReturnBasicPerformance_SingleName(economicTerms) - //To determine if the method used applies to the following equity options: - // or Qualify_EquityOption_ParameterReturnVolatility_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnVolatility_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnVolatility_SingleName(economicTerms) - // or Qualify_EquityOption_ParameterReturnVariance_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnVariance_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnVariance_SingleName(economicTerms) - // or Qualify_EquityOption_ParameterReturnCorrelation_Basket(economicTerms) - // // or Qualify_EquityOption_ParameterReturnCorrelation_Index(economicTerms) - // // or Qualify_EquityOption_ParameterReturnCorrelation_SingleName(economicTerms) - // or Qualify_EquityOption_ParameterReturnDividend_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnDividend_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnDividend_SingleName(economicTerms) + or Qualify_EquityOption_PriceReturnBasicPerformance_Index(economicTerms) + or Qualify_EquityOption_PriceReturnBasicPerformance_SingleName(economicTerms) + //To determine if the method used applies to the following equity options: + // or Qualify_EquityOption_ParameterReturnVolatility_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnVolatility_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnVolatility_SingleName(economicTerms) + // or Qualify_EquityOption_ParameterReturnVariance_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnVariance_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnVariance_SingleName(economicTerms) + // or Qualify_EquityOption_ParameterReturnCorrelation_Basket(economicTerms) + // // or Qualify_EquityOption_ParameterReturnCorrelation_Index(economicTerms) + // // or Qualify_EquityOption_ParameterReturnCorrelation_SingleName(economicTerms) + // or Qualify_EquityOption_ParameterReturnDividend_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnDividend_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnDividend_SingleName(economicTerms) then ( StandardizedScheduleOptionNotionalAmount(economicTerms -> payout -> optionPayout only-element) ) else if Qualify_BaseProduct_EquityForward(economicTerms) then ( - StandardizedScheduleEquityForwardNotionalAmount(economicTerms -> payout -> forwardPayout only-element) + StandardizedScheduleEquityForwardNotionalAmount(economicTerms -> payout -> settlementPayout only-element) ) else if Qualify_EquitySwap_ParameterReturnDividend_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnDividend_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnDividend_SingleName(economicTerms) + or Qualify_EquitySwap_ParameterReturnDividend_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnDividend_SingleName(economicTerms) then 0.0 //All dividend swaps are defined with a monetary payment, no strike price or number of shares else if Qualify_EquitySwap_ParameterReturnVariance_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnVariance_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnVariance_SingleName(economicTerms) + or Qualify_EquitySwap_ParameterReturnVariance_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnVariance_SingleName(economicTerms) then ( StandardizedScheduleVarianceSwapNotionalAmount(economicTerms -> payout -> performancePayout only-element) ) else if Qualify_EquitySwap_ParameterReturnVolatility_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnVolatility_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnVolatility_SingleName(economicTerms) + or Qualify_EquitySwap_ParameterReturnVolatility_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnVolatility_SingleName(economicTerms) then 0.0 //Is volatility amount = vega notional amount? // EQ Contract fo Difference (CFD) not supported else if Qualify_BaseProduct_EquitySwap(economicTerms) @@ -287,298 +295,328 @@ func StandardizedScheduleNotional: <"Extracts the notional amount of a trade, ac then 0.0 //No spot price available else if Qualify_Commodity_Swaption(economicTerms) then ( - StandardizedScheduleCommoditySwapFixedFloatNotionalAmount(UnderlierForProduct(product) -> contractualProduct -> economicTerms) + StandardizedScheduleCommoditySwapFixedFloatNotionalAmount(UnderlierForProduct(product) -> Product ->> economicTerms) ) // CO Contract for Difference (CFD) not supported func StandardizedScheduleNotionalCurrency: <"Extracts the notional currency of a trade, according to the product class-depending extraction method defined in the ISDA industry survey."> inputs: trade Trade (1..1) output: notionalCurrency string (0..1) - alias product: - ProductForTrade(trade) - alias economicTerms: - EconomicTermsForProduct(product) + + alias product: trade -> product + alias economicTerms: trade -> product -> economicTerms + set notionalCurrency: - if Qualify_BaseProduct_IRSwap(economicTerms) or IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) - then ( - economicTerms -> payout -> interestRatePayout filter (priceQuantity -> quantitySchedule exists) then first then priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - else if Qualify_BaseProduct_CrossCurrency(economicTerms) - then ( - economicTerms -> payout -> interestRatePayout filter (True /*how do we identify the receiver party?*/) then first then priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - else if Qualify_InterestRate_Option_Swaption(economicTerms) or IsIRSwaptionStraddle(economicTerms) - then ( - UnderlierForProduct(product) -> contractualProduct -> economicTerms -> payout -> interestRatePayout filter (priceQuantity -> quantitySchedule exists) then first then priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - // IR Exotic swap with an exotic coupon against a floating leg not supported - else if Qualify_InterestRate_CapFloor(economicTerms) - then ( - economicTerms -> payout -> interestRatePayout only-element -> priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - else if Qualify_InterestRate_Fra(economicTerms) - then ( - economicTerms -> payout -> interestRatePayout filter rateSpecification -> fixedRate exists then only-element then priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - else if Qualify_CreditDefaultSwap_SingleName(economicTerms) - or Qualify_CreditDefaultSwap_Index(economicTerms) - or Qualify_CreditDefaultSwap_IndexTranche(economicTerms) - or IsCreditNthToDefault(economicTerms) - then ( - economicTerms -> payout -> creditDefaultPayout -> priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - else if Qualify_CreditDefaultSwaption(economicTerms) - then ( - UnderlierForProduct(product) -> contractualProduct -> economicTerms -> payout -> creditDefaultPayout -> priceQuantity - then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ - ) - // Credit Total return swap on a bond not supported - else if Qualify_ForeignExchange_Swap(economicTerms) - then ( - StandardizedScheduleFXSwapNotional(FXFarLeg(product)) -> unit -> currency - ) - else if Qualify_ForeignExchange_NDS(economicTerms) - then "AAA" //Recieve side notional and currency. What does that mean? - else if Qualify_ForeignExchange_Spot_Forward(economicTerms) - then ( - economicTerms -> payout -> forwardPayout only-element -> underlier -> foreignExchange -> exchangedCurrency1 -> priceQuantity -> quantitySchedule -> unit -> currency - ) - else if Qualify_ForeignExchange_NDF(economicTerms) - then ( - StandardizedScheduleFXNDFNotional(economicTerms -> payout -> forwardPayout only-element) -> unit -> currency - ) - else if IsFXDeliverableOption(economicTerms) - then ( - economicTerms -> payout -> optionPayout only-element -> underlier -> foreignExchange -> exchangedCurrency1 -> priceQuantity -> quantitySchedule -> unit -> currency - ) - else if IsFXNonDeliverableOption(economicTerms) - then ( - StandardizedScheduleFXNDONotional(economicTerms -> payout -> optionPayout only-element) -> unit -> currency - ) - else if Qualify_ForeignExchange_ParameterReturnVariance(economicTerms) - then ( - economicTerms -> payout -> performancePayout only-element -> returnTerms -> varianceReturnTerms -> varianceStrikePrice -> unit -> currency - ) - else if Qualify_ForeignExchange_ParameterReturnVolatility(economicTerms) - then "AAA" //Vega notional amount not mapped in the product - else if Qualify_ForeignExchange_ParameterReturnCorrelation(economicTerms) - then "AAA" //No sample trades - else if Qualify_EquityOption_PriceReturnBasicPerformance_Basket(economicTerms) - or Qualify_EquityOption_PriceReturnBasicPerformance_Index(economicTerms) - or Qualify_EquityOption_PriceReturnBasicPerformance_SingleName(economicTerms) - //To determine if the method used applies to the following equity options: - // or Qualify_EquityOption_ParameterReturnVolatility_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnVolatility_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnVolatility_SingleName(economicTerms) - // or Qualify_EquityOption_ParameterReturnVariance_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnVariance_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnVariance_SingleName(economicTerms) - // or Qualify_EquityOption_ParameterReturnCorrelation_Basket(economicTerms) - // // or Qualify_EquityOption_ParameterReturnCorrelation_Index(economicTerms) - // // or Qualify_EquityOption_ParameterReturnCorrelation_SingleName(economicTerms) - // or Qualify_EquityOption_ParameterReturnDividend_Basket(economicTerms) - // or Qualify_EquityOption_ParameterReturnDividend_Index(economicTerms) - // or Qualify_EquityOption_ParameterReturnDividend_SingleName(economicTerms) - then ( - economicTerms -> payout -> optionPayout only-element -> strike -> strikePrice -> unit -> currency - ) - else if Qualify_BaseProduct_EquityForward(economicTerms) - then ( - economicTerms -> payout -> forwardPayout only-element -> priceQuantity -> quantitySchedule -> unit -> currency - ) - else if Qualify_EquitySwap_ParameterReturnDividend_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnDividend_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnDividend_SingleName(economicTerms) - then "AAA" //All dividend swaps are defined with a monetary payment, no strike price or number of shares - // EQ Deliverable Option F not supported - else if Qualify_EquitySwap_ParameterReturnVariance_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnVariance_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnVariance_SingleName(economicTerms) - then ( - economicTerms -> payout -> performancePayout only-element -> returnTerms -> varianceReturnTerms -> volatilityStrikePrice -> unit -> currency - ) - else if Qualify_EquitySwap_ParameterReturnVolatility_Basket(economicTerms) - or Qualify_EquitySwap_ParameterReturnVolatility_Index(economicTerms) - or Qualify_EquitySwap_ParameterReturnVolatility_SingleName(economicTerms) - then "AAA" //Is volatility amount = vega notional amount? - // EQ Contract fo Difference (CFD) not supported - else if Qualify_BaseProduct_EquitySwap(economicTerms) - then "AAA" //No initial value or current value available in the test samples - else if Qualify_Commodity_Forward(economicTerms) - then ( - economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> unit -> currency //Floating price forwards not supported - ) - else if Qualify_Commodity_Option(economicTerms) - then ( - economicTerms -> payout -> optionPayout only-element -> strike -> strikePrice -> unit -> currency - ) - else if Qualify_Commodity_Swap_FixedFloat(economicTerms) - then ( - economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> unit -> currency - ) - else if Qualify_Commodity_Swap_Basis(economicTerms) - then "AAA" //No spot price available - else if Qualify_Commodity_Swaption(economicTerms) - then ( - UnderlierForProduct(product) -> contractualProduct -> economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> unit -> currency - ) - // CO Contract for Difference (CFD) not supported + if Qualify_BaseProduct_IRSwap(economicTerms) or IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) + then ( + economicTerms -> payout -> interestRatePayout filter (priceQuantity -> quantitySchedule exists) then first then priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + else if Qualify_BaseProduct_CrossCurrency(economicTerms) + then ( + economicTerms -> payout -> interestRatePayout filter (True /*how do we identify the receiver party?*/) then first then priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + else if Qualify_InterestRate_Option_Swaption(economicTerms) or IsIRSwaptionStraddle(economicTerms) + then ( + UnderlierForProduct(product) -> Product ->> economicTerms -> payout -> interestRatePayout filter (priceQuantity -> quantitySchedule exists) then first then priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + // IR Exotic swap with an exotic coupon against a floating leg not supported + else if Qualify_InterestRate_CapFloor(economicTerms) + then ( + economicTerms -> payout -> interestRatePayout only-element -> priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + else if Qualify_InterestRate_Fra(economicTerms) + then ( + economicTerms -> payout -> interestRatePayout filter rateSpecification -> FixedRateSpecification exists then only-element then priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + else if Qualify_CreditDefaultSwap_SingleName(economicTerms) + or Qualify_CreditDefaultSwap_Index(economicTerms) + or Qualify_CreditDefaultSwap_IndexTranche(economicTerms) + or IsCreditNthToDefault(economicTerms) + then ( + economicTerms -> payout -> creditDefaultPayout -> priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + else if Qualify_CreditDefaultSwaption(economicTerms) + then ( + UnderlierForProduct(product) -> Product ->> economicTerms -> payout -> creditDefaultPayout -> priceQuantity + then StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ + ) + // Credit Total return swap on a bond not supported + else if Qualify_ForeignExchange_Swap(economicTerms) + then ( + economicTerms -> payout -> settlementPayout only-element -> priceQuantity -> quantitySchedule -> unit -> currency + ) + else if Qualify_ForeignExchange_NDS(economicTerms) + then "AAA" // Receive side notional and currency. What does that mean? + else if Qualify_ForeignExchange_Spot_Forward(economicTerms) + then ( + economicTerms -> payout -> settlementPayout only-element -> priceQuantity -> quantitySchedule -> unit -> currency + ) + else if Qualify_ForeignExchange_NDF(economicTerms) + then ( + StandardizedScheduleFXNDFNotional(economicTerms -> payout -> settlementPayout only-element) -> unit -> currency + ) + else if IsFXDeliverableOption(economicTerms) + then ( + economicTerms -> payout -> optionPayout only-element -> priceQuantity -> quantitySchedule -> unit -> currency + ) + else if IsFXNonDeliverableOption(economicTerms) + then ( + StandardizedScheduleFXNDONotional(economicTerms -> payout -> optionPayout only-element) -> unit -> currency + ) + else if Qualify_ForeignExchange_ParameterReturnVariance(economicTerms) + then ( + economicTerms -> payout -> performancePayout only-element -> returnTerms -> varianceReturnTerms -> varianceStrikePrice -> unit -> currency + ) + else if Qualify_ForeignExchange_ParameterReturnVolatility(economicTerms) + then "AAA" //Vega notional amount not mapped in the product + else if Qualify_ForeignExchange_ParameterReturnCorrelation(economicTerms) + then "AAA" //No sample trades + else if Qualify_EquityOption_PriceReturnBasicPerformance_Basket(economicTerms) + or Qualify_EquityOption_PriceReturnBasicPerformance_Index(economicTerms) + or Qualify_EquityOption_PriceReturnBasicPerformance_SingleName(economicTerms) + //To determine if the method used applies to the following equity options: + // or Qualify_EquityOption_ParameterReturnVolatility_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnVolatility_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnVolatility_SingleName(economicTerms) + // or Qualify_EquityOption_ParameterReturnVariance_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnVariance_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnVariance_SingleName(economicTerms) + // or Qualify_EquityOption_ParameterReturnCorrelation_Basket(economicTerms) + // // or Qualify_EquityOption_ParameterReturnCorrelation_Index(economicTerms) + // // or Qualify_EquityOption_ParameterReturnCorrelation_SingleName(economicTerms) + // or Qualify_EquityOption_ParameterReturnDividend_Basket(economicTerms) + // or Qualify_EquityOption_ParameterReturnDividend_Index(economicTerms) + // or Qualify_EquityOption_ParameterReturnDividend_SingleName(economicTerms) + then ( + economicTerms -> payout -> optionPayout only-element -> strike -> strikePrice -> unit -> currency + ) + else if Qualify_BaseProduct_EquityForward(economicTerms) + then ( + economicTerms -> payout -> settlementPayout only-element -> priceQuantity -> quantitySchedule -> unit -> currency + ) + else if Qualify_EquitySwap_ParameterReturnDividend_Basket(economicTerms) + or Qualify_EquitySwap_ParameterReturnDividend_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnDividend_SingleName(economicTerms) + then "AAA" //All dividend swaps are defined with a monetary payment, no strike price or number of shares + // EQ Deliverable Option F not supported + else if Qualify_EquitySwap_ParameterReturnVariance_Basket(economicTerms) + or Qualify_EquitySwap_ParameterReturnVariance_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnVariance_SingleName(economicTerms) + then ( + economicTerms -> payout -> performancePayout only-element -> returnTerms -> varianceReturnTerms -> volatilityStrikePrice -> unit -> currency + ) + else if Qualify_EquitySwap_ParameterReturnVolatility_Basket(economicTerms) + or Qualify_EquitySwap_ParameterReturnVolatility_Index(economicTerms) + or Qualify_EquitySwap_ParameterReturnVolatility_SingleName(economicTerms) + then "AAA" //Is volatility amount = vega notional amount? + // EQ Contract fo Difference (CFD) not supported + else if Qualify_BaseProduct_EquitySwap(economicTerms) + then "AAA" //No initial value or current value available in the test samples + else if Qualify_Commodity_Forward(economicTerms) + then ( + economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> unit -> currency //Floating price forwards not supported + ) + else if Qualify_Commodity_Option(economicTerms) + then ( + economicTerms -> payout -> optionPayout only-element -> strike -> strikePrice -> unit -> currency + ) + else if Qualify_Commodity_Swap_FixedFloat(economicTerms) + then ( + economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> unit -> currency + ) + else if Qualify_Commodity_Swap_Basis(economicTerms) + then "AAA" //No spot price available + else if Qualify_Commodity_Swaption(economicTerms) + then ( + UnderlierForProduct(product) -> Product ->> economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> unit -> currency + ) + // CO Contract for Difference (CFD) not supported func AuxiliarEffectiveDate: <"Extracts the effective date of specific products such as interest rate swaps and swaptions."> - inputs: trade Trade (1..1) - output: effectiveDate date (0..1) - alias product: - trade -> tradableProduct -> product - alias economicTerms: - EconomicTermsForProduct(product) + inputs: + trade Trade (1..1) + output: + effectiveDate date (0..1) + + alias economicTerms: trade -> product -> economicTerms + set effectiveDate: - // interestRatePayout + // interestRatePayout if economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate exists then (economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate extract AdjustableDateResolution then min) - // interestRateSwaptions - else if economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate exists - then (economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate + // interestRateSwaptions + else if economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate exists + then (economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> effectiveDate -> adjustableDate extract AdjustableDateResolution then min) func AuxiliarTerminationDate: <"Extracts the termination date of specific products such as interest rate swaps and swaptions."> inputs: trade Trade (1..1) output: terminationDate date (0..1) - alias product: - trade -> tradableProduct -> product - alias economicTerms: - EconomicTermsForProduct(product) + + alias economicTerms: trade -> product -> economicTerms + set terminationDate: - // interestRatePayout + // interestRatePayout if economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> terminationDate -> adjustableDate exists then (economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> terminationDate -> adjustableDate extract AdjustableDateResolution then max) - // interestRateSwaptions - else if economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> terminationDate -> adjustableDate exists - then (economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> terminationDate -> adjustableDate + // interestRateSwaptions + else if economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> terminationDate -> adjustableDate exists + then (economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms -> payout -> interestRatePayout -> calculationPeriodDates -> terminationDate -> adjustableDate extract AdjustableDateResolution then max) func StandardizedScheduleDuration: <"Extracts the duration of a trade, according to the product class-depending extraction method defined in the ISDA industry survey."> - inputs: trade Trade (1..1) - output: durationInYears number (0..1) - alias product: - ProductForTrade(trade) - alias economicTerms: - EconomicTermsForProduct(product) - alias underlier: - UnderlierForProduct(product) + inputs: + trade Trade (1..1) + output: + durationInYears number (0..1) + + alias product: trade -> product + alias economicTerms: trade -> product -> economicTerms + alias underlier: UnderlierForProduct(product) + alias transactionEffectiveDate: - AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(economicTerms -> effectiveDate)) + AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate(economicTerms -> effectiveDate) + ) alias transactionTerminationDate: - AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(economicTerms -> terminationDate)) + AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate( + economicTerms -> terminationDate + ) + ) alias transactionTenorInYears: if transactionEffectiveDate exists and transactionTerminationDate exists then DateDifferenceYears(transactionEffectiveDate, transactionTerminationDate) alias underlyingTransactionEffectiveDate: - AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(EconomicTermsForProduct(underlier) -> effectiveDate)) + AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate( + underlier -> Product ->> economicTerms -> effectiveDate + ) + ) alias underlyingTransactionTerminationDate: - AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(EconomicTermsForProduct(underlier) -> terminationDate)) + AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate( + underlier -> Product ->> economicTerms -> terminationDate + ) + ) alias underlyingTransactionTenorInYears: - if underlyingTransactionEffectiveDate exists and underlyingTransactionTerminationDate exists - then DateDifferenceYears(underlyingTransactionEffectiveDate, underlyingTransactionTerminationDate) + if underlyingTransactionEffectiveDate exists + and underlyingTransactionTerminationDate exists + then DateDifferenceYears( + underlyingTransactionEffectiveDate, + underlyingTransactionTerminationDate + ) alias optionExpiry: - economicTerms -> payout -> optionPayout only-element -> exerciseTerms then extract - if style = OptionExerciseStyleEnum -> American then AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(expirationDate only-element)) - else if style = OptionExerciseStyleEnum -> European then ( - expirationDate - max [AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(item))] - extract AdjustableOrAdjustedOrRelativeDateResolution(ConvertToAdjustableOrAdjustedOrRelativeDate(item)) - ) - else if style = OptionExerciseStyleEnum -> Bermuda then ( - if exerciseDates -> adjustableDates exists then - AdjustableDatesResolution(exerciseDates -> adjustableDates) - max [item] - extract item - ) + economicTerms -> payout -> optionPayout only-element -> exerciseTerms + then extract + if style = OptionExerciseStyleEnum -> American + then AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate( + expirationDate only-element + ) + ) + else if style = OptionExerciseStyleEnum -> European + then (expirationDate + max [ + AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate(item) + ) + ] + extract + AdjustableOrAdjustedOrRelativeDateResolution( + ConvertToAdjustableOrAdjustedOrRelativeDate(item) + )) + else if style = OptionExerciseStyleEnum -> Bermuda + then (if exerciseDates -> adjustableDates exists + then AdjustableDatesResolution(exerciseDates -> adjustableDates) + max [ item ] + extract item) alias timeToOptionExpiryInYears: if transactionEffectiveDate exists and optionExpiry exists then DateDifferenceYears(transactionEffectiveDate, optionExpiry) alias genericDurationInYears: - if Qualify_BaseProduct_IRSwap(economicTerms) - or IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) - or Qualify_BaseProduct_CrossCurrency(economicTerms) - or Qualify_InterestRate_Fra(economicTerms) - or Qualify_CreditDefaultSwap_SingleName(economicTerms) - or Qualify_CreditDefaultSwap_Index(economicTerms) - or Qualify_CreditDefaultSwap_IndexTranche(economicTerms) - or IsCreditNthToDefault(economicTerms) + if Qualify_BaseProduct_IRSwap(economicTerms) + or IsIRSwapWithCallableBermudanRightToEnterExitSwaps(economicTerms) + or Qualify_BaseProduct_CrossCurrency(economicTerms) + or Qualify_InterestRate_Fra(economicTerms) + or Qualify_CreditDefaultSwap_SingleName(economicTerms) + or Qualify_CreditDefaultSwap_Index(economicTerms) + or Qualify_CreditDefaultSwap_IndexTranche(economicTerms) + or IsCreditNthToDefault(economicTerms) then transactionTenorInYears else if Qualify_InterestRate_Option_Swaption(economicTerms) - or Qualify_CreditDefaultSwaption(economicTerms) or IsIRSwaptionStraddle(economicTerms) - then ( - if timeToOptionExpiryInYears exists and underlyingTransactionTenorInYears exists + or Qualify_CreditDefaultSwaption(economicTerms) + or IsIRSwaptionStraddle(economicTerms) + then (if timeToOptionExpiryInYears exists + and underlyingTransactionTenorInYears exists then timeToOptionExpiryInYears + underlyingTransactionTenorInYears else if timeToOptionExpiryInYears exists then timeToOptionExpiryInYears else if underlyingTransactionTenorInYears exists - then underlyingTransactionTenorInYears - ) + then underlyingTransactionTenorInYears) else if Qualify_InterestRate_CapFloor(economicTerms) - or Qualify_InterestRate_Option_DebtOption(economicTerms) + or Qualify_InterestRate_Option_DebtOption(economicTerms) then timeToOptionExpiryInYears - // IR Exotic swap with an exotic coupon against a floating leg not supported - // Credit Total return swap on a bond not supported + // IR Exotic swap with an exotic coupon against a floating leg not supported + // Credit Total return swap on a bond not supported alias auxiliarDurationInYears: - DateDifferenceYears(AuxiliarEffectiveDate(trade),AuxiliarTerminationDate(trade)) + DateDifferenceYears(AuxiliarEffectiveDate(trade), AuxiliarTerminationDate(trade)) set durationInYears: - if genericDurationInYears exists then genericDurationInYears + if genericDurationInYears exists + then genericDurationInYears else auxiliarDurationInYears func GetIMRequirement: <"Computes the IM requirement, which is required in the calculation of the gross initial margin. It depends exclusively on the asset class of the trade and, in some cases, on the duration as well."> - inputs: + inputs: assetClass StandardizedScheduleAssetClassEnum (1..1) durationInYears number (1..1) - output: percentage number (1..1) + output: + percentage number (1..1) set percentage: - if assetClass = StandardizedScheduleAssetClassEnum -> InterestRates then ( - if durationInYears <= 2 then 1.0 - else if durationInYears > 2 and durationInYears <= 5 then 2.0 - else if durationInYears > 5 then 4.0 - ) - else if assetClass = StandardizedScheduleAssetClassEnum -> Credit then ( - if durationInYears <= 2 then 2.0 - else if durationInYears > 2 and durationInYears <= 5 then 5.0 - else if durationInYears > 5 then 10.0 - ) - else if assetClass = StandardizedScheduleAssetClassEnum -> ForeignExchange then 6.0 - else if assetClass = StandardizedScheduleAssetClassEnum -> Equity then 15.0 - else if assetClass = StandardizedScheduleAssetClassEnum -> Commodity then 15.0 - -func ProductForTrade: <"Extracts the product from a trade."> - inputs: trade Trade (1..1) - output: product Product (0..1) - set product: trade -> tradableProduct -> product - -func EconomicTermsForProduct: <"Extracts the economic terms from a product."> - inputs: product Product (1..1) - output: economicTerms EconomicTerms (0..1) - set economicTerms: - if product -> contractualProduct -> economicTerms exists then product -> contractualProduct -> economicTerms - else if product -> security -> securityType = SecurityTypeEnum -> ListedDerivative and product -> security -> economicTerms exists then product -> security -> economicTerms + if assetClass = StandardizedScheduleAssetClassEnum -> InterestRates + then (if durationInYears <= 2 + then 1.0 + else if durationInYears > 2 and durationInYears <= 5 + then 2.0 + else if durationInYears > 5 + then 4.0) + else if assetClass = StandardizedScheduleAssetClassEnum -> Credit + then (if durationInYears <= 2 + then 2.0 + else if durationInYears > 2 and durationInYears <= 5 + then 5.0 + else if durationInYears > 5 + then 10.0) + else if assetClass = StandardizedScheduleAssetClassEnum -> ForeignExchange + then 6.0 + else if assetClass = StandardizedScheduleAssetClassEnum -> Equity + then 15.0 + else if assetClass = StandardizedScheduleAssetClassEnum -> Commodity + then 15.0 func UnderlierForProduct: <"Extracts the underlier product."> - inputs: product Product (1..1) - output: underlierProduct Product (1..1) - set underlierProduct: - if EconomicTermsForProduct (product)-> payout -> optionPayout exists then - EconomicTermsForProduct (product) -> payout -> optionPayout only-element -> underlier - else if EconomicTermsForProduct (product) -> payout -> forwardPayout exists then - EconomicTermsForProduct (product) -> payout -> forwardPayout only-element -> underlier + inputs: + product NonTransferableProduct (1..1) + output: + underlier Underlier (1..1) + + set underlier: + if product -> economicTerms -> payout -> optionPayout exists + then product -> economicTerms -> payout -> optionPayout only-element-> underlier + else if product -> economicTerms -> payout -> settlementPayout exists + then product -> economicTerms -> payout -> settlementPayout only-element -> underlier func AdjustableOrAdjustedOrRelativeDateResolution: <"A fall back for unadjustedDate when adjustedDate is only available."> inputs: @@ -586,7 +624,8 @@ func AdjustableOrAdjustedOrRelativeDateResolution: <"A fall back for unadjustedD output: date date (0..1) set date: - if adjustableDate -> unadjustedDate exists then adjustableDate -> unadjustedDate + if adjustableDate -> unadjustedDate exists + then adjustableDate -> unadjustedDate else adjustableDate -> adjustedDate func AdjustableDateResolution: <"A fall back for unadjustedDate when adjustedDate is only available."> @@ -596,7 +635,8 @@ func AdjustableDateResolution: <"A fall back for unadjustedDate when adjustedDat date date (0..1) set date: - if adjustableDate -> unadjustedDate exists then adjustableDate -> unadjustedDate + if adjustableDate -> unadjustedDate exists + then adjustableDate -> unadjustedDate else adjustableDate -> adjustedDate func AdjustableDatesResolution: <"A fall back for unadjustedDate when adjustedDate is only available."> @@ -606,7 +646,8 @@ func AdjustableDatesResolution: <"A fall back for unadjustedDate when adjustedDa date date (0..*) add date: - if adjustableDates -> unadjustedDate exists then adjustableDates -> unadjustedDate + if adjustableDates -> unadjustedDate exists + then adjustableDates -> unadjustedDate else adjustableDates -> adjustedDate func StandardizedScheduleMonetaryNotionalFromResolvablePQ: <"Extracts the notional amount for all products that have it populated in the resolvable priceQuantity."> @@ -616,13 +657,11 @@ func StandardizedScheduleMonetaryNotionalFromResolvablePQ: <"Extracts the notion notional number (0..1) set notional: - - if priceQuantity -> quantitySchedule exists and priceQuantity -> quantitySchedule -> unit -> currency exists - then ( - if priceQuantity -> quantitySchedule -> multiplier exists - then priceQuantity -> quantitySchedule -> value * priceQuantity -> quantitySchedule -> multiplier -> value - else priceQuantity -> quantitySchedule -> value - ) + if priceQuantity -> quantitySchedule exists + and priceQuantity -> quantitySchedule -> unit -> currency exists + then (if priceQuantity -> quantitySchedule -> multiplier exists + then priceQuantity -> quantitySchedule -> value * priceQuantity -> quantitySchedule -> multiplier -> value + else priceQuantity -> quantitySchedule -> value) func StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ: <"Extracts the notional currency for all products that have it populated in the resolvable priceQuantity."> inputs: @@ -631,171 +670,198 @@ func StandardizedScheduleMonetaryNotionalCurrencyFromResolvablePQ: <"Extracts th notionalCurrency string (0..1) set notionalCurrency: - - if priceQuantity -> quantitySchedule exists and priceQuantity -> quantitySchedule -> unit -> currency exists - then ( - if priceQuantity -> quantitySchedule -> multiplier exists - then priceQuantity -> quantitySchedule -> multiplier -> unit -> currency - else priceQuantity -> quantitySchedule -> unit -> currency - ) + if priceQuantity -> quantitySchedule exists + and priceQuantity -> quantitySchedule -> unit -> currency exists + then (if priceQuantity -> quantitySchedule -> multiplier exists + then priceQuantity -> quantitySchedule -> multiplier -> unit -> currency + else priceQuantity -> quantitySchedule -> unit -> currency) func FXFarLeg: <"Extracts the far leg of an FX swap (deliverable or not) based on two criteria: the forward payout with the latest value date or the forward payout with the latest settlement date."> - inputs: product Product (1..1) - output: nearLegPayout ForwardPayout (0..1) - alias forwardPayout: EconomicTermsForProduct(product) -> payout -> forwardPayout - set nearLegPayout: - //value date - if (Qualify_ForeignExchange_Swap(EconomicTermsForProduct(product) ) or Qualify_ForeignExchange_NDS(EconomicTermsForProduct(product) ) ) and forwardPayout -> settlementTerms -> settlementDate -> valueDate exists then forwardPayout - max [ item -> settlementTerms -> settlementDate -> valueDate] - //adjustable or relative date - else if (Qualify_ForeignExchange_Swap(EconomicTermsForProduct(product) ) or Qualify_ForeignExchange_NDS(EconomicTermsForProduct(product) ) ) and forwardPayout -> underlier -> foreignExchange -> exchangedCurrency1 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate exists then forwardPayout - max [ AdjustableOrAdjustedOrRelativeDateResolution( item -> underlier -> foreignExchange -> exchangedCurrency1 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate)] - -func StandardizedScheduleFXSwapNotional: <"Extracts the notional amount and currency of an FX swap."> - inputs: farLeg ForwardPayout (0..1) - output: quantity NonNegativeQuantitySchedule (0..1) - alias exchangedCurrencies: - [ - farLeg -> underlier -> foreignExchange -> exchangedCurrency1, - farLeg -> underlier -> foreignExchange -> exchangedCurrency2 - ] - alias extractedExchangedCurrency: - if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "USD" then ( - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "USD" - ) - else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "EUR" then ( - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "EUR" - ) - else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "JPY" then ( - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "JPY" - ) - else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "GBP" then ( - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "GBP" - ) - else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "CHF" then ( - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "CHF" - ) - else ( - exchangedCurrencies then - min [item -> priceQuantity -> quantitySchedule -> unit -> currency] - ) - set quantity: - extractedExchangedCurrency only-element -> priceQuantity -> quantitySchedule + inputs: + product NonTransferableProduct (1..1) + output: + farLegPayout SettlementPayout (0..1) + + alias settlementPayout: product -> economicTerms -> payout -> settlementPayout + + set farLegPayout: + // value date + if (Qualify_ForeignExchange_Swap(product -> economicTerms) or Qualify_ForeignExchange_NDS(product -> economicTerms)) + and settlementPayout -> settlementTerms -> settlementDate -> valueDate exists + then settlementPayout max [ item -> settlementTerms -> settlementDate -> valueDate ] + // adjustable or relative date + else if (Qualify_ForeignExchange_Swap(product -> economicTerms) or Qualify_ForeignExchange_NDS(product -> economicTerms)) + and settlementPayout -> settlementTerms -> settlementDate -> adjustableOrRelativeDate exists + then settlementPayout + max [ + AdjustableOrAdjustedOrRelativeDateResolution( + item -> settlementTerms -> settlementDate -> adjustableOrRelativeDate + ) + ] + +// func StandardizedScheduleFXSwapNotional: <"Extracts the notional amount and currency of an FX swap."> +// inputs: farLeg SettlementPayout (0..1) +// output: quantity NonNegativeQuantitySchedule (0..1) +// // alias exchangedCurrencies: +// // [ +// // farLeg -> underlier -> foreignExchange -> exchangedCurrency1, +// // farLeg -> underlier -> foreignExchange -> exchangedCurrency2 +// // ] +// // alias extractedExchangedCurrency: +// // if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "USD" then ( +// // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "USD" +// // ) +// // else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "EUR" then ( +// // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "EUR" +// // ) +// // else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "JPY" then ( +// // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "JPY" +// // ) +// // else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "GBP" then ( +// // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "GBP" +// // ) +// // else if exchangedCurrencies -> priceQuantity -> quantitySchedule -> unit -> currency any = "CHF" then ( +// // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = "CHF" +// // ) +// // else ( +// // exchangedCurrencies then +// // min [item -> priceQuantity -> quantitySchedule -> unit -> currency] +// // ) +// set quantity: +// // extractedExchangedCurrency only-element -> priceQuantity -> quantitySchedule +// farLeg -> priceQuantity -> quantitySchedule func StandardizedScheduleFXNDFNotional: <"Extracts the notional amount and currency of an FX non-deliverable forward."> - inputs: forwardPayout ForwardPayout (0..1) - output: quantity NonNegativeQuantitySchedule (0..1) - alias settlementCurrency: - forwardPayout -> settlementTerms -> settlementCurrency - alias exchangedCurrencies: - [ - forwardPayout -> underlier -> foreignExchange -> exchangedCurrency1, - forwardPayout -> underlier -> foreignExchange -> exchangedCurrency2 - ] + inputs: + settlementPayout SettlementPayout (0..1) + output: + quantity NonNegativeQuantitySchedule (0..1) + + // alias settlementCurrency: settlementPayout -> settlementTerms -> settlementCurrency + + // alias exchangedCurrencies: + // [ + // forwardPayout -> underlier -> foreignExchange -> exchangedCurrency1, + // forwardPayout -> underlier -> foreignExchange -> exchangedCurrency2 + // ] + set quantity: - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = settlementCurrency then only-element then priceQuantity -> quantitySchedule + // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = settlementCurrency then only-element then priceQuantity -> quantitySchedule + settlementPayout -> priceQuantity -> quantitySchedule func StandardizedScheduleFXNDONotional: <"Extracts the notional amount and currency of an FX non-deliverable option."> - inputs: optionPayout OptionPayout (0..1) - output: quantity NonNegativeQuantitySchedule (0..1) - alias settlementCurrency: - optionPayout -> settlementTerms -> settlementCurrency - alias exchangedCurrencies: - [ - optionPayout -> underlier -> foreignExchange -> exchangedCurrency1, - optionPayout -> underlier -> foreignExchange -> exchangedCurrency2 - ] + inputs: + optionPayout OptionPayout (0..1) + output: + quantity NonNegativeQuantitySchedule (0..1) + + // alias settlementCurrency: + // optionPayout -> settlementTerms -> settlementCurrency + // alias exchangedCurrencies: + // [ + // optionPayout -> underlier -> foreignExchange -> exchangedCurrency1, + // optionPayout -> underlier -> foreignExchange -> exchangedCurrency2 + // ] + set quantity: - exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = settlementCurrency then only-element then priceQuantity -> quantitySchedule + // exchangedCurrencies filter priceQuantity -> quantitySchedule -> unit -> currency = settlementCurrency then only-element then priceQuantity -> quantitySchedule + optionPayout -> priceQuantity -> quantitySchedule func StandardizedScheduleFXVarianceNotionalAmount: <"Extracts the notional amount of an FX variance swap."> - inputs: performancePayout PerformancePayout (0..1) - output: amount number (0..1) - alias varianceReturnTerms: - performancePayout -> returnTerms -> varianceReturnTerms - alias vegaNotionalAmount: - varianceReturnTerms -> vegaNotionalAmount - alias fixedRate: - varianceReturnTerms -> varianceStrikePrice - set amount: - (vegaNotionalAmount -> value)/(0.02*(fixedRate -> value)) + inputs: + performancePayout PerformancePayout (0..1) + output: + amount number (0..1) + alias varianceReturnTerms: performancePayout -> returnTerms -> varianceReturnTerms + alias vegaNotionalAmount: varianceReturnTerms -> vegaNotionalAmount + alias fixedRate: varianceReturnTerms -> varianceStrikePrice + set amount: (vegaNotionalAmount -> value) / (0.02 * (fixedRate -> value)) func StandardizedScheduleOptionNotionalAmount: <"Extracts the notional amount of a CO or EQ option."> - inputs: optionPayout OptionPayout (0..1) - output: amount number (0..1) + inputs: + optionPayout OptionPayout (0..1) + output: + amount number (0..1) alias strikePrice: - optionPayout -> strike -> strikePrice -> value + optionPayout -> strike -> strikePrice -> value alias notionalQuantity: - optionPayout -> priceQuantity -> quantitySchedule then ( - if multiplier exists then value * multiplier -> value - else value - ) + optionPayout -> priceQuantity -> quantitySchedule + then ( + if multiplier exists then value * multiplier -> value + else value + ) set amount: - strikePrice * notionalQuantity + strikePrice * notionalQuantity func StandardizedScheduleEquityForwardNotionalAmount: <"Extracts the notional amount of an EQ forward."> - inputs: forwardPayout ForwardPayout (0..1) - output: amount number (0..1) + inputs: + settlementPayout SettlementPayout (0..1) + output: + amount number (0..1) + alias forwardPrice: - forwardPayout -> priceQuantity -> priceSchedule only-element -> value + settlementPayout -> priceQuantity -> priceSchedule only-element -> value alias notionalQuantity: - forwardPayout -> priceQuantity -> quantitySchedule then ( - if multiplier exists then value * multiplier -> value - else value - ) + settlementPayout -> priceQuantity -> quantitySchedule then + (if multiplier exists then value * multiplier -> value else value) + set amount: - forwardPrice * notionalQuantity + forwardPrice * notionalQuantity func StandardizedScheduleVarianceSwapNotionalAmount: <"Extracts the notional amount of an EQ variance swap."> - inputs: performancePayout PerformancePayout (0..1) - output: amount number (0..1) + inputs: + performancePayout PerformancePayout (0..1) + output: + amount number (0..1) alias varianceAmount: - performancePayout -> priceQuantity -> quantitySchedule then ( - if multiplier exists then value * multiplier -> value - else value - ) then if item >= 1 then 0.01*item else item + performancePayout -> priceQuantity -> quantitySchedule + then (if multiplier exists + then value * multiplier -> value + else value) + then if item >= 1 then 0.01 * item else item alias volatilityStrikePrice: - performancePayout -> returnTerms -> varianceReturnTerms -> volatilityStrikePrice -> value - set amount: - 200 * varianceAmount * volatilityStrikePrice + performancePayout -> returnTerms -> varianceReturnTerms -> volatilityStrikePrice -> value + set amount: 200 * varianceAmount * volatilityStrikePrice func StandardizedScheduleCommodityForwardNotionalAmount: <"Extracts the notional amount of a CO forward. Floating price forwards not supported."> - inputs: economicTerms EconomicTerms (0..1) - output: amount number (0..1) + inputs: + economicTerms EconomicTerms (0..1) + output: + amount number (0..1) + alias forwardPrice: - economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> value + economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> value + alias notionalQuantity: - economicTerms -> payout -> forwardPayout only-element -> priceQuantity -> quantitySchedule then ( - if multiplier exists then value * multiplier -> value - else value - ) - set amount: - forwardPrice * notionalQuantity + economicTerms -> payout -> settlementPayout only-element -> priceQuantity -> quantitySchedule + then (if multiplier exists + then value * multiplier -> value + else value) + + set amount: forwardPrice * notionalQuantity func StandardizedScheduleCommoditySwapFixedFloatNotionalAmount: <"Extracts the notional amount of a CO fixed float swap."> - inputs: economicTerms EconomicTerms (0..1) - output: amount number (0..1) + inputs: + economicTerms EconomicTerms (0..1) + output: + amount number (0..1) alias fixedPrice: - economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> value + economicTerms -> payout -> fixedPricePayout only-element -> fixedPrice -> price -> value alias notionalQuantity: - economicTerms -> payout -> commodityPayout only-element -> priceQuantity -> quantitySchedule then ( - if multiplier exists then value * multiplier -> value - else value - ) - set amount: - fixedPrice * notionalQuantity + economicTerms -> payout -> commodityPayout only-element -> priceQuantity -> quantitySchedule + then (if multiplier exists + then value * multiplier -> value + else value) + set amount: fixedPrice * notionalQuantity func DateDifferenceYears: <"Computes the difference in years between two dates. All years are supposed to have 365 days."> - inputs: firstDate date (1..1) <"The earlier date."> secondDate date (1..1) <"The later date."> output: - difference number (1..1) + difference number (1..1) - set difference: - - DateDifference(firstDate, secondDate)/365.0 + set difference: DateDifference(firstDate, secondDate) / 365.0 func IsCreditNthToDefault: <"Identifies a product as a CR basket Nth to default."> inputs: @@ -811,8 +877,8 @@ func IsFXDeliverableOption: <"Identifies a product as an FX deliverable option." output: is_Product boolean (1..1) set is_Product: - Qualify_ForeignExchange_VanillaOption(economicTerms) and - economicTerms -> payout -> optionPayout only-element -> settlementTerms -> settlementType = SettlementTypeEnum -> Physical + Qualify_ForeignExchange_VanillaOption(economicTerms) + and economicTerms -> payout -> optionPayout only-element -> settlementTerms -> settlementType = SettlementTypeEnum -> Physical func IsFXNonDeliverableOption: <"Identifies a product as an FX non-deliverable option."> inputs: @@ -820,8 +886,8 @@ func IsFXNonDeliverableOption: <"Identifies a product as an FX non-deliverable o output: is_Product boolean (1..1) set is_Product: - Qualify_ForeignExchange_VanillaOption(economicTerms) and - economicTerms -> payout -> optionPayout only-element -> settlementTerms -> settlementType = SettlementTypeEnum -> Cash + Qualify_ForeignExchange_VanillaOption(economicTerms) + and economicTerms -> payout -> optionPayout only-element -> settlementTerms -> settlementType = SettlementTypeEnum -> Cash func IsIRSwaptionStraddle: <"Identifies a product as an IR swaption straddle."> inputs: @@ -829,7 +895,8 @@ func IsIRSwaptionStraddle: <"Identifies a product as an IR swaption straddle."> output: is_Product boolean (1..1) set is_Product: - Qualify_InterestRate_Option_Swaption(economicTerms) and economicTerms -> payout -> optionPayout only-element -> optionType = OptionTypeEnum -> Straddle + Qualify_InterestRate_Option_Swaption(economicTerms) + and economicTerms -> payout -> optionPayout only-element -> optionType = OptionTypeEnum -> Straddle func IsIRSwapWithCallableBermudanRightToEnterExitSwaps: <"Identifies a product as an IR swap with bermudan/callable right to enter/exit swaps."> inputs: @@ -837,37 +904,40 @@ func IsIRSwapWithCallableBermudanRightToEnterExitSwaps: <"Identifies a product a output: is_Product boolean (1..1) set is_Product: - Qualify_BaseProduct_IRSwap(economicTerms) and economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseTerms -> style = OptionExerciseStyleEnum -> Bermuda + Qualify_BaseProduct_IRSwap(economicTerms) + and economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseTerms -> style = OptionExerciseStyleEnum -> Bermuda func GetNetInitialMarginFromExposure: <"Computes the net initial margin, taking the gross initial margin result and the mark to market value for each trade in the portfolio."> inputs: exposure Exposure (0..1) output: initialMargin StandardizedScheduleInitialMargin (0..1) - alias tradePortfolio: - exposure -> tradePortfolio - alias positions: - tradePortfolio -> positions + alias tradePortfolio: exposure -> tradePortfolio + alias positions: tradePortfolio -> positions alias tradeInitialMargin: - positions extract - StandardizedScheduleTradeInfo { - assetClass: BuildStandardizedSchedule(item -> tradeReference -> trade) -> assetClass, - productClass: BuildStandardizedSchedule(item -> tradeReference -> trade) -> productClass, - grossInitialMargin : GetGrossInitialMarginFromStandardizedSchedule(BuildStandardizedSchedule(item -> tradeReference -> trade)), - markToMarketValue : item -> tradeReference -> valuationHistory filter method = ValuationTypeEnum -> MarkToMarket then only-element then amount - } - alias totalGIM: - tradeInitialMargin -> grossInitialMargin -> value sum - alias netCurrentReplacementCost: - tradeInitialMargin -> markToMarketValue -> value sum + positions + extract + StandardizedScheduleTradeInfo { + assetClass: BuildStandardizedSchedule(item -> tradeReference -> trade) -> assetClass, + productClass: BuildStandardizedSchedule(item -> tradeReference -> trade) -> productClass, + grossInitialMargin: GetGrossInitialMarginFromStandardizedSchedule( + BuildStandardizedSchedule(item -> tradeReference -> trade) + ), + markToMarketValue: item -> tradeReference -> valuationHistory + filter method = ValuationTypeEnum -> MarkToMarket + then only-element + then amount + } + alias totalGIM: tradeInitialMargin -> grossInitialMargin -> value sum + alias netCurrentReplacementCost: tradeInitialMargin -> markToMarketValue -> value sum alias grossCurrentReplacementCost: - tradeInitialMargin -> markToMarketValue filter item -> value > 0 then value sum - alias netToGrossRatio: - netCurrentReplacementCost / grossCurrentReplacementCost - add initialMargin -> tradeInfo: - tradeInitialMargin + tradeInitialMargin -> markToMarketValue + filter item -> value > 0 + then value sum + alias netToGrossRatio: netCurrentReplacementCost / grossCurrentReplacementCost + add initialMargin -> tradeInfo: tradeInitialMargin set initialMargin -> netInitialMargin -> value: - 0.4*totalGIM + 0.6*totalGIM*netToGrossRatio + 0.4 * totalGIM + 0.6 * totalGIM * netToGrossRatio set initialMargin -> netInitialMargin -> unit -> currency: tradeInitialMargin -> markToMarketValue -> unit -> currency distinct only-element @@ -876,13 +946,18 @@ func Create_ExposureFromTrades: <"Builds an Exposure structure from a collection trades TradeState (0..*) output: exposure Exposure (0..1) + add exposure -> tradePortfolio -> positions: - trades extract - Position{ - cashBalance: empty, - priceQuantity: item -> trade -> tradableProduct -> tradeLot -> priceQuantity, - product: item -> trade -> tradableProduct -> product, - tradeReference: item - } - set exposure -> tradePortfolio -> lineage -> tradeReference: - trades -> trade first \ No newline at end of file + trades + extract + Position { + cashBalance: empty, + priceQuantity: item -> trade -> tradeLot -> priceQuantity, + tradeReference: empty, + product: Product { + NonTransferableProduct: item -> trade -> product, + ... + } + } + + set exposure -> tradePortfolio -> lineage -> tradeReference: trades -> trade first diff --git a/rosetta-source/src/main/rosetta/margin-schedule-type.rosetta b/rosetta-source/src/main/rosetta/margin-schedule-type.rosetta index c6d42c0156..377107b44d 100644 --- a/rosetta-source/src/main/rosetta/margin-schedule-type.rosetta +++ b/rosetta-source/src/main/rosetta/margin-schedule-type.rosetta @@ -20,4 +20,4 @@ type StandardizedScheduleTradeInfo: type StandardizedScheduleInitialMargin: tradeInfo StandardizedScheduleTradeInfo (0..*) - netInitialMargin Money (1..1) \ No newline at end of file + netInitialMargin Money (1..1) diff --git a/rosetta-source/src/main/rosetta/observable-asset-calculatedrate-func.rosetta b/rosetta-source/src/main/rosetta/observable-asset-calculatedrate-func.rosetta index 77402df0ad..19a0aef555 100644 --- a/rosetta-source/src/main/rosetta/observable-asset-calculatedrate-func.rosetta +++ b/rosetta-source/src/main/rosetta/observable-asset-calculatedrate-func.rosetta @@ -22,7 +22,7 @@ import cdm.observable.asset.fro.* // ====================================================================== func EvaluateCalculatedRate: <"Evaluate a calculated rate as described in the 2021 ISDA Definitions."> inputs: - floatingRateOption FloatingRateOption (1..1) <"The base floating rate inde."> + floatingRateOption FloatingRateIndex (1..1) <"The base floating rate index."> calculationParameters FloatingRateCalculationParameters (1..1) <"Floating rate definition for the calculated rate."> resetDates ResetDates (0..1) <"Reset structure (needed only for fallback rates, otherwise will be empty)."> calculationPeriod CalculationPeriodBase (1..1) <"Calculation period for which we want to determine the rate."> diff --git a/rosetta-source/src/main/rosetta/observable-asset-fro-func.rosetta b/rosetta-source/src/main/rosetta/observable-asset-fro-func.rosetta index ba508209ac..70fad678b9 100644 --- a/rosetta-source/src/main/rosetta/observable-asset-fro-func.rosetta +++ b/rosetta-source/src/main/rosetta/observable-asset-fro-func.rosetta @@ -17,14 +17,14 @@ func IndexValueObservation: <"Retrieve the values of the supplied index on the s // data provider - implementation provides observed value from data source inputs: observationDate date (1..1) - floatingRateOption FloatingRateOption (1..1) + floatingRateOption FloatingRateIndex (1..1) output: observedValue number (1..1) func IndexValueObservationMultiple: <"Retrieve the values of the supplied index on the specified observation dates."> inputs: observationDate date (0..*) - floatingRateOption FloatingRateOption (1..1) + floatingRateOption FloatingRateIndex (1..1) output: observedValues number (0..*) diff --git a/rosetta-source/src/main/rosetta/observable-asset-func.rosetta b/rosetta-source/src/main/rosetta/observable-asset-func.rosetta index b2f3ca1708..c7cd1a18d0 100644 --- a/rosetta-source/src/main/rosetta/observable-asset-func.rosetta +++ b/rosetta-source/src/main/rosetta/observable-asset-func.rosetta @@ -24,3 +24,16 @@ func FilterPrice: <"Filter list of prices based on price type."> then item -> priceExpression = priceExpression else True then only-element + +func InterestRateObservableCondition: <"Implementation for PriceQuantity.InterestRateObservable condition."> + inputs: + pq PriceQuantity (1..1) + output: + valid boolean (0..1) + + set valid: + if pq -> observable -> Index -> FloatingRateIndex exists and pq -> price exists + then pq -> price + extract [ + priceType = PriceTypeEnum -> InterestRate and arithmeticOperator exists + ] all = True diff --git a/rosetta-source/src/main/rosetta/observable-asset-type.rosetta b/rosetta-source/src/main/rosetta/observable-asset-type.rosetta index 608ff498b1..ae729bee6b 100644 --- a/rosetta-source/src/main/rosetta/observable-asset-type.rosetta +++ b/rosetta-source/src/main/rosetta/observable-asset-type.rosetta @@ -11,30 +11,47 @@ import cdm.observable.common.* import cdm.product.asset.* import cdm.mapping.config.* -//**ART** Needed to support PriceQuantity in BasketConstituent, which will be refactored -import cdm.product.common.settlement.* +type IndexBase extends AssetBase: <"Identifies an index by referencing an identifier."> + name string (0..1) <"A description of the Index."> + [metadata scheme] + provider LegalEntity (0..1) <"The organisation that creates or maintains the Index."> + assetClass AssetClassEnum (0..1) <"The Asset Class of the Index."> + +choice Index: <"An Index is an Observable which is computed based on the prices, rates or valuations of a number of assets that are tracked in a standardized way. Examples include equity market indices as well as indices on interest rates, inflation and credit instruments."> + CreditIndex <"An index based on credit risk, typically composed using corporate debt instruments in a region or industry sector, e.g. the iTraxx indices."> + EquityIndex <"An index based on equity securities, e.g. the S&P 500."> + FloatingRateIndex <"An index based in interest rates or inflation rates in a certain market."> + [metadata location] + ForeignExchangeRateIndex <"A rate based on the exchange of a pair of cash assets in specific currencies, e.g. USD versus GBP."> + OtherIndex <"An index created by a market participant which doesn't align with the other index types."> -type FloatingRateIndex extends IndexBase: <"Specification of an interest rate index which can change over time, e.g. the SONIA (Sterling Overnight Index Average) in the UK."> - floatingRateIndex FloatingRateIndexEnum (1..1) <"The reference index that is used to specify the floating interest rate."> - [metadata scheme] - indexTenor Period (0..1) <"The ISDA Designated Maturity, i.e. the floating rate tenor."> +choice FloatingRateIndex: <"An index based in interest rates or inflation rates in a certain market."> + InterestRateIndex <"An interest rate index which can change over time, e.g. the SONIA (Sterling Overnight Index Average) in the UK."> + InflationIndex <"An index that measures inflation in a specific market, e.g. the US Consumer Price Index."> + +type InterestRateIndex extends IndexBase: <"Specification of an interest rate index which can change over time, e.g. the SONIA (Sterling Overnight Index Average) in the UK."> + floatingRateIndex FloatingRateIndexEnum (1..1) <"The reference index that is used to specify the floating interest rate."> + [metadata scheme] + indexTenor Period (0..1) <"The ISDA Designated Maturity, i.e. the floating rate tenor."> condition InterestRateAssetClass: <"The asset class must be Interest Rate."> assetClass = AssetClassEnum -> InterestRate -type ForeignExchangeRate extends IndexBase: <"Specification of a rate based on the exchange of a pair of cash assets in specific currencies, e.g. USD versus GBP."> +type ForeignExchangeRateIndex extends IndexBase: <"Specification of a rate based on the exchange of a pair of cash assets in specific currencies, e.g. USD versus GBP."> quotedCurrencyPair QuotedCurrencyPair (1..1) <"Describes the composition of a rate that has been quoted or is to be quoted."> + [metadata location] primaryFxSpotRateSource InformationSource (1..1) <"Specifies the primary source from which a rate should be observed."> secondaryFxSpotRateSource InformationSource (0..1) <"Specifies an alternative, or secondary, source from which a rate should be observed."> condition FXAssetClass: <"The asset class must be Foreign Exchange."> assetClass = AssetClassEnum -> ForeignExchange -type InflationIndex extends IndexBase: <"Specification of an index that measures inflation in a specific market, e.g. the US Consumer Price Index."> - inflationRateIndex InflationRateIndexEnum (1..1) <"The reference index that is used to specify the inflation interest rate."> - [metadata scheme] +type InflationIndex extends IndexBase: <"Specification of an index that measures inflation in a specific market, e.g. the US Consumer Price Index."> + inflationRateIndex InflationRateIndexEnum (1..1) <"The reference index that is used to specify the inflation interest rate."> + [metadata scheme] + indexTenor Period (0..1) <"The ISDA Designated Maturity, i.e. the floating rate tenor."> - condition InterestRateAssetClass: <"The asset class must be Interest Rate."> + condition InterestRateAssetClass: <"The asset class must be Interest Rate."> assetClass = AssetClassEnum -> InterestRate type CreditIndex extends IndexBase: <"Specification of an index based on credit risk, typically composed using corporate debt instruments in a region or industry sector, e.g. the iTraxx indices."> @@ -71,9 +88,32 @@ type EquityIndex extends IndexBase: <"Specification of an index based on equity type OtherIndex extends IndexBase: <"Specification of a user-defined index that does not meet the criteria of other Index data types."> description string (0..1) <"A description that defines the OtherIndex."> - condition AssetClassRequired: <"The asset class must be explicitly set."> + condition AssetClassRequired: <"The asset class must be explicitly set."> assetClass exists +type PriceQuantity: <"Defines a settlement as an exchange between two parties of a specified quantity of an asset (the quantity) against a specified quantity of another asset (the price). The settlement is optional and can be either cash or physical. The quantity can additionally be specified in terms of one or more currency amounts. In the case of non-cash products, the settlement of the price/quantity would not be specified here and instead would be delegated to the product mechanics, as parameterised by the price/quantity values."> + [metadata key] + price PriceSchedule (0..*) <"Specifies a price to be used for trade amounts and other purposes."> + [metadata location] + quantity NonNegativeQuantitySchedule (0..*) <"Specifies a quantity to be associated with an event, for example a trade amount."> + [metadata location] + observable Observable (0..1) <"Specifies the object to be observed for a price, it could be an asset or an index. The cardinality is optional as some quantity / price cases have no observable (e.g. a fixed rate in a given currency)."> + [metadata location] + effectiveDate AdjustableOrRelativeDate (0..1) <"Specifies the date at which the price and quantity become effective. This day may be subject to adjustment in accordance with a business day convention, or could be specified as relative to a trade date, for instance. Optional cardinality, as the effective date is usually specified in the product definition, so it may only need to be specified as part of the PriceQuantity in an increase/decrease scenario for an existing trade."> + + condition NonCurrencyQuantities: <"There should be at most one quantity which is not a currency, except for commodities where there may be two."> + ( quantity count - quantity -> unit -> currency count ) <= 1 + or ( observable -> Asset -> Commodity exists + and quantity -> unit -> capacityUnit exists + and ( quantity count - quantity -> unit -> currency count ) <= 2 ) + + condition ArithmeticOperator: <"When observable is FloatingRateIndex, and price exists, then price should have an arithmetic operator."> + if observable -> Index -> FloatingRateIndex exists and price exists + then price -> arithmeticOperator exists + + condition InterestRateObservable: <"When the observable is an interest rate index, the price type must be interest rate and the arithmetic operator must be specified."> + InterestRateObservableCondition + type PremiumExpression: <"This class corresponds to the FpML Premium.model group for representing the option premium when expressed in a way other than an amount."> premiumType PremiumTypeEnum (0..1) <"Forward start premium type"> pricePerOption Money (0..1) <"The amount of premium to be paid expressed as a function of the number of options."> @@ -163,24 +203,14 @@ type Price extends PriceSchedule: <"Specifies a price as a single value to be as condition AmountOnlyExists: <"The amount must exist when the price represents a single value, and steps must be absent."> value exists and datedValue is absent -type Observable: <"Specifies the object to be observed for a price, it could be an asset or a reference."> - //**ART** Wil make this a choice in P3; currently not supported with annotation - - asset Asset (0..1) <"The object to be observed is an Asset, ie something that can be owned and transferred in the financial markets."> - basket Basket (0..1) <"The object to be observed is a Basket, ie a collection of Observables with an identifier and optional weightings."> - index Index (0..1) <"The object to be observed is an Index, ie an observable computed on the prices, rates or valuations of a number of assets."> - - //**ART** Will remove ProductIdentifier and map to Asset in Phase 3 - productIdentifier ProductIdentifier (0..*) <"Comprises an identifier and a source of a Product."> - [metadata location] - //**ART** Will remove rateOption and map to Index in Phase 3 - rateOption FloatingRateOption (0..1) <"Specifies a floating rate index and tenor."> - [metadata location] - - condition: one-of +choice Observable: <"Specifies the object to be observed for a price, it could be an asset or a reference."> + Asset <"The object to be observed is an Asset, ie something that can be owned and transferred in the financial markets."> + Basket <"The object to be observed is a Basket, ie a collection of Observables with an identifier and optional weightings."> + Index <"The object to be observed is an Index, ie an observable computed on the prices, rates or valuations of a number of assets."> type Basket extends AssetBase: <"Defines a custom basket by referencing an identifier and its constituents."> basketConstituent BasketConstituent (1..*) <"Identifies the constituents of the basket"> + [metadata location] type BasketConstituent extends Observable: <"Identifies the constituents of the basket"> quantity NonNegativeQuantitySchedule (0..*) <"Specifies a quantity schedule to be associated to an individual underlier that is a basket constituent. The multiple cardinality is aligned to the one of the PriceQuantity->quantity that this quantity is referencing."> @@ -190,7 +220,10 @@ type BasketConstituent extends Observable: <"Identifies the constituents of the interimValuationPrice PriceSchedule (0..*) <"Specifies an interim price schedule to be associated to an individual underlier that is a basket constituent. The multiple cardinality is aligned to the one of the PriceQuantity->price that this price is referencing."> [metadata address "pointsTo"=PriceQuantity->price] finalValuationPrice PriceSchedule (0..*) <"Specifies a final price schedule to be associated to an individual underlier that is a basket constituent. The multiple cardinality is aligned to the one of the PriceQuantity->price that this price is referencing."> - [metadata address "pointsTo"=PriceQuantity->price] + [metadata address "pointsTo"=PriceQuantity->price] + + condition BasketsOfBaskets: <"To prevent endless looping, baskets of baskets are not supported."> + Basket is absent type InformationSource: <"A class defining the source for a piece of information (e.g. a rate fix or an FX fixing). The attribute names have been adjusted from FpML to address the fact that the information is not limited to rates."> @@ -207,12 +240,6 @@ type Money extends Quantity: <"Defines a monetary amount in a specified currency condition CurrencyUnitExists: unit -> currency exists -type FxRateObservable: <"Defines foreign exchange (FX) asset class specific parameters for market observations."> - [deprecated] - quotedCurrencyPair QuotedCurrencyPair (1..1) <"Describes the composition of a rate that has been quoted or is to be quoted."> - primaryFxSpotRateSource InformationSource (1..1) <"Specifies the primary source from which a rate should be observed."> - secondaryFxSpotRateSource InformationSource (0..1) <"Specifies an alternative, or secondary, source from which a rate should be observed."> - type QuotedCurrencyPair: <"A class that describes the composition of a rate that has been quoted or is to be quoted. This includes the two currencies and the quotation relationship between the two currencies and is used as a building block throughout the FX specification."> currency1 string (1..1) <"The first currency specified when a pair of currencies is to be evaluated."> @@ -222,7 +249,7 @@ type QuotedCurrencyPair: <"A class that describes the composition of a rate that quoteBasis QuoteBasisEnum (1..1) <"The method by which the exchange rate is quoted."> type Curve: - + [deprecated] interestRateCurve InterestRateCurve (0..1) commodityCurve CommodityReferencePriceEnum (0..1) [metadata scheme] @@ -231,7 +258,7 @@ type Curve: one-of type InterestRateCurve: - + [deprecated] floatingRateIndex FloatingRateIndexEnum (1..1) [metadata scheme] tenor Period (1..1) @@ -305,21 +332,6 @@ type ValuationPostponement: <"Specifies how long to wait to get a quote from a s maximumDaysOfPostponement int (1..1) <"The maximum number of days to wait for a quote from the disrupted settlement rate option before proceeding to the next method."> -type FloatingRateOption: <"Specification of a floating rate option as a floating rate index and tenor."> - floatingRateIndex FloatingRateIndexEnum (0..1) <"The reference index that is used to specify the floating interest rate. The FpML standard maintains the list of such indices, which are positioned as enumeration values as part of the CDM."> - [metadata scheme] - inflationRateIndex InflationRateIndexEnum (0..1) <"The reference index that is used to specify the inflation interest rate. The FpML standard maintains the list of such indices, which are positioned as enumeration values as part of the CDM."> - [metadata scheme] - indexTenor Period (0..1) <"The ISDA Designated Maturity, i.e. the floating rate tenor."> - indexReferenceInformation IndexReferenceInformation (0..1) <"This Attribute contains all the terms relevant to defining an Index."> - - condition FloatingRateIndex: <"floating rate and inflation rate index are mutually exclusive"> - optional choice floatingRateIndex, inflationRateIndex - - condition IndexRefInfo: <"If both floating rate and inflation rate index are absent, then indexReferenceInformation is required"> - if floatingRateIndex is absent and inflationRateIndex is absent - then indexReferenceInformation exists - type FxRate: <"A class describing the rate of a currency conversion: pair of currency, quotation mode and exchange rate."> quotedCurrencyPair QuotedCurrencyPair (1..1) <"Defines the two currencies for an FX trade and the quotation relationship between the two currencies."> @@ -433,6 +445,7 @@ type SingleValuationDate: <"A class to specify the number of business days after type ValuationSource: <"A class describing the method for obtaining a settlement rate, specified through either an information source (page), a settlement rate option (fixing) or by using quotes from reference banks."> quotedCurrencyPair QuotedCurrencyPair (0..1) <"Defines the two currencies for an FX trade and the quotation relationship between the two currencies. This attribute was formerly part of 'fxSettlementTerms', which is now being harmonised into a common 'CashSettlementTerms' that includes a 'ValuationDate'."> + [metadata address "pointsTo"=Observable->Index->ForeignExchangeRateIndex->quotedCurrencyPair] informationSource FxSpotRateSource (0..1) <"The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750."> settlementRateOption SettlementRateOption (0..1) <"The rate option to use for the fixing. Currently only applicable to foreign exchange fixing in case of cross-currency settlement."> referenceBanks ReferenceBanks (0..1) <"A container for a set of reference institutions that may be called upon to provide rate quotations as part of the method to determine the applicable cash settlement amount. If institutions are not specified, it is assumed that reference institutions will be agreed between the parties on the exercise date, or in the case of swap transaction to which mandatory early termination is applicable, the cash settlement valuation date."> @@ -476,4 +489,3 @@ type DividendApplicability: <"The parameters which define whether dividends are optionsExchangeDividends boolean (0..1) <"If present and true, then options exchange dividends are applicable."> additionalDividends boolean (0..1) <"If present and true, then additional dividends are applicable."> allDividends boolean (0..1) <"Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed Share Price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non cash dividend per Share (including Extraordinary Dividends) declared by the Issuer. All Dividends in accordance with the ISDA 2002 Equity Derivatives Definitions."> - \ No newline at end of file diff --git a/rosetta-source/src/main/rosetta/observable-event-func.rosetta b/rosetta-source/src/main/rosetta/observable-event-func.rosetta index 7c782b57e8..0f4de14946 100644 --- a/rosetta-source/src/main/rosetta/observable-event-func.rosetta +++ b/rosetta-source/src/main/rosetta/observable-event-func.rosetta @@ -14,7 +14,7 @@ func Create_AssetPayoutTradeStateWithObservations: <"Attaches a set of Observati tradeState TradeState (1..1) alias assetPayout: - billingInstruction -> tradeState -> trade -> tradableProduct -> product -> contractualProduct -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only-element + billingInstruction -> tradeState -> trade -> product -> economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout only-element alias date: billingInstruction -> recordEndDate diff --git a/rosetta-source/src/main/rosetta/product-asset-calculation-func.rosetta b/rosetta-source/src/main/rosetta/product-asset-calculation-func.rosetta index 608409e61a..ae87d89aa4 100644 --- a/rosetta-source/src/main/rosetta/product-asset-calculation-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-asset-calculation-func.rosetta @@ -54,7 +54,7 @@ func GetFixedRate: <"Look up the fixed rate for a calculation period."> set fixedRate: GetRateScheduleAmount( - interestRatePayout -> rateSpecification -> fixedRate -> rateSchedule, + interestRatePayout -> rateSpecification -> FixedRateSpecification -> rateSchedule, calculationPeriod -> adjustedStartDate ) diff --git a/rosetta-source/src/main/rosetta/product-asset-floatingrate-func.rosetta b/rosetta-source/src/main/rosetta/product-asset-floatingrate-func.rosetta index 15351f3ea5..53461213f6 100644 --- a/rosetta-source/src/main/rosetta/product-asset-floatingrate-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-asset-floatingrate-func.rosetta @@ -22,7 +22,7 @@ func DetermineFloatingRateReset: <"Get the value of a floating rate by either ob floatingRate FloatingRateSettingDetails (1..1) <"Details of the rate observation/calculation corresonding to the supplied rate definition and calculation period."> // figure out the characteristics of the rate - alias rateDef: interestRatePayout -> rateSpecification -> floatingRate + alias rateDef: interestRatePayout -> rateSpecification -> FloatingRateSpecification alias processingType: GetFloatingRateProcessingType(rateDef) // get a processing category that will be used to dermine how to process the rate, based on the rate category, style, and calculation method // perform the relevant operation (look up a term rate or do the rate calculation for a calculated rate) set floatingRate: @@ -38,7 +38,9 @@ func GetFloatingRateProcessingType: <"Get a classification of the floating rate alias isCalculatedRate: rateDef -> calculationParameters exists // look up the floating rate option definition from the metadata alias floatingRateDefinition: - FloatingRateIndexMetadata(rateDef -> rateOption -> floatingRateIndex) + FloatingRateIndexMetadata( + rateDef -> rateOption -> InterestRateIndex -> floatingRateIndex + ) alias calcDefaults: floatingRateDefinition -> calculationDefaults alias category: calcDefaults -> category alias idxStyle: calcDefaults -> indexStyle @@ -80,13 +82,13 @@ func ProcessFloatingRateReset(processingType: FloatingRateIndexProcessingTypeEnu [calculation] // set up convenience aliases alias resetDates: interestRatePayout -> resetDates - alias rateDef: interestRatePayout -> rateSpecification -> floatingRate + alias rateDef: interestRatePayout -> rateSpecification -> FloatingRateSpecification set floatingRate: EvaluateScreenRate(rateDef, resetDates, calcPeriod) // Call the screen rate evaluation logic func ProcessFloatingRateReset(processingType: FloatingRateIndexProcessingTypeEnum -> Modular): <"Evaluate the rate for a modular calculated rate. Call the calculated rate calculation logic to determine the value of the reset."> [calculation] // set up convenience aliases - alias rateDef: interestRatePayout -> rateSpecification -> floatingRate + alias rateDef: interestRatePayout -> rateSpecification -> FloatingRateSpecification alias resetDates: interestRatePayout -> resetDates alias dayCount: interestRatePayout -> dayCountFraction alias fro: rateDef -> rateOption @@ -115,7 +117,7 @@ func ProcessFloatingRateReset(processingType: FloatingRateIndexProcessingTypeEnu func ProcessFloatingRateReset(processingType: FloatingRateIndexProcessingTypeEnum -> OIS): <"Evaluate the rate for an OIS calculated rate. Call the calculated rate calculation logic to determine the value of the reset. See the 2021 ISDA Definitions Section 6.6.3."> [calculation] // set up convenience aliases - alias rateDef: interestRatePayout -> rateSpecification -> floatingRate + alias rateDef: interestRatePayout -> rateSpecification -> FloatingRateSpecification alias resetDates: interestRatePayout -> resetDates alias dayCount: interestRatePayout -> dayCountFraction alias fro: rateDef -> rateOption @@ -140,7 +142,7 @@ func ProcessFloatingRateReset(processingType: FloatingRateIndexProcessingTypeEnu func ProcessFloatingRateReset(processingType: FloatingRateIndexProcessingTypeEnum -> OvernightAvg): <"Evaluate the rate for a daily average calculated FRO. Call the calculated rate calculation logic to determine the value of the reset. See the 2021 ISDA Definitions Section 6.6.3."> [calculation] // set up convenience aliases - alias rateDef: interestRatePayout -> rateSpecification -> floatingRate + alias rateDef: interestRatePayout -> rateSpecification -> FloatingRateSpecification alias resetDates: interestRatePayout -> resetDates alias dayCount: interestRatePayout -> dayCountFraction alias rateOption: rateDef -> rateOption @@ -254,14 +256,14 @@ func GetFloatingRateProcessingParameters: <"Determine the processing parameters alias floor: FloorRateAmount(interestRatePayout, calculationPeriod) alias rounding: - interestRatePayout -> rateSpecification -> floatingRate -> finalRateRounding + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> finalRateRounding alias negativeTreatment: - interestRatePayout -> rateSpecification -> floatingRate -> negativeInterestRateTreatment + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> negativeInterestRateTreatment alias treatment: - interestRatePayout -> rateSpecification -> floatingRate -> rateTreatment + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> rateTreatment set processingParameters -> initialRate: - interestRatePayout -> rateSpecification -> floatingRate -> initialRate + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> initialRate set processingParameters -> spread: spreadRate set processingParameters -> multiplier: multiplier set processingParameters -> treatment: treatment @@ -280,7 +282,7 @@ func SpreadAmount: <"Look up the spread amount for a calculation period."> set spread: GetRateScheduleAmount( - interestRatePayout -> rateSpecification -> floatingRate -> spreadSchedule, + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> spreadSchedule, calculationPeriod -> adjustedStartDate ) @@ -294,7 +296,7 @@ func MultiplierAmount: <"Look up the multiplier amount for a calculation period. set multiplier: GetRateScheduleAmount( - interestRatePayout -> rateSpecification -> floatingRate -> floatingRateMultiplierSchedule, + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> floatingRateMultiplierSchedule, calculationPeriod -> adjustedStartDate ) @@ -308,7 +310,7 @@ func CapRateAmount: <"Look up the cap rate amount for a calculation period."> set capRate: <"Look up and return the rate for the period start date."> GetRateScheduleAmount( - interestRatePayout -> rateSpecification -> floatingRate -> capRateSchedule, + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> capRateSchedule, calculationPeriod -> adjustedStartDate ) @@ -322,7 +324,7 @@ func FloorRateAmount: <"Look up the floor rate amount for a calculation period." set floorRate: <"Look up and return the rate for the period start date."> GetRateScheduleAmount( - interestRatePayout -> rateSpecification -> floatingRate -> floorRateSchedule, + interestRatePayout -> rateSpecification -> FloatingRateSpecification -> floorRateSchedule, calculationPeriod -> adjustedStartDate ) diff --git a/rosetta-source/src/main/rosetta/product-asset-func.rosetta b/rosetta-source/src/main/rosetta/product-asset-func.rosetta index 8ca31186a8..ebfc25a2e1 100644 --- a/rosetta-source/src/main/rosetta/product-asset-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-asset-func.rosetta @@ -119,5 +119,5 @@ func ExtractFixedLeg: <"Extract interest rate payout containing fix rate specifi set fixedRatePayout: interestRatePayouts - filter rateSpecification -> fixedRate exists + filter rateSpecification -> FixedRateSpecification exists then only-element diff --git a/rosetta-source/src/main/rosetta/product-asset-type.rosetta b/rosetta-source/src/main/rosetta/product-asset-type.rosetta index 7a919974b5..80d3c10fad 100644 --- a/rosetta-source/src/main/rosetta/product-asset-type.rosetta +++ b/rosetta-source/src/main/rosetta/product-asset-type.rosetta @@ -18,7 +18,6 @@ import cdm.product.template.* import cdm.product.common.settlement.* import cdm.product.common.schedule.* import cdm.observable.asset.calculatedrate.* -import cdm.mapping.config.* type CommodityPayout extends PayoutBase: <"Payout based on the averaged price of a referenced underlier. (e.g. Commodities). Can represent both average (average of many) & bullet (average of 1) pricing"> [metadata key] @@ -28,7 +27,8 @@ type CommodityPayout extends PayoutBase: <"Payout based on the averaged price of schedule CalculationSchedule (0..1) <"Allows the full representation of a payout by defining a set of schedule periods. It supports standard schedule customization by expressing all the dates, quantities, and pricing data in a non-parametric way."> calculationPeriodDates CalculationPeriodDates (0..1) <"Defines the calculation period dates schedule."> paymentDates PaymentDates (1..1) <"Defines the payment date schedule, as defined by the parameters that are needed to specify it, either in a parametric way or by reference to another schedule of dates (e.g. the valuation dates)."> - underlier Product (1..1) <"Identifies the underlying product that is referenced for pricing of the applicable leg in a swap. Referenced in the '2018 ISDA CDM Equity Confirmation for Security Equity Swap' as Security."> + underlier Commodity (1..1) <"Identifies the underlying product that is referenced for pricing of the applicable leg in a swap. Referenced in the '2018 ISDA CDM Equity Confirmation for Security Equity Swap' as Security."> + [metadata address "pointsTo"=PriceQuantity->observable->Asset->Commodity] fxFeature FxFeature (0..1) <"Defines quanto or composite FX features that are included in the swap leg."> delivery AssetDeliveryInformation (0..1) <"Contains the information relative to the delivery of the asset."> @@ -109,7 +109,7 @@ type CreditDefaultPayout extends PayoutBase: <" The credit default payout specif type GeneralTerms: <" A class specifying a set of non-monetary terms for the Credit Derivative Transaction, including the buyer and seller and selected items from the ISDA 2014 Credit Definition article II, such as the reference obligation and related terms. The CDM GeneralTerms class corresponds to the FpML GeneralTerms complex type, except that the effectiveDate and scheduledTerminationDate have been positioned as part of the InterestRatePayout class in the CDM instead of in GeneralTerms."> referenceInformation ReferenceInformation (0..1) <"This attribute contains all the terms relevant to defining the reference entity and reference obligation(s)."> - indexReferenceInformation CreditIndexReferenceInformation (0..1) <"This attribute contains all the terms relevant to the underlying Index."> + indexReferenceInformation CreditIndex (0..1) <"This attribute contains all the terms relevant to the underlying Index."> basketReferenceInformation BasketReferenceInformation (0..1) <"This attribute contains all the terms relevant to defining the Credit Default Swap Basket."> additionalTerm string (0..*) <"This attribute is used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm."> [metadata scheme] @@ -159,7 +159,7 @@ type InterestRatePayout extends PayoutBase: <" A class to specify all of the ter optional choice paymentDates, paymentDate condition FutureValueNotional: <"The BRL CDI future value notional only applies to a fixed Rate Schedule."> - if rateSpecification -> fixedRate is absent + if rateSpecification -> FixedRateSpecification is absent then priceQuantity -> futureValueNotional is absent condition TerminationDate: <"FpML states that the value date associated with the future value notional should match the adjusted termination date."> @@ -213,26 +213,25 @@ type InterestRatePayout extends PayoutBase: <" A class to specify all of the ter condition FpML_ird_29: <"FpML validation rule ird-29 - If compoundingMethod exists, then fixedRateSchedule must not exist."> if compoundingMethod exists - then rateSpecification -> fixedRate is absent + then rateSpecification -> FixedRateSpecification is absent condition CalculationPeriodDatesFirstCompoundingPeriodEndDate: <"FpML specifies that the firstCompoundingPeriodEndDate must only be specified when the compounding method is specified and not equal to a value of None."> if compoundingMethod is absent or compoundingMethod = CompoundingMethodEnum -> None then calculationPeriodDates -> firstCompoundingPeriodEndDate is absent -type RateSpecification: <" A class to specify the fixed interest rate, floating interest rate or inflation rate."> +choice RateSpecification: <" A data type to specify the fixed interest rate, floating interest rate or inflation rate."> - fixedRate FixedRateSpecification (0..1) <"The fixed rate or fixed rate specification expressed as explicit fixed rates and dates."> - floatingRate FloatingRateSpecification (0..1) <"The floating interest rate specification, which includes the definition of the floating rate index. the tenor, the initial value, and, when applicable, the spread, the rounding convention, the averaging method and the negative interest rate treatment."> - inflationRate InflationRateSpecification (0..1) <"An inflation rate calculation definition."> - condition: - one-of + FixedRateSpecification <"The fixed rate or fixed rate specification expressed as explicit fixed rates and dates."> + FloatingRateSpecification <"The floating interest rate specification, which includes the definition of the floating rate index. the tenor, the initial value, and, when applicable, the spread, the rounding convention, the averaging method and the negative interest rate treatment."> + InflationRateSpecification <"An inflation rate calculation definition."> type DividendPayoutRatio: <"A class describing the dividend payout ratio associated with an equity underlier. In certain cases the actual ratio is not known on trade inception, and only general conditions are then specified."> totalRatio number (1..1) <"Specifies the total actual dividend payout ratio associated with the equity underlier. A ratio of 90% should be expressed at 0.90."> cashRatio number (0..1) <"Specifies the cash actual dividend payout ratio associated with the equity underlier. A ratio of 90% should be expressed at 0.90."> nonCashRatio number (0..1) <"Specifies the non cash actual dividend payout ratio associated with the equity underlier. A ratio of 90% should be expressed at 0.90."> - basketConstituent Observable (0..1) <"In the case of a basket underlier, specifies to which component of the basket this particular set of dividend payout ratios correspond."> + basketConstituent BasketConstituent (0..1) <"In the case of a basket underlier, specifies to which component of the basket this particular set of dividend payout ratios correspond."> + [metadata address "pointsTo"=PriceQuantity->observable->Basket->basketConstituent] condition DividendPayoutRatioTotal: <"The dividend payout ratio should be comprised between 0 and 100%, meaning 0 and 1."> totalRatio >= 0 and totalRatio <= 1 @@ -285,30 +284,6 @@ type FloatingAmountProvisions: wacCapInterestProvision boolean (0..1) <"As specified by the ISDA Supplement for use with trades on mortgage-backed securities, 'WAC Cap' means a weighted average coupon or weighted average rate cap provision (however defined in the Underlying Instruments) of the Underlying Instruments that limits, increases or decreases the interest rate or interest entitlement, as set out in the Underlying Instruments on the Effective Date without regard to any subsequent amendment The presence of the element with value set to 'true' signifies that the provision is applicable. From a usage standpoint, this provision is typically applicable in the case of CMBS and not applicable in case of RMBS trades."> stepUpProvision boolean (0..1) <"As specified by the ISDA Standard Terms Supplement for use with trades on mortgage-backed securities. The presence of the element with value set to 'true' signifies that the provision is applicable. If applicable, the applicable step-up terms are specified as part of that ISDA Standard Terms Supplement. From a usage standpoint, this provision is typically applicable in the case of RMBS and not applicable in case of CMBS trades."> -type CreditIndexReferenceInformation extends IndexReferenceInformation: <"A class defining a Credit Default Swap Index."> - [deprecated] // to be replaced by CreditIndex - [metadata key] - indexSeries int (0..1) <"A CDS index series identifier, e.g. 1, 2, 3 etc."> - indexAnnexVersion int (0..1) <"A CDS index series version identifier, e.g. 1, 2, 3 etc."> - indexAnnexDate date (0..1) <"A CDS index series annex date."> - indexAnnexSource IndexAnnexSourceEnum (0..1) <"A CDS index series annex source."> - [metadata scheme] - excludedReferenceEntity ReferenceInformation (0..*) <"Excluded reference entity."> - tranche Tranche (0..1) <"This element contains CDS tranche terms."> - settledEntityMatrix SettledEntityMatrix (0..1) <"Used to specify the Relevant Settled Entity Matrix when there are settled entities at the time of the trade."> - indexFactor number (0..1) <"Index Factor is the index version factor or percent, expressed as an absolute decimal value between 0 and 1, that multiplied by the original notional amount yields the notional amount covered by the seller of protection."> - seniority CreditSeniorityEnum (0..1) <"Seniority of debt instruments comprising the index."> - - condition IndexSeries: <"FpML specifies the type associated to indexSeries as a positive integer."> - if indexSeries exists then indexSeries >= 0 - - condition IndexAnnexVersion: <"FpML specifies the type associated to indexVersion as a positive integer."> - if indexAnnexVersion exists then indexAnnexVersion >= 0 - - condition IndexFactor: <"Index factor is expressed as a decimal and should be a positive number between o and 1."> - if indexFactor exists - then indexFactor >= 0 and indexFactor <= 1 - type InterestShortFall: <"A class to specify the interest shortfall floating rate payment event."> interestShortfallCap InterestShortfallCapEnum (1..1) <"Specifies the nature of the interest Shortfall cap (i.e. Fixed Cap or Variable Cap) in the case where it is applicable. ISDA 2003 Term: Interest Shortfall Cap."> @@ -350,6 +325,10 @@ type ReferenceObligation: <"A class to specify the reference obligation that is condition AssetChoice: <"Represents the choice in a CDS contract."> required choice security, loan + condition MustBeDebtSecurity: <"Only debt securities can be used as the reference obligation for a credit derivative."> + if security exists + then security -> securityType = SecurityTypeEnum -> Debt + condition LegalEntityChoice: <"Represents the choice in a CDS contract.."> optional choice primaryObligor, primaryObligorReference @@ -470,7 +449,8 @@ type DividendPeriod: <"Time bounded dividend payment periods, each with a divide startDate DividendPaymentDate (0..1) <"Dividend period start date."> endDate DividendPaymentDate (0..1) <"Dividend period end date."> dateAdjustments BusinessDayAdjustments (1..1) <"Date adjustments for all unadjusted dates in this dividend period."> - basketConstituent Observable (0..1) <"For basket undeliers, reference to the basket component which is paying dividends in the specified period."> + basketConstituent BasketConstituent (0..1) <"For basket underliers, reference to the basket component which is paying dividends in the specified period."> + [metadata address "pointsTo"=PriceQuantity->observable->Basket->basketConstituent] dividendPaymentDate DividendPaymentDate (1..1) <"Specifies when the dividend will be paid to the receiver of the equity return. Has the meaning as defined in the ISDA 2002 Equity Derivatives Definitions. Is not applicable in the case of a dividend reinvestment election."> dividendValuationDate AdjustableOrRelativeDate (0..1) <"Specifies the dividend valuation dates of the swap."> @@ -511,6 +491,7 @@ type VarianceReturnTerms extends ReturnTermsBase: vegaNotionalAmount NonNegativeQuantitySchedule (0..1) <"Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade."> // vegaNotionalAmount is only present here in varianceReturnTerms because it is an optional complement to the varianceAmount expressed in payoutQuantity.quantitySchedule.initialQuantity.amount. In volatilityReturnTerms this element does not exist because the vegaNotionalAmount is compulsory and should therefore be expressed in payoutQuantity.quantitySchedule.initialQuantity.amount. in the corresponding units. exchangeTradedContractNearest Observable (0..1) <"Specification of the exchange traded contract nearest."> + [metadata address "pointsTo"=PriceQuantity->observable] condition Positive_VegaNotionalAmount: <"When the optional vegaNotionalAmount is present in the varianceReturnTerms, it needs to have a positive value."> if vegaNotionalAmount -> value exists @@ -518,7 +499,7 @@ type VarianceReturnTerms extends ReturnTermsBase: condition UnderlierMustBeListedDerivative: <"If an exchange traded contract nearest is specified, it must have a listed derivative as underlier."> if exchangeTradedContractNearest exists - then exchangeTradedContractNearest -> asset -> Instrument -> ListedDerivative exists + then exchangeTradedContractNearest -> Asset -> Instrument -> ListedDerivative exists condition ReferenceContract: <"If futurePriceValuation is true, an exchange traded contract is used as a reference, therefore such contract must be specified in exchangeTradedContractNearest"> if valuationTerms -> futuresPriceValuation = True @@ -536,12 +517,7 @@ type VolatilityReturnTerms extends ReturnTermsBase: volatilityStrikePrice Price (1..1) <"Volatility Strike Price in accordance with the ISDA 2011 Equity Derivatives Definitions."> volatilityCapFloor VolatilityCapFloor (0..1) <"Contains volatility-based barriers"> - // vegaNotionalAmount NonNegativeQuantitySchedule (0..1) <"Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised vol) and KVol (strike vol). It does not necessarily represent the Vega Risk of the trade."> - exchangeTradedContractNearest Observable (0..1) <"Specification of the exchange traded contract nearest."> - - condition UnderlierMustBeSecurity: <"If an exchange traded contract nearest is specified, it must have a security as underlier."> - if exchangeTradedContractNearest exists - then exchangeTradedContractNearest -> productIdentifier exists + exchangeTradedContractNearest ListedDerivative (0..1) <"Specification of the exchange traded contract nearest."> type CorrelationReturnTerms extends ReturnTermsBase: @@ -634,11 +610,14 @@ type ForeignExchange: <"From FpML: A type defining either a spot or forward FX t type BondReference: <"Reference to a bond underlier to represent an asset swap or Condition Precedent Bond."> - bond AssetIdentifier (1..1) <"Reference to a bond underlier."> + bond Security (1..1) <"Reference to a bond underlier."> conditionPrecedentBond boolean (1..1) <"To indicate whether the Condition Precedent Bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used."> discrepancyClause boolean (0..1) <"To indicate whether the Discrepancy Clause is applicable."> couponRate FixedRateSpecification (0..1) <"Specifies the coupon rate (expressed in percentage) of a fixed income security or convertible bond."> + condition BondUnderlier: <"The underlier should be a bond."> + bond -> securityType = SecurityTypeEnum -> Debt + type CashflowRepresentation: <"A data defining: the cashflow representation of a swap trade."> cashflowsMatchParameters boolean (1..1) <"A true/false flag to indicate whether the cashflows match the parametric definition of the stream, i.e. whether the cashflows could be regenerated from the parameters without loss of information."> @@ -669,7 +648,6 @@ type FloatingRateDefinition: <"A data defining: parameters associated with a fl then floatingRateMultiplier <> 1 type InflationRateSpecification extends FloatingRateSpecification: <"A data to: specify the inflation rate."> - [synonym ISO20022 value "InfltnIndx"] inflationLag Offset (1..1) <"An off-setting period from the payment date which determines the reference period for which the inflation index is observed."> indexSource string (1..1) <"The reference source such as Reuters or Bloomberg. FpML specifies indexSource to be of type rateSourcePageScheme, but without specifying actual values."> @@ -684,11 +662,14 @@ type InflationRateSpecification extends FloatingRateSpecification: <"A data to: calculationStyle InflationCalculationStyleEnum (0..1) <"Indicates the style of how the inflation index calculates the payment (e.g. YearOnYear, ZeroCoupon)."> finalPrincipalExchangeCalculation FinalPrincipalExchangeCalculationEnum (0..1) <"To be specified only for products that embed a redemption payment."> + condition FloatingRateIndex: + rateOption -> InflationIndex exists + type FloatingRateBase: <"A class defining a floating interest rate through the specification of the floating rate index, the tenor, the multiplier schedule, the spread, the qualification of whether a specific rate treatment and/or a cap or floor apply."> [metadata key] - rateOption FloatingRateOption (0..1) - [metadata address "pointsTo"=Observable->rateOption] + rateOption FloatingRateIndex (0..1) + [metadata address "pointsTo"=Observable->Index->FloatingRateIndex] spreadSchedule SpreadSchedule (0..1) <"The ISDA Spread or a Spread schedule expressed as explicit spreads and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The spread is a per annum rate, expressed as a decimal. For purposes of determining a calculation period amount, if positive the spread will be added to the floating rate and if negative the spread will be subtracted from the floating rate. A positive 10 basis point (0.1%) spread would be represented as 0.001."> capRateSchedule StrikeSchedule (0..1) <"The cap rate or cap rate schedule, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. A cap rate schedule is expressed as explicit cap rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05."> floorRateSchedule StrikeSchedule (0..1) <"The floor rate or floor rate schedule, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. A floor rate schedule is expressed as explicit floor rates and dates and the step dates may be subject to adjustment in accordance with any adjustments specified in calculationPeriodDatesAdjustments. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05."> @@ -751,4 +732,3 @@ type FixedAmountCalculationDetails: <"Type for reporting the detailed results of fixedRate number (1..1) <"The value of the fixed rate that was used."> yearFraction number (1..1) <"The fraction of a year that this calculation represents, according to the day count fraction method."> calculatedAmount number (1..1) <"The amount of the cash flow that was computed, including any spreads and other processing."> - \ No newline at end of file diff --git a/rosetta-source/src/main/rosetta/product-collateral-func.rosetta b/rosetta-source/src/main/rosetta/product-collateral-func.rosetta index ffbb931406..affeb87995 100644 --- a/rosetta-source/src/main/rosetta/product-collateral-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-collateral-func.rosetta @@ -26,7 +26,7 @@ func MergeEligibleCollateralCriteria: <"Java implementation merges criteria1 and func CheckEligibilityForProduct: inputs: specifications EligibleCollateralSpecification (1..*) <"Specifications that determine which collateral meets the eligibility and can be used/posted for delivery. For ICMA usecase - this is the basket(s). For ISDA usecase these are the Elegibility Schedule Lists."> - product Product (0..1) + product TransferableProduct (0..1) output: eligibilityResult CheckEligibilityResult (0..1) diff --git a/rosetta-source/src/main/rosetta/product-collateral-type.rosetta b/rosetta-source/src/main/rosetta/product-collateral-type.rosetta index 37b9f7cdc9..7e6d06b574 100644 --- a/rosetta-source/src/main/rosetta/product-collateral-type.rosetta +++ b/rosetta-source/src/main/rosetta/product-collateral-type.rosetta @@ -181,13 +181,13 @@ type AssetCriteria: <"Represents a set of criteria used to specify eligible coll agencyRating AgencyRatingCriteria (0..*) <"Represents an agency rating based on default risk and creditors claim in event of default associated with specific instrument."> maturityType MaturityTypeEnum (0..1) <"Specifies whether the maturity range is the remaining or original maturity."> maturityRange PeriodRange (0..1) <"Represents a filter based on the underlying asset maturity."> - productIdentifier ProductIdentifier (0..*) <"Represents a filter based on specific instrument identifiers (e.g. specific ISINs, CUSIPs etc)."> + assetIdentifier AssetIdentifier (0..*) <"Represents a filter based on specific instrument identifiers (e.g. specific ISINs, CUSIPs etc)."> collateralTaxonomy CollateralTaxonomy (0..*) <"Specifies the collateral taxonomy,which is composed of a taxonomy value and a taxonomy source."> domesticCurrencyIssued boolean (0..1) <"Identifies that the Security must be denominated in the domestic currency of the issuer."> listing ListingType (0..1) <"Specifies the exchange, index or sector specific to listing of a security."> - condition AssetCriteriaChoice: <"If any are specified, only one of AssetType, ProductTaxonomy or ProductIdentifer should exist."> - optional choice collateralAssetType, collateralTaxonomy, productIdentifier + condition AssetCriteriaChoice: <"If any are specified, only one of AssetType, CollateralTaxonomy or Asset should exist."> + optional choice collateralAssetType, collateralTaxonomy, assetIdentifier type ListingType: <"Specifies a filter based on an underlying corporate financial official listing defined at a stock exchange."> exchange string (0..1) <"Represents a filter based on the Primary Stock Exchange facilitating the listing of companies, exchange of Stocks, Exchange traded Derivatives, Bonds, and other Securities expressed in ISO standard 10383."> diff --git a/rosetta-source/src/main/rosetta/product-common-schedule-type.rosetta b/rosetta-source/src/main/rosetta/product-common-schedule-type.rosetta index 08b5883b9a..5f4903580a 100644 --- a/rosetta-source/src/main/rosetta/product-common-schedule-type.rosetta +++ b/rosetta-source/src/main/rosetta/product-common-schedule-type.rosetta @@ -9,7 +9,6 @@ import cdm.observable.event.* import cdm.observable.common.* import cdm.product.asset.* -import cdm.product.common.settlement.* type CalculationPeriodData: startDate date (1..1) @@ -180,7 +179,6 @@ type ObservationTerms: <"Class containing terms that are associated with observi informationSource FxSpotRateSource (0..1) <"The information source where a published or displayed market rate will be obtained, e.g. Telerate Page 3750."> precision Rounding (0..1) <"Defines rounding rules and precision to be used in the rounding of observations."> calculationPeriodDates CalculationPeriodDates (0..1) <"Defines parameters used to generate the calculation period dates schedule, including the specification of any initial or final stub calculation periods. A calculation period schedule consists of an optional initial stub calculation period, one or more regular calculation periods and an optional final stub calculation period. In the absence of any initial or final stub calculation periods, the regular part of the calculation period schedule is assumed to be between the effective date and the termination date. No implicit stubs are allowed, i.e. stubs must be explicitly specified using an appropriate combination of firstPeriodStartDate, firstRegularPeriodStartDate and lastRegularPeriodEndDate."> - observable Observable (0..1) <"Specifies the object to be observed for a price, it could be an asset or a reference."> observationDates ObservationDates (1..1) <"Describes date details for a set of observation dates in parametric or non-parametric form."> numberOfObservationDates int (0..1) <"The number of observation dates between observation start date and observation end date."> diff --git a/rosetta-source/src/main/rosetta/product-common-settlement-func.rosetta b/rosetta-source/src/main/rosetta/product-common-settlement-func.rosetta index 4a4ff50524..1b47f54560 100644 --- a/rosetta-source/src/main/rosetta/product-common-settlement-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-common-settlement-func.rosetta @@ -19,16 +19,3 @@ func UpdateAmountForEachMatchingQuantity: <"Updates any quantity from the list o direction QuantityChangeDirectionEnum (1..1) output: updatedPriceQuantity PriceQuantity (1..*) <"List of price quantities with quantity amounts updated."> - -func RateOptionObservableCondition: <"Implementation for PriceQuantity.RateOptionObservable condition."> - inputs: - pq PriceQuantity (1..1) - output: - valid boolean (0..1) - - set valid: - if pq -> observable -> rateOption exists and pq -> price exists - then pq -> price - extract [ - priceType = PriceTypeEnum -> InterestRate and arithmeticOperator exists - ] all = True diff --git a/rosetta-source/src/main/rosetta/product-common-settlement-type.rosetta b/rosetta-source/src/main/rosetta/product-common-settlement-type.rosetta index 8f5aa7bf4e..22d2ef503f 100644 --- a/rosetta-source/src/main/rosetta/product-common-settlement-type.rosetta +++ b/rosetta-source/src/main/rosetta/product-common-settlement-type.rosetta @@ -300,26 +300,6 @@ type SettlementTerms extends SettlementBase: <"Specifies the settlement terms, w if physicalSettlementTerms exists /* or fxSettlementTerms exists*/ then settlementType <> SettlementTypeEnum -> Cash -type PriceQuantity: <"Defines a settlement as an exchange between two parties of a specified quantity of an asset (the quantity) against a specified quantity of another asset (the price). The settlement is optional and can be either cash or physical. In the case of non-cash products, the settlement of the price/quantity would not be specified here and instead would be delegated to the product mechanics, as parameterised by the price/quantity values."> - [metadata key] - price PriceSchedule (0..*) <"Specifies a price to be used for trade amounts and other purposes."> - [metadata location] - quantity NonNegativeQuantitySchedule (0..*) <"Specifies a quantity to be associated with an event, for example a trade amount."> - [metadata location] - observable Observable (0..1) <"Specifies the object to be observed for a price, it could be an asset or a reference. The cardinality is optional as some quantity / price cases have no observable (e.g. a notional and a fixed rate in a given currency)."> - buyerSeller BuyerSeller (0..1) <"Defines the direction of the exchange. The convention is that the buyer receives the quantity / pays the price, whereas the seller receives the price / pays the quantity. Attribute is optional in case the price/quantity settlement is defined as part of the product mechanics."> - settlementTerms SettlementTerms (0..1) <"Whether the settlement is cash or physical and the corresponding terms. Attribute is optional in case the price/quantity settlement is defined as part of the product mechanics."> - effectiveDate AdjustableOrRelativeDate (0..1) <"Specifies the date at which the price and quantity become effective. This day may be subject to adjustment in accordance with a business day convention, or could be specified as relative to a trade date, for instance. Optional cardinality, as the effective date is usually specified in the product definition, so it may only need to be specified as part of the PriceQuantity in an increase/decrease scenario for an existing trade."> - - condition RateOptionObservable: <"When the observable is a rate option, the price type must be interest rate and the arithmetic operator must be specified."> - RateOptionObservableCondition - - condition ObservableExists: <"When the arithmetic operator is specified, then an observable must be specified."> - if price -> arithmeticOperator exists then observable exists - - condition ActualSettlement: <"Settlement terms must be present when the settlement direction is specified."> - if buyerSeller exists then settlementTerms exists - type FixedPrice: <"A predefined price accorded by the counterparties."> price PriceSchedule (0..1) <"Fixed price step schedule, including an initial price specified as an absolute number."> diff --git a/rosetta-source/src/main/rosetta/product-qualification-func.rosetta b/rosetta-source/src/main/rosetta/product-qualification-func.rosetta index 6b521dd72d..e0bfc2ed92 100644 --- a/rosetta-source/src/main/rosetta/product-qualification-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-qualification-func.rosetta @@ -7,9 +7,39 @@ import cdm.base.staticdata.asset.rates.* import cdm.mapping.config.* import cdm.product.template.* import cdm.product.common.settlement.* +import cdm.observable.asset.* isProduct root EconomicTerms; +func UnderlierQualification: <"Identifies whether the underlier(s) have either the specified securityType or assetClass."> + inputs: + underlier Underlier (1..1) <"An Underlier is an Observable (eg Asset, Basket or Index) or a Product."> + securityType SecurityTypeEnum (0..1) + assetClass AssetClassEnum (0..1) + output: + qualifies boolean (1..1) + + set qualifies: + ObservableQualification(underlier -> Observable, securityType, assetClass) + or underlier -> Product -> TransferableProduct -> Instrument -> Security -> securityType = securityType + // The EconomicTerms of any TransferableProduct or a NonTransferableProduct should be checked outside this function. + +func ObservableQualification: <"Identifies whether the observable(s) have either the specified securityType or assetClass."> + inputs: + observable Observable (0..1) <"An Observable is an Asset, Basket or Index."> + securityType SecurityTypeEnum (0..1) + assetClass AssetClassEnum (0..1) + output: + qualifies boolean (1..1) + + set qualifies: + observable -> Asset -> Instrument -> Security -> securityType = securityType + or observable -> Index ->> assetClass = assetClass + or + if observable -> Basket exists + then observable -> Basket -> basketConstituent extract [ ObservableQualification(item, securityType, assetClass) ] all = True + else False + /* * COMPOSABLE PRODUCT QUALIFICATION based on ISDA Taxonomy v2 * AssetClass - BaseProduct - SubProduct - TransactionType @@ -27,28 +57,26 @@ func Qualify_AssetClass_InterestRate: <"Qualifies a product as having the Asset output: is_product boolean (1..1) - alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier - alias forwardUnderlier: - economicTerms -> payout -> forwardPayout only-element -> underlier + alias optionUnderlier: + economicTerms -> payout -> optionPayout only-element -> underlier + alias settlementUnderlier: + economicTerms -> payout -> settlementPayout only-element -> underlier set is_product: economicTerms -> payout -> interestRatePayout only exists or (economicTerms -> payout -> optionPayout only exists - and (optionUnderlier -> security -> securityType = SecurityTypeEnum -> Debt - or optionUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> InterestRate - or optionUnderlier -> index ->> assetClass = AssetClassEnum -> InterestRate - or if optionUnderlier exists - then Qualify_AssetClass_InterestRate( - optionUnderlier -> contractualProduct -> economicTerms - ) = True - or Qualify_AssetClass_InterestRate( - optionUnderlier -> security -> economicTerms - ) = True - else False)) - or (economicTerms -> payout -> forwardPayout only exists - and (forwardUnderlier -> security -> securityType = SecurityTypeEnum -> Debt - or forwardUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> InterestRate - or forwardUnderlier -> index ->> assetClass = AssetClassEnum -> InterestRate)) + and (ObservableQualification(optionUnderlier -> Observable, SecurityTypeEnum -> Debt, AssetClassEnum -> InterestRate) + or optionUnderlier -> Product -> TransferableProduct -> Instrument -> Security -> securityType = SecurityTypeEnum -> Debt + or if optionUnderlier -> Product exists + then Qualify_AssetClass_InterestRate(optionUnderlier -> Product ->> economicTerms) = True + else False + )) + or (economicTerms -> payout -> settlementPayout only exists + and (UnderlierQualification(settlementUnderlier, SecurityTypeEnum -> Debt, AssetClassEnum -> InterestRate) + or if settlementUnderlier -> Product ->> economicTerms exists + then Qualify_AssetClass_InterestRate(settlementUnderlier -> Product ->> economicTerms) = True + else False + )) func Qualify_AssetClass_Credit: <"Qualifies a product as having the Asset Class classification Credit Default."> inputs: @@ -57,8 +85,8 @@ func Qualify_AssetClass_Credit: <"Qualifies a product as having the Asset Class is_product boolean (1..1) alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier - alias forwardUnderlier: - economicTerms -> payout -> forwardPayout only-element -> underlier + alias settlementUnderlier: + economicTerms -> payout -> settlementPayout only-element -> underlier alias performanceUnderlier: economicTerms -> payout -> performancePayout only-element -> underlier @@ -66,25 +94,21 @@ func Qualify_AssetClass_Credit: <"Qualifies a product as having the Asset Class economicTerms -> payout -> creditDefaultPayout only exists or (economicTerms -> payout -> creditDefaultPayout, economicTerms -> payout -> interestRatePayout) only exists or (economicTerms -> payout -> optionPayout only exists - and if optionUnderlier exists - then (optionUnderlier -> index ->> assetClass = AssetClassEnum -> Credit - or optionUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> Credit - or Qualify_AssetClass_Credit( - optionUnderlier -> contractualProduct -> economicTerms - ) - or Qualify_AssetClass_Credit( - optionUnderlier -> security -> economicTerms - )) - else False) - or (economicTerms -> payout -> forwardPayout only exists - and if forwardUnderlier exists - then (forwardUnderlier -> index ->> assetClass = AssetClassEnum -> Credit - or forwardUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> Credit) - else False) + and (ObservableQualification(optionUnderlier -> Observable, empty, AssetClassEnum -> Credit) + or if optionUnderlier -> Product exists + then Qualify_AssetClass_Credit(optionUnderlier -> Product ->> economicTerms) = True + else False + )) + or (economicTerms -> payout -> settlementPayout only exists + and (UnderlierQualification(settlementUnderlier, empty, AssetClassEnum -> Credit) + or if settlementUnderlier -> Product ->> economicTerms exists + then Qualify_AssetClass_Credit(settlementUnderlier -> Product ->> economicTerms) = True + else False + )) // Interest Rate Payout + Performance Payout (Total Return Swap with a debt instrument as underlier) or ((economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists and if performanceUnderlier exists - then (performanceUnderlier -> loan exists or performanceUnderlier -> security -> securityType = SecurityTypeEnum -> Debt)) + then (performanceUnderlier -> Observable -> Asset -> Instrument -> Loan exists or performanceUnderlier -> Observable -> Asset -> Instrument -> Security -> securityType = SecurityTypeEnum -> Debt)) func Qualify_AssetClass_ForeignExchange: <"Qualifies a product as having the Asset Class classification Foreign Exchange"> inputs: @@ -93,30 +117,21 @@ func Qualify_AssetClass_ForeignExchange: <"Qualifies a product as having the Ass is_product boolean (1..1) alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier - alias forwardUnderlier: - economicTerms -> payout -> forwardPayout only-element -> underlier - - set is_product: - economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate exists - or economicTerms -> payout -> optionPayout -> underlier -> index -> ForeignExchangeRate exists - or economicTerms -> payout -> performancePayout -> observationTerms -> observable -> index -> ForeignExchangeRate exists - or optionUnderlier -> index ->> assetClass = AssetClassEnum -> ForeignExchange - or optionUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> ForeignExchange - or (if optionUnderlier exists - then Qualify_AssetClass_ForeignExchange( - optionUnderlier -> contractualProduct -> economicTerms - ) - else False) - or (if optionUnderlier exists - then Qualify_AssetClass_ForeignExchange( - optionUnderlier -> security -> economicTerms - ) - else False) - or forwardUnderlier -> index ->> assetClass = AssetClassEnum -> ForeignExchange - or forwardUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> ForeignExchange - // legacy - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange exists - or economicTerms -> payout -> optionPayout -> underlier -> foreignExchange exists + alias settlementUnderlier: + economicTerms -> payout -> settlementPayout only-element -> underlier + + set is_product: + (economicTerms -> payout -> settlementPayout only exists + and ( economicTerms -> payout -> settlementPayout -> underlier -> Observable -> Asset -> Cash exists + or UnderlierQualification(settlementUnderlier, empty, AssetClassEnum -> ForeignExchange)) + ) + or economicTerms -> payout -> performancePayout -> underlier -> Observable -> Index -> ForeignExchangeRateIndex exists + or (economicTerms -> payout -> optionPayout only exists + and (optionUnderlier -> Observable -> Asset -> Cash exists + or if optionUnderlier -> Product exists + then Qualify_AssetClass_ForeignExchange(optionUnderlier -> Product ->> economicTerms) = True + else False + )) func Qualify_AssetClass_Equity: inputs: @@ -125,31 +140,32 @@ func Qualify_AssetClass_Equity: is_product boolean (1..1) alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier - alias forwardUnderlier: - economicTerms -> payout -> forwardPayout only-element -> underlier - - set is_product: - (economicTerms -> payout -> performancePayout -> underlier - extract [ Qualify_UnderlierProduct_Equity(item) ] - all = True - and ( // Interest Rate Payout + Performance Payout (Price Return Swap, Total Return Swap) - (economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists - // Performance Payout + Fixed Price Payout (Dividend Swap) - or (economicTerms -> payout -> performancePayout, economicTerms -> payout -> fixedPricePayout) only exists - // Performance Payout only (Variance, Volatility and Correlation Swap) - or economicTerms -> payout -> performancePayout only exists)) + alias settlementUnderlier: + economicTerms -> payout -> settlementPayout only-element -> underlier + + set is_product: + (economicTerms -> payout -> performancePayout -> underlier -> Observable + extract Qualify_UnderlierObservable_Equity + then all = True + and ( // Interest Rate Payout + Performance Payout (Price Return Swap, Total Return Swap) + (economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists + // Performance Payout + Fixed Price Payout (Dividend Swap) + or (economicTerms -> payout -> performancePayout, economicTerms -> payout -> fixedPricePayout) only exists + // Performance Payout only (Variance, Volatility and Correlation Swap) + or economicTerms -> payout -> performancePayout only exists)) or (economicTerms -> payout -> optionPayout only exists - and if optionUnderlier exists - then (Qualify_UnderlierProduct_Equity(optionUnderlier) = True - or optionUnderlier -> index ->> assetClass = AssetClassEnum -> Equity - or optionUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> Equity) - else False) - or (economicTerms -> payout -> forwardPayout only exists - and if forwardUnderlier exists - then (Qualify_UnderlierProduct_Equity(forwardUnderlier) - or forwardUnderlier -> index ->> assetClass = AssetClassEnum -> Equity - or forwardUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> Equity) - else False) + and (Qualify_UnderlierObservable_Equity(optionUnderlier -> Observable) + or if optionUnderlier -> Product exists + then Qualify_AssetClass_Equity(optionUnderlier -> Product ->> economicTerms) = True + else False + )) + or (economicTerms -> payout -> settlementPayout only exists + and (Qualify_UnderlierObservable_Equity(settlementUnderlier -> Observable) + or if settlementUnderlier -> Product ->> economicTerms exists + then Qualify_AssetClass_Equity( + settlementUnderlier -> Product ->> economicTerms) = True + else False + )) func Qualify_AssetClass_Commodity: <"Qualifies a product as having the Asset Class classification Commodity"> inputs: @@ -157,38 +173,36 @@ func Qualify_AssetClass_Commodity: <"Qualifies a product as having the Asset Cla output: is_product boolean (1..1) - alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier + alias optionUnderlier: + economicTerms -> payout -> optionPayout only-element -> underlier - alias forwardUnderlier: - economicTerms -> payout -> forwardPayout only-element -> underlier + alias settlementUnderlier: + economicTerms -> payout -> settlementPayout only-element -> underlier set is_product: - // CO:FixFlo - ((economicTerms -> payout -> commodityPayout, economicTerms -> payout -> fixedPricePayout) only exists - and economicTerms -> payout -> commodityPayout -> underlier -> commodity exists) - // CO Basis + // Regular Commodity Swap + ( economicTerms -> payout -> commodityPayout, economicTerms -> payout -> fixedPricePayout) only exists + // Commodity Basis Swap or (economicTerms -> payout -> commodityPayout only exists - and economicTerms -> payout -> commodityPayout count = 2 - and economicTerms -> payout -> commodityPayout -> underlier -> commodity count = 2) - // CO Opt + and economicTerms -> payout -> commodityPayout count = 2) + // Commodity Option or (economicTerms -> payout -> optionPayout only exists - and if optionUnderlier exists - then (Qualify_AssetClass_Commodity( - optionUnderlier -> contractualProduct -> economicTerms - ) = True - or Qualify_AssetClass_Commodity( - optionUnderlier -> security -> economicTerms - ) = True - or optionUnderlier -> commodity exists - or optionUnderlier -> index ->> assetClass = AssetClassEnum -> Commodity - or optionUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> Commodity) - else False) - // CO Fwd - or (((economicTerms -> payout -> forwardPayout, economicTerms -> payout -> fixedPricePayout) only exists - or (economicTerms -> payout -> forwardPayout, economicTerms -> payout -> commodityPayout) only exists) - and (economicTerms -> payout -> forwardPayout -> underlier -> commodity exists - or forwardUnderlier -> index ->> assetClass = AssetClassEnum -> Commodity - or forwardUnderlier -> security -> productTaxonomy -> primaryAssetClass any = AssetClassEnum -> Commodity)) + and (optionUnderlier -> Observable -> Asset -> Commodity exists + or optionUnderlier -> Product -> TransferableProduct -> Commodity exists + or if optionUnderlier -> Product exists + then Qualify_AssetClass_Commodity(optionUnderlier -> Product ->> economicTerms) = True + else False + )) + // Commodity Spot or Forward + or (((economicTerms -> payout -> settlementPayout, economicTerms -> payout -> fixedPricePayout) only exists + or (economicTerms -> payout -> settlementPayout, economicTerms -> payout -> commodityPayout) only exists) + and (economicTerms -> payout -> settlementPayout -> underlier -> Observable -> Asset -> Commodity exists + or settlementUnderlier -> Product -> TransferableProduct -> Commodity exists + or if settlementUnderlier -> Product ->> economicTerms exists + then Qualify_AssetClass_Commodity( + settlementUnderlier -> Product ->> economicTerms) = True + else False + )) /* * ENDOF Qualification of ISDA Taxonomy V2 Level 1 - ASSETCLASS: @@ -261,33 +275,35 @@ func Qualify_CreditDefaultSwaption: <"This product qualification is temporary un set is_product: economicTerms -> payout -> optionPayout only exists and Qualify_AssetClass_Credit( - economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms + economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms ) = True -func Qualify_UnderlierProduct_Equity: <"Qualifies a product as having the Asset Class classification Equity."> +func Qualify_UnderlierObservable_Equity: <"Qualifies an Observable as having the Asset Class classification Equity."> inputs: - underlier Product (1..1) + observable Observable (1..1) output: is_product boolean (1..1) set is_product: - underlier -> security -> securityType = SecurityTypeEnum -> Equity - or (underlier -> security -> securityType = SecurityTypeEnum -> Fund - and underlier -> security -> fundType = FundProductTypeEnum -> ExchangeTradedFund) - or (underlier -> security -> securityType = SecurityTypeEnum -> Fund - and underlier -> security -> fundType = FundProductTypeEnum -> MutualFund) - or underlier -> security -> securityType = SecurityTypeEnum -> Warrant - or underlier -> index ->> assetClass = AssetClassEnum -> Equity - // Qualifies that the underlier is a basket composed of equity products only - or (underlier -> basket exists - and (underlier -> basket -> basketConstituent -> asset -> Instrument -> Security -> securityType any = SecurityTypeEnum -> Equity - or (underlier -> basket -> basketConstituent -> asset -> Instrument -> Security -> securityType any = SecurityTypeEnum -> Fund - and underlier -> basket -> basketConstituent -> asset -> Instrument -> Security -> fundType any = FundProductTypeEnum -> ExchangeTradedFund) - or (underlier -> basket -> basketConstituent -> asset -> Instrument -> Security -> securityType any = SecurityTypeEnum -> Fund - and underlier -> basket -> basketConstituent -> asset -> Instrument -> Security -> fundType any = FundProductTypeEnum -> MutualFund) - or underlier -> basket -> basketConstituent -> asset -> Instrument -> Security -> securityType any = SecurityTypeEnum -> Warrant - or underlier -> basket -> basketConstituent -> index ->> assetClass any = AssetClassEnum -> Equity - )) + Qualify_SecurityTypeEquity(observable -> Asset -> Instrument -> Security) + or observable -> Index ->> assetClass = AssetClassEnum -> Equity + // Qualifies that the underlier is a basket composed of equity products only + or (observable -> Basket exists + and observable -> Basket -> basketConstituent extract [ Qualify_UnderlierObservable_Equity ] any = True) + +func Qualify_SecurityTypeEquity: <"Qualifies that the security type, for all of the provided securities, is Equity-related."> + inputs: + security Security (1..1) + output: + is_equity boolean (1..1) + + set is_equity: + security -> securityType = SecurityTypeEnum -> Equity + or (security -> securityType = SecurityTypeEnum -> Fund + and security -> fundType = FundProductTypeEnum -> ExchangeTradedFund) + or (security -> securityType = SecurityTypeEnum -> Fund + and security -> fundType = FundProductTypeEnum -> MutualFund) + or security -> securityType = SecurityTypeEnum -> Warrant func Qualify_BaseProduct_EquitySwap: <"Qualifies a product as having the Asset Class classification Equity and Base Product Classification Swap."> inputs: @@ -325,7 +341,7 @@ func Qualify_EquitySwap_PriceReturnBasicPerformance_SingleName: <"Qualifies a pr and // qualifies that the performance leg has priceReturnTerms performancePayout -> returnTerms -> priceReturnTerms only exists and // qualifies that underlier is a security (single name) - performancePayout -> underlier -> security exists + performancePayout -> underlier -> Observable -> Asset -> Instrument -> Security exists func Qualify_EquitySwap_TotalReturnBasicPerformance_SingleName: <"Qualifies a product as an Equity Swap for which the performance is based on the price changes and dividend returns on a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms and dividendReturnTerms, 3) the underlier is an equity security, a fund, an exchange traded fund, mutual fund, or warrant, and 4) there are no option features"> [qualification Product] @@ -338,7 +354,7 @@ func Qualify_EquitySwap_TotalReturnBasicPerformance_SingleName: <"Qualifies a pr // qualifies that the Base Product is an Equity Swap (i.e.: only performance, interest rate or fixed price payouts) Qualify_BaseProduct_EquitySwap(economicTerms) = True and // qualifies that underlier is a security (single name) - economicTerms -> payout -> performancePayout -> underlier -> security exists + economicTerms -> payout -> performancePayout -> underlier -> Observable -> Asset -> Instrument -> Security exists and ( // Intended final payout structure // qualifies that there is exactly two performance legs, one interest rate leg and no legs of other types ((economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists @@ -373,7 +389,7 @@ func Qualify_EquitySwap_PriceReturnBasicPerformance_Index: <"Qualifies a product and // qualifies that the performance leg has priceReturnTerms performancePayout -> returnTerms -> priceReturnTerms only exists and // qualifies that underlier is an index - performancePayout -> underlier -> index exists + performancePayout -> underlier -> Observable -> Index exists func Qualify_EquitySwap_TotalReturnBasicPerformance_Index: <"Qualifies a product as an Equity Swap for which the performance is based on the price changes and dividend returns on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) An equity product with one performance leg and one interest leg 2) with the former featuring priceReturnTerms and dividendReturnTerms, 3) the underlier is an index, and 4) there are no option features."> [qualification Product] @@ -386,7 +402,7 @@ func Qualify_EquitySwap_TotalReturnBasicPerformance_Index: <"Qualifies a product // qualifies that the Base Product is an Equity Swap (i.e.: only performance, interest rate or fixed price payouts) Qualify_BaseProduct_EquitySwap(economicTerms) = True and // qualifies that underlier is an index - economicTerms -> payout -> performancePayout -> underlier -> index exists + economicTerms -> payout -> performancePayout -> underlier -> Observable -> Index exists and ( // Intended final payout structure // qualifies that there is exactly two performance legs, one interest rate leg and no legs of other types ((economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists @@ -419,7 +435,7 @@ func Qualify_EquitySwap_PriceReturnBasicPerformance_Basket: <"Qualifies a produc and economicTerms -> payout -> interestRatePayout count = 1 and economicTerms -> payout -> performancePayout count = 1 and // qualifies that underlier is a basket - performancePayout -> underlier -> basket exists + performancePayout -> underlier -> Observable -> Basket exists and // qualifies that the performance leg has priceReturnTerms performancePayout -> returnTerms -> priceReturnTerms only exists @@ -433,7 +449,7 @@ func Qualify_EquitySwap_TotalReturnBasicPerformance_Basket: <"Qualifies a produc // qualifies that the Base Product is an Equity Swap (i.e.: only performance, interest rate or fixed price payouts) Qualify_BaseProduct_EquitySwap(economicTerms) = True and // qualifies that underlier is a basket - economicTerms -> payout -> performancePayout -> underlier -> basket exists + economicTerms -> payout -> performancePayout -> underlier -> Observable -> Basket exists and ( // Intended final payout structure // qualifies that there is exactly two performance legs, one interest rate leg and no legs of other types ((economicTerms -> payout -> interestRatePayout, economicTerms -> payout -> performancePayout) only exists @@ -467,7 +483,7 @@ func Qualify_EquitySwap_ParameterReturnVariance_SingleName: <"Qualifies a produc and // qualifies that the only leg has varianceReturnTerms performancePayout -> returnTerms -> varianceReturnTerms only exists and // qualifies that underlier is a security (single name) - performancePayout -> underlier -> security only exists + performancePayout -> underlier -> Observable -> Asset -> Instrument -> Security exists func Qualify_EquitySwap_ParameterReturnVariance_Index: <"Qualifies a product as an Equity Swap for which the performance is based on the variance changes on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has variance return terms, 5) the underlier is an index, and 6) there are no option features."> [qualification Product] @@ -488,7 +504,7 @@ func Qualify_EquitySwap_ParameterReturnVariance_Index: <"Qualifies a product as and // qualifies that the only leg has varianceReturnTerms performancePayout -> returnTerms -> varianceReturnTerms only exists and // qualifies that underlier is an index - performancePayout -> underlier -> index only exists + performancePayout -> underlier -> Observable -> Index exists func Qualify_EquitySwap_ParameterReturnVariance_Basket: <"Qualifies a product as an Equity Swap for which the performance is based on the variance changes on a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has variance return terms, 5) the underlier is a basket, and 6) there are no option features."> [qualification Product] @@ -509,7 +525,7 @@ func Qualify_EquitySwap_ParameterReturnVariance_Basket: <"Qualifies a product as and // qualifies that the only leg has varianceReturnTerms performancePayout -> returnTerms -> varianceReturnTerms only exists and // qualifies that underlier is a basket - performancePayout -> underlier -> basket only exists + performancePayout -> underlier -> Observable -> Basket exists func Qualify_EquitySwap_ParameterReturnDispersion: <"Qualifies a product as an Equity Swap for which the performance is based on the variance changes in several legs. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) more than one performance leg, 4) all of which have variance return terms, and 5) there are no option features."> [qualification Product] @@ -550,7 +566,7 @@ func Qualify_EquitySwap_ParameterReturnVolatility_SingleName: <"Qualifies a prod and // qualifies that the only leg has volatilityReturnTerms performancePayout -> returnTerms -> volatilityReturnTerms only exists and // qualifies that underlier is a security (single name) - performancePayout -> underlier -> security only exists + performancePayout -> underlier -> Observable -> Asset -> Instrument -> Security exists func Qualify_EquitySwap_ParameterReturnVolatility_Index: <"Qualifies a product as an Equity Swap for which the performance is based on the volatility changes on an index. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has volatility return terms, 5) the underlier is an index, and 6) there are no option features."> [qualification Product] @@ -571,7 +587,7 @@ func Qualify_EquitySwap_ParameterReturnVolatility_Index: <"Qualifies a product a and // qualifies that the only leg has volatilityReturnTerms performancePayout -> returnTerms -> volatilityReturnTerms only exists and // qualifies that underlier is an index - performancePayout -> underlier -> index only exists + performancePayout -> underlier -> Observable -> Index exists func Qualify_EquitySwap_ParameterReturnVolatility_Basket: <"Qualifies a product as an Equity Swap for which the performance is based on the volatility changes on a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has volatility return terms, 5) the underlier is a basket, and 6) there are no option features."> [qualification Product] @@ -592,7 +608,7 @@ func Qualify_EquitySwap_ParameterReturnVolatility_Basket: <"Qualifies a product and // qualifies that the only leg has varianceReturnTerms performancePayout -> returnTerms -> volatilityReturnTerms only exists and // qualifies that underlier is a basket - performancePayout -> underlier -> basket exists + performancePayout -> underlier -> Observable -> Basket exists func Qualify_EquitySwap_ParameterReturnCorrelation_Basket: <"Qualifies a product as an Equity Swap for which the performance is based on changes in the correlation between the constituents of a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with a single performance leg, 4) which has correlation return terms, 5) the underlier is a basket, and 6) there are no option features."> [qualification Product] @@ -611,7 +627,7 @@ func Qualify_EquitySwap_ParameterReturnCorrelation_Basket: <"Qualifies a product and // qualifies that the only leg has varianceReturnTerms performancePayout -> returnTerms -> correlationReturnTerms only exists and // qualifies that underlier is a basket - performancePayout -> underlier -> basket only exists + performancePayout -> underlier -> Observable -> Basket exists func Qualify_EquitySwap_ParameterReturnDividend_SingleName: <"Qualifies a product as an Equity Swap for which the performance is based on the dividend returns of a single stock. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with one fixed price leg and one performance leg 4) which has dividend return terms, 5) the underlier is a single stock, and 6) there are no option features."> [qualification Product] @@ -632,7 +648,7 @@ func Qualify_EquitySwap_ParameterReturnDividend_SingleName: <"Qualifies a produc and // qualifies that the performance Payout has dividendReturnTerms performancePayout -> returnTerms -> dividendReturnTerms only exists and // qualifies that underlier is a security (single name) - performancePayout -> underlier -> security only exists + performancePayout -> underlier -> Observable -> Asset -> Instrument -> Security exists func Qualify_EquitySwap_ParameterReturnDividend_Index: <"Qualifies a product as an Equity Swap for which the performance is based on the dividend returns of an index. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with one fixed price leg and one performance leg 4) which has dividend return terms, 5) the underlier is an index, and 6) there are no option features."> [qualification Product] @@ -653,7 +669,7 @@ func Qualify_EquitySwap_ParameterReturnDividend_Index: <"Qualifies a product as and // qualifies that the performance Payout has dividendReturnTerms performancePayout -> returnTerms -> dividendReturnTerms only exists and // qualifies that underlier is an index - performancePayout -> underlier -> index only exists + performancePayout -> underlier -> Observable -> Index exists func Qualify_EquitySwap_ParameterReturnDividend_Basket: <"Qualifies a product as an Equity Swap for which the performance is based on the dividend returns of a basket. The determination of the qualification is based on the economic terms and the following criteria: 1) Is an equity product 2) of swap type, 3) with one fixed price leg and one performance leg 4) which has dividend return terms, 5) the underlier is a basket, and 6) there are no option features."> [qualification Product] @@ -674,7 +690,7 @@ func Qualify_EquitySwap_ParameterReturnDividend_Basket: <"Qualifies a product as and // qualifies that the performance Payout has dividendReturnTerms performancePayout -> returnTerms -> dividendReturnTerms only exists and // qualifies that underlier is a security (single name) - performancePayout -> underlier -> basket only exists + performancePayout -> underlier -> Observable -> Basket exists func Qualify_BaseProduct_EquityForward: <"Qualifies a product as having the Asset Class classification Equity and Base Product Classification Forward."> inputs: @@ -683,7 +699,7 @@ func Qualify_BaseProduct_EquityForward: <"Qualifies a product as having the Asse is_product boolean (1..1) set is_product: Qualify_AssetClass_Equity(economicTerms) = True - and economicTerms -> payout -> forwardPayout only exists + and economicTerms -> payout -> settlementPayout only exists func Qualify_EquityOption_PriceReturnBasicPerformance_SingleName: <"Qualifies a product as a plain vanilla Equity Option. The determination of the qualification is based on the economic terms and the following criteria: 1) An option product for which the underlier is a single stock and 2) No special option feature exists other than option averaging."> // [qualification Product] @@ -693,13 +709,16 @@ func Qualify_EquityOption_PriceReturnBasicPerformance_SingleName: <"Qualifies a is_product boolean (1..1) [synonym ISDA_Taxonomy_v1 value "EquityOption_PriceReturnBasicPerformance_SingleName"] [synonym ISDA_Taxonomy_v2 value "EquityOption_PriceReturnBasicPerformance_SingleName"] + alias optionUnderlier: economicTerms -> payout -> optionPayout only-element -> underlier set is_product: Qualify_AssetClass_Equity(economicTerms) = True // qualifies that only the option payout exist and all other payouts are absent and economicTerms -> payout -> optionPayout only exists - // qualifies that the underlier is an equity security - and economicTerms -> payout -> optionPayout only-element -> underlier -> security exists - // qualifies that no feature other than averaging exists + // qualifies that the underlier is an asset + and economicTerms -> payout -> optionPayout only-element -> underlier -> Observable -> Asset exists + // qualifies that the underlier is a security (already verified as equity) + and optionUnderlier -> Observable -> Asset -> Instrument -> Security only exists + // qualifies that no feature other than averaging exists and (economicTerms -> payout -> optionPayout -> feature is absent or economicTerms -> payout -> optionPayout -> feature -> averagingFeature only exists) @@ -716,7 +735,7 @@ func Qualify_EquityOption_PriceReturnBasicPerformance_Index: <"Qualifies a produ // qualifies that only the option payout exist and all other payouts are absent and economicTerms -> payout -> optionPayout only exists // qualifies that the underlier is an equity index - and economicTerms -> payout -> optionPayout only-element -> underlier -> index exists + and economicTerms -> payout -> optionPayout only-element -> underlier -> Observable -> Index -> EquityIndex exists // qualifies that no feature other than averaging exists and (economicTerms -> payout -> optionPayout -> feature is absent or economicTerms -> payout -> optionPayout -> feature -> averagingFeature only exists) @@ -734,7 +753,7 @@ func Qualify_EquityOption_PriceReturnBasicPerformance_Basket: <"Qualifies a prod // qualifies that only the option payout exist and all other payouts are absent and economicTerms -> payout -> optionPayout only exists // qualifies that the underlier is an equity basket - and economicTerms -> payout -> optionPayout only-element -> underlier -> basket exists + and economicTerms -> payout -> optionPayout only-element -> underlier -> Observable -> Basket exists // qualifies that no feature other than averaging exists and (economicTerms -> payout -> optionPayout -> feature is absent or economicTerms -> payout -> optionPayout -> feature -> averagingFeature only exists) @@ -749,7 +768,7 @@ func Qualify_EquityOption_ParameterReturnVariance_SingleName: <"Qualifies a prod [synonym ISDA_Taxonomy_v2 value "EquityOption_ParameterReturnVariance_SingleName"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -768,7 +787,7 @@ func Qualify_EquityOption_ParameterReturnVariance_Index: <"Qualifies a product a [synonym ISDA_Taxonomy_v2 value "EquityOption_ParameterReturnVariance_SingleIndex"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -786,7 +805,7 @@ func Qualify_EquityOption_ParameterReturnVariance_Basket: <"Qualifies a product [synonym ISDA_Taxonomy_v2 value "Qualify_EquityOption_ParameterReturnVariance_Basket"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -803,7 +822,7 @@ func Qualify_EquityOption_ParameterReturnVolatility_SingleName: <"Qualifies a pr [synonym ISDA_Taxonomy_v2 value "EquityOption_ParameterReturnVolatility_SingleName"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -822,7 +841,7 @@ func Qualify_EquityOption_ParameterReturnVolatility_Index: <"Qualifies a product [synonym ISDA_Taxonomy_v2 value "EquityOption_ParameterReturnVolatility_SingleIndex"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -839,7 +858,7 @@ func Qualify_EquityOption_ParameterReturnVolatility_Basket: <"Qualifies a produc [synonym ISDA_Taxonomy_v2 value "Qualify_EquityOption_ParameterReturnVaolatility_Basket"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -854,7 +873,7 @@ func Qualify_EquityOption_ParameterReturnCorrelation_Basket: <"Qualifies a produ is_product boolean (1..1) alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -871,7 +890,7 @@ func Qualify_EquityOption_ParameterReturnDividend_SingleName: <"Qualifies a prod [synonym ISDA_Taxonomy_v2 value "Qualify_EquityOption_ParameterReturnDividend_SingleName"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -890,7 +909,7 @@ func Qualify_EquityOption_ParameterReturnDividend_Index: <"Qualifies a product a [synonym ISDA_Taxonomy_v2 value "Qualify_EquityOption_ParameterReturnDividend_SingleIndex"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -907,7 +926,7 @@ func Qualify_EquityOption_ParameterReturnDividend_Basket: <"Qualifies a product [synonym ISDA_Taxonomy_v2 value "Qualify_EquityOption_ParameterReturnDividend_Basket"] alias underlierEconomicTerms: - economicTerms -> payout -> optionPayout -> underlier -> contractualProduct -> economicTerms only-element + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element set is_product: // qualifies that only the option payout exist and all other payouts are absent economicTerms -> payout -> optionPayout only exists @@ -925,7 +944,7 @@ func Qualify_BaseProduct_IRSwap: <"Qualifies a product as having the Base Produc and economicTerms -> payout -> interestRatePayout count = 2 and economicTerms -> payout -> interestRatePayout -> paymentDates count = 2 and Qualify_BaseProduct_CrossCurrency(economicTerms) = False - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate is absent + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification is absent func Qualify_BaseProduct_CrossCurrency: <"Qualifies a product as having the Base Product classification Cross Currency."> inputs: @@ -951,7 +970,7 @@ func Qualify_BaseProduct_Fra: <"Qualifies a product as having the Base Product c Qualify_AssetClass_InterestRate(economicTerms) = True and economicTerms -> payout -> interestRatePayout count = 2 and economicTerms -> payout -> interestRatePayout -> paymentDate count = 2 - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate is absent + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification is absent func Qualify_BaseProduct_Inflation: <"Qualifies a product as having the Base Product classification Inflation Swap"> inputs: @@ -962,7 +981,7 @@ func Qualify_BaseProduct_Inflation: <"Qualifies a product as having the Base Pro Qualify_AssetClass_InterestRate(economicTerms) = True and economicTerms -> payout -> interestRatePayout count = 2 and economicTerms -> payout -> interestRatePayout -> paymentDates count = 2 - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate exists + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification exists func Qualify_SubProduct_FixedFloat: <"Qualifies a product as having the Sub Product classification Fixed Float"> inputs: @@ -971,12 +990,12 @@ func Qualify_SubProduct_FixedFloat: <"Qualifies a product as having the Sub Prod is_product boolean (1..1) set is_product: - (economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 1 - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1) - or (economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 1 - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1) - or ((economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1 - or economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1) + (economicTerms -> payout -> interestRatePayout -> rateSpecification -> FixedRateSpecification count = 1 + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification count = 1) + or (economicTerms -> payout -> interestRatePayout -> rateSpecification -> FixedRateSpecification count = 1 + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification count = 1) + or ((economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification count = 1 + or economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification count = 1) and (economicTerms -> payout -> interestRatePayout filter rateSpecification is absent and priceQuantity exists then count = 1 @@ -988,7 +1007,7 @@ func Qualify_SubProduct_FixedFixed: <"Qualifies a product as having the Sub Prod output: is_product boolean (1..1) set is_product: - economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 2 + economicTerms -> payout -> interestRatePayout -> rateSpecification -> FixedRateSpecification count = 2 func Qualify_SubProduct_Basis: <"Qualifies a product as having the Sub Product classification Basis"> inputs: @@ -996,10 +1015,10 @@ func Qualify_SubProduct_Basis: <"Qualifies a product as having the Sub Product c output: is_product boolean (1..1) set is_product: - economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 2 - or (economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 1 - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1) - or economicTerms -> payout -> interestRatePayout -> rateSpecification -> inflationRate count = 2 + economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification count = 2 + or (economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification count = 1 + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification count = 1) + or economicTerms -> payout -> interestRatePayout -> rateSpecification -> InflationRateSpecification count = 2 func Qualify_Transaction_ZeroCoupon: <"Qualifies a product as having the Transaction classification Zero Coupon"> inputs: @@ -1044,7 +1063,7 @@ func Qualify_Transaction_OIS: <"Qualifies a product as having the Transaction cl is_product boolean (1..1) alias floatingRateIndex: - economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate -> rateOption -> floatingRateIndex + economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification -> rateOption -> InterestRateIndex -> floatingRateIndex set is_product: floatingRateIndex any = FloatingRateIndexEnum -> AUD_AONIA_OIS_COMPOUND @@ -1335,8 +1354,8 @@ func Qualify_InterestRate_Fra: <"Qualifies the product as a Floating Rate Agreem set is_product: Qualify_AssetClass_InterestRate(economicTerms) = True - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> fixedRate count = 1 - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate count = 1 + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> FixedRateSpecification count = 1 + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification count = 1 and economicTerms -> payout -> interestRatePayout -> paymentDate count = 2 func Qualify_InterestRate_CapFloor: <"Qualifies a product as an interest rate cap, interest rate floor, or an interest rate collar based on the economic terms and the following criteria: 1) An interest rate product with one one leg that includes a cap and/or a floor."> @@ -1352,8 +1371,8 @@ func Qualify_InterestRate_CapFloor: <"Qualifies a product as an interest rate ca Qualify_AssetClass_InterestRate(economicTerms) = True and economicTerms -> payout -> interestRatePayout count = 1 // qualifies the product as having a cap and/or floor in the interestRatePayout - and economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate -> capRateSchedule exists - or economicTerms -> payout -> interestRatePayout -> rateSpecification -> floatingRate -> floorRateSchedule exists + and economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification -> capRateSchedule exists + or economicTerms -> payout -> interestRatePayout -> rateSpecification -> FloatingRateSpecification -> floorRateSchedule exists func Qualify_InterestRate_Option_Swaption: <"Qualifies a product as a Swaption that can be exercised into an Interest Rate Swap, which could be any type of interest rate product with two legs based on the economic terms."> [qualification Product] @@ -1368,7 +1387,7 @@ func Qualify_InterestRate_Option_Swaption: <"Qualifies a product as a Swaption t // qualifies that only the option payout exists and all other payouts are absent and economicTerms -> payout -> optionPayout only exists and Qualify_AssetClass_InterestRate( - economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms + economicTerms -> payout -> optionPayout -> underlier -> Product ->> economicTerms only-element ) = True func Qualify_InterestRate_Option_DebtOption: <"Qualifies a product as a Option that can be exercised into an Debt Product based on the economic terms."> @@ -1385,7 +1404,7 @@ func Qualify_InterestRate_Option_DebtOption: <"Qualifies a product as a Option t // qualifies that only the option payout exists and all other payouts are absent and economicTerms -> payout -> optionPayout only exists // qualifies the underlyer of the option as a debt security - and optionPayout -> underlier -> security -> securityType all = SecurityTypeEnum -> Debt + and optionPayout -> underlier -> Observable extract [ ObservableQualification(item, SecurityTypeEnum -> Debt, empty) ] all = True func Qualify_InterestRate_Forward_Debt: <"Qualifies a product as Interest Rate Bond Forward based on economic terms, which is defined as a transaction in which one party agrees to pay an agreed price for a specified amount of a bond of an issuer or a basket of bonds of several issuers at a future date and the other party agrees to pay a price for the same amount of the same bond to be set on a specified date in the future."> [qualification Product] @@ -1395,10 +1414,11 @@ func Qualify_InterestRate_Forward_Debt: <"Qualifies a product as Interest Rate B is_product boolean (1..1) [synonym ISDA_Taxonomy_v1 value "InterestRate_Forward_Debt"] [synonym ISDA_Taxonomy_v2 value "InterestRate_Forward_Debt"] - alias forwardPayout: economicTerms -> payout -> forwardPayout only-element + alias forwardPayout: economicTerms -> payout -> settlementPayout only-element set is_product: Qualify_AssetClass_InterestRate(economicTerms) = True - and forwardPayout -> underlier -> security only exists + and (forwardPayout -> underlier -> Observable -> Asset -> Instrument -> Security exists + or forwardPayout -> underlier -> Product -> TransferableProduct -> Instrument -> Security exists) func Qualify_ForeignExchange_Spot_Forward: <"Qualifies a product as Foreign Exchange based on economic terms, which is defined as an agreement to buy one currency against the delivery of another currency at a rate set on the trade date for settlement on a specified date in the future. Dependent on conventions specific to local markets the product could be considered either Spot or Forward."> [qualification Product] @@ -1412,11 +1432,11 @@ func Qualify_ForeignExchange_Spot_Forward: <"Qualifies a product as Foreign Exch [synonym ISDA_Taxonomy_v2 value "ForeignExchange_Spot"] set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate only exists - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange only exists ) - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate count = 1 - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange count = 1 ) - and economicTerms -> payout -> forwardPayout -> settlementTerms -> cashSettlementTerms is absent + // only FX transactions result in the buyer receiving only cash + // other products result in a cash receipt, but not in as a single SettlementPayout + and economicTerms -> payout -> settlementPayout only exists + and economicTerms -> payout -> settlementPayout count = 1 + and economicTerms -> payout -> settlementPayout -> settlementTerms -> cashSettlementTerms is absent func Qualify_ForeignExchange_Swap: <"Qualifies a product as Foreign Exchange Swap based on economic terms, which is defined as a contract in which one party borrows one currency from, and simultaneously lends another to, the second party. Each party uses the repayment obligation to its counterparty as collateral and the amount of repayment is fixed at the FX forward rate as of the start of the contract."> [qualification Product] @@ -1426,11 +1446,9 @@ func Qualify_ForeignExchange_Swap: <"Qualifies a product as Foreign Exchange Swa is_product boolean (1..1) set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate only exists - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange only exists ) - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate count = 2 - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange count = 2 ) - and economicTerms -> payout -> forwardPayout -> settlementTerms -> cashSettlementTerms is absent + and economicTerms -> payout -> settlementPayout only exists + and economicTerms -> payout -> settlementPayout count = 2 + and economicTerms -> payout -> settlementPayout -> settlementTerms -> cashSettlementTerms is absent func Qualify_ForeignExchange_NDF: <"Qualifies a product as Foreign Exchange Non-Deliverable Forward based on economic terms, which is defined as a Forward transaction where the notional amount of one of the currencies (the reference currency) is converted into the other currency (the settlement currency) at a spot foreign exchange rate that is observed on a valuation date prior to the settlement date, and a single net payment in the settlement currency is made on the settlement date. No payment or account transfer takes place in the reference currency."> [qualification Product] @@ -1442,11 +1460,11 @@ func Qualify_ForeignExchange_NDF: <"Qualifies a product as Foreign Exchange Non- [synonym ISDA_Taxonomy_v2 value "ForeignExchange_NDF"] set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate only exists - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange only exists ) - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate count = 1 - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange count = 1 ) - and economicTerms -> payout -> forwardPayout -> settlementTerms -> cashSettlementTerms exists + // only FX transactions result in the buyer receiving only cash + // other products result in a cash receipt, but not in as a single SettlementPayout + and economicTerms -> payout -> settlementPayout only exists + and economicTerms -> payout -> settlementPayout count = 1 + and economicTerms -> payout -> settlementPayout -> settlementTerms -> cashSettlementTerms exists func Qualify_ForeignExchange_NDS: <"Qualifies a product as Foreign Exchange NDS based on economic terms, which is defined as a contract in which one party borrows one currency from, and simultaneously lends another to, the second party. Each party uses the repayment obligation to its counterparty as collateral and the amount of repayment is fixed at the FX forward rate as of the start of the contract."> [qualification Product] @@ -1456,11 +1474,9 @@ func Qualify_ForeignExchange_NDS: <"Qualifies a product as Foreign Exchange NDS is_product boolean (1..1) set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate only exists - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange only exists ) - and ( economicTerms -> payout -> forwardPayout -> underlier -> index -> ForeignExchangeRate count = 2 - or economicTerms -> payout -> forwardPayout -> underlier -> foreignExchange count = 2 ) - and economicTerms -> payout -> forwardPayout -> settlementTerms -> cashSettlementTerms exists + and economicTerms -> payout -> settlementPayout only exists + and economicTerms -> payout -> settlementPayout count = 2 + and economicTerms -> payout -> settlementPayout -> settlementTerms -> cashSettlementTerms exists func Qualify_ForeignExchange_ParameterReturnVariance: <"Qualifies a product as Foreign Exchange Swap for which the performance is based on the variance of a foreign exhange underlier. The determination of the qualification is based on the economic terms and the following criteria: 1) Is a Foreign Exchange product (the underlier is foreign exchange) 2) with only one performance leg 3) which has variance return terms, 4) there are no option features."> [qualification Product] @@ -1475,7 +1491,7 @@ func Qualify_ForeignExchange_ParameterReturnVariance: <"Qualifies a product as F set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True // qualifies that the product is FX (i.e.: has only foreign Exchange underliers) - and performancePayout -> observationTerms -> observable -> index -> ForeignExchangeRate only exists + and performancePayout -> underlier -> Observable -> Index -> ForeignExchangeRateIndex exists and // qualifies that there is a single leg of performance type economicTerms -> payout -> performancePayout only exists and economicTerms -> payout -> performancePayout count = 1 @@ -1495,7 +1511,7 @@ func Qualify_ForeignExchange_ParameterReturnVolatility: <"Qualifies a product as set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True // qualifies that the product is FX (i.e.: has only foreign Exchange underliers) - and performancePayout -> observationTerms -> observable -> index -> ForeignExchangeRate only exists + and performancePayout -> underlier -> Observable -> Index -> ForeignExchangeRateIndex exists and // qualifies that there is a single leg of performance type economicTerms -> payout -> performancePayout only exists and economicTerms -> payout -> performancePayout count = 1 @@ -1518,10 +1534,10 @@ func Qualify_ForeignExchange_ParameterReturnCorrelation: <"Qualifies a product a and // qualifies that the performance leg has correlationReturnTerms performancePayout -> returnTerms -> correlationReturnTerms only exists and // qualifies that the underlier is a basket - performancePayout -> underlier -> basket only exists + performancePayout -> underlier -> Observable -> Basket exists and // qualifies that the product is FX (i.e.: the basket is constituted by foreign exchange constituents) - performancePayout -> underlier -> basket -> basketConstituent -> index -> ForeignExchangeRate only exists - + performancePayout -> underlier -> Observable -> Basket -> basketConstituent extract [ Index -> ForeignExchangeRateIndex exists ] all = True + func Qualify_ForeignExchange_VanillaOption: <"Qualifies a product as FX Plain Vanilla Option based on economic terms, which is defined as one where 1) exercise style is American or European style only, and 2) does not contain any feature like Forward Starting Strike or Performance payout."> [qualification Product] inputs: @@ -1532,14 +1548,12 @@ func Qualify_ForeignExchange_VanillaOption: <"Qualifies a product as FX Plain Va [synonym ISDA_Taxonomy_v2 value "ForeignExchange_VanillaOption"] set is_product: Qualify_AssetClass_ForeignExchange(economicTerms) = True - and economicTerms -> payout -> optionPayout exists - and (economicTerms -> payout -> optionPayout -> underlier -> index -> ForeignExchangeRate only exists - or economicTerms -> payout -> optionPayout -> underlier -> foreignExchange only exists ) + and economicTerms -> payout -> optionPayout only exists and (economicTerms -> payout -> optionPayout -> exerciseTerms -> style any <> OptionExerciseStyleEnum -> Bermuda) and (economicTerms -> payout -> optionPayout -> feature is absent or economicTerms -> payout -> optionPayout -> feature -> averagingFeature only exists) -func Qualify_SecuritiesFinance: <"Qualifies a product as generic Securities Finance; eg Securities Lending or Repurchase Agreement."> +func Qualify_RepurchaseAgreement: <"Qualifies a product as a Repurchase Agreement based on the repo trate of the trade (ie the interest charges) being defined in an InterestRatePayout and the asset that is bought and sold being defined in an AssetPayout in a CollateralPosition."> [qualification Product] inputs: economicTerms EconomicTerms (1..1) @@ -1548,7 +1562,31 @@ func Qualify_SecuritiesFinance: <"Qualifies a product as generic Securities Fina set is_product: economicTerms -> payout -> interestRatePayout only exists and economicTerms -> payout -> interestRatePayout count = 1 - and economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> contractualProduct -> economicTerms -> payout -> assetPayout only exists + and economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout exists + and economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout -> repoType all <> RepoTypeEnum -> BuySellBack + +func Qualify_BuySellBack: <"Qualifies a product as a Buy/Sell Back based on the repo trate of the trade (ie the interest charges) being defined in an InterestRatePayout and the asset that is bought and sold being defined in an AssetPayout in a CollateralPosition, along with an enumerator to distinguish ths product type from a traditional repurchase ageement."> + [qualification Product] + inputs: + economicTerms EconomicTerms (1..1) + output: + is_product boolean (1..1) + set is_product: + economicTerms -> payout -> interestRatePayout only exists + and economicTerms -> payout -> interestRatePayout count = 1 + and economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout exists + and economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product ->> economicTerms -> payout -> assetPayout -> repoType any = RepoTypeEnum -> BuySellBack + +func Qualify_SecurityLending: <"Qualifies a product as Securities Lending based on the asset to be lent (usually a security) being defined in a singular AssetPayout, with the collateral, which can be an asset (usually cash or securities), defined in a CollateralPosition."> + [qualification Product] + inputs: + economicTerms EconomicTerms (1..1) + output: + is_product boolean (1..1) + set is_product: + economicTerms -> payout -> assetPayout only exists + and economicTerms -> payout -> assetPayout count = 1 + and economicTerms -> collateral -> collateralPortfolio -> collateralPosition -> product -> TransferableProduct exists func Qualify_Commodity_Swap_FixedFloat: <"Qualifies a product as a Fixed Float Commodity Swap. The determination of the qualification is based on the economic terms and the following criteria: 1) One Floating Leg represented by the CommodityPayout, with an underlier that is a commodity, 2) One Fixed Leg represented by the FixedPricePayout, and 3) there are no other payout types."> [qualification Product] @@ -1586,7 +1624,8 @@ func Qualify_Commodity_Option: <"Qualifies a product as a Option that can be exe set is_product: Qualify_AssetClass_Commodity(economicTerms) = True and economicTerms -> payout -> optionPayout only exists - and economicTerms -> payout -> optionPayout -> underlier -> commodity exists + and ( economicTerms -> payout -> optionPayout -> underlier -> Observable -> Asset -> Commodity exists + or economicTerms -> payout -> optionPayout -> underlier -> Product -> TransferableProduct -> Commodity exists ) func Qualify_Commodity_Option_Cash: <"Qualifies a product as a Option that can be exercised into an Commodity."> inputs: @@ -1621,10 +1660,10 @@ func Qualify_Commodity_Swaption: <"Qualifies a product as a Swaption that can be set is_product: economicTerms -> payout -> optionPayout only exists and (Qualify_Commodity_Swap_Basis( - economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms + economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms ) = True or Qualify_Commodity_Swap_FixedFloat( - economicTerms -> payout -> optionPayout only-element -> underlier -> contractualProduct -> economicTerms + economicTerms -> payout -> optionPayout only-element -> underlier -> Product ->> economicTerms ) = True) func Qualify_Commodity_Forward: <"Qualifies a product as a Forward that will be settled with the physical delivery of a Commodity. The determination of the qualification is based on the economic terms and the following criteria: 1) One pricing Leg represented by either the FixedPricePayout or the CommodityPayout, 2) One physical Leg represented by the ForwardPayout, with an underlier that is a commodity, and 3) there are no other payout types."> @@ -1637,7 +1676,6 @@ func Qualify_Commodity_Forward: <"Qualifies a product as a Forward that will be [synonym ISDA_Taxonomy_v2 value "Commodity_Forward"] set is_product: Qualify_AssetClass_Commodity(economicTerms) = True - and ((economicTerms -> payout -> forwardPayout, economicTerms -> payout -> fixedPricePayout) only exists + and ((economicTerms -> payout -> settlementPayout, economicTerms -> payout -> fixedPricePayout) only exists or // Fixed Price Forward - (economicTerms -> payout -> forwardPayout, economicTerms -> payout -> commodityPayout) only exists) // Floating Price Forward - + (economicTerms -> payout -> settlementPayout, economicTerms -> payout -> commodityPayout) only exists) // Floating Price Forward diff --git a/rosetta-source/src/main/rosetta/product-template-enum.rosetta b/rosetta-source/src/main/rosetta/product-template-enum.rosetta index b4a4df5aa4..1dd2d3ec5a 100644 --- a/rosetta-source/src/main/rosetta/product-template-enum.rosetta +++ b/rosetta-source/src/main/rosetta/product-template-enum.rosetta @@ -40,11 +40,9 @@ enum RepoDurationEnum: <"A duration code for a Repo (or Securities Lending) tran Overnight <"Indicates that a contract is classified as overnight, meaning that there is one business day difference between the start and end date of the contract. Business rule: When the repo is overnight, the number of business days between the spot and forward value dates must be one. Forward leg must be specified."> Term <"Indicates that a contract is a regular term contract, with a start date and an end date. Business rule: When the repo is 'Term', both spot and forward legs must be specified."> -enum DurationTypeEnum: <"Specifies the duration type of the Security Lending transaction. e.g. Open or Term."> - // [deprecated] - Term <"Specifies a trade with a termination date."> - Open <"Specifies a trade with no termination date."> - Evergreen <"Specifies a trade where the term date is extended by a pre-determined period until a notice is serviced. Once the notice is served, the trade will not be reset again and goes to term."> +enum RepoTypeEnum: <"Repurchase transactions and buy/sell-backs are both types of repo; this enumerator helps differentiate the two."> + Repo <"In the case of a repurchase transaction, an immediate and equal income payment (often call a manufactured payment) is made by the buyer to the seller."> + BuySellBack displayName "Buy/Sell-Back" <"In the case of a buy/sell-back, there is no income payment between buyer and seller. Instead, the repurchase price to be paid on the repurchase date is reduced by the amount of the income payment on the collateral plus some extra interest to compensate the seller for the delay between the income payment date on the collateral and the repurchase date of the repo."> enum ExpirationTimeTypeEnum: <"The time of day at which the equity option expires, for example the official closing time of the exchange."> // OPTION GENERAL Close <"The official closing time of the exchange on the valuation date."> diff --git a/rosetta-source/src/main/rosetta/product-template-func.rosetta b/rosetta-source/src/main/rosetta/product-template-func.rosetta index 77650d8fdc..1768744795 100644 --- a/rosetta-source/src/main/rosetta/product-template-func.rosetta +++ b/rosetta-source/src/main/rosetta/product-template-func.rosetta @@ -8,6 +8,8 @@ import cdm.base.staticdata.party.* import cdm.observable.asset.* import cdm.observable.common.* +import cdm.event.common.* + func FilterTradeLot: <"Filter list of TradeLot based on TradeLot->lotIdentifier."> inputs: tradeLots TradeLot (0..*) <"List of TradeLots to filter."> @@ -110,7 +112,7 @@ func PriceQuantityTriangulation: <"Defines all the scenarios which triangulation func FpmlIrd8: <"FpML validation rule ird-8 - If the same party is specified as the payer and receiver, then different accounts must be specified."> inputs: - tradableProduct TradableProduct (1..1) + trade Trade (1..1) accounts Account (0..*) output: success boolean (1..1) <"Validation result"> diff --git a/rosetta-source/src/main/rosetta/product-template-type.rosetta b/rosetta-source/src/main/rosetta/product-template-type.rosetta index 2909600373..0c1494425f 100644 --- a/rosetta-source/src/main/rosetta/product-template-type.rosetta +++ b/rosetta-source/src/main/rosetta/product-template-type.rosetta @@ -23,21 +23,8 @@ import cdm.product.collateral.* import cdm.mapping.config.* -type ProductBase: <"Serves as an abstract class to specify a product using a productIdentifier."> - productTaxonomy ProductTaxonomy (0..*) <"Specifies the product taxonomy, which is composed of a taxonomy value and a taxonomy source."> - economicTerms EconomicTerms (1..1) <"The price forming features, including payouts and provisions."> - -type TransferableProduct extends Asset: <"A TransferableProduct is a type of Product which can be used in a SettlementCommitment for a basic cash settled trade of either an Asset with the addition of specific EconomicTerms."> - economicTerms EconomicTerms (1..1) <"The price forming features, including payouts and provisions."> - -type ContractualProduct extends ProductBase: <" A class to specify the contractual products' economic terms, alongside their product identification and product taxonomy. The contractual product class is meant to be used across the pre-execution, execution and (as part of the Contract) post-execution lifecycle contexts."> - [metadata key] - [metadata template] - productIdentifier ProductIdentifier (0..*) <"Comprises an identifier and a source."> - - condition PrimaryAssetClass: <"Specifies that when nonStandardisedTerms are True that a primary asset class must be specified."> - if economicTerms -> nonStandardisedTerms = True - then productTaxonomy -> primaryAssetClass exists +type TransferableProduct extends Asset: <"A TransferableProduct is a type of financial product which can be held or transferred, represented as an Asset with the addition of specific EconomicTerms."> + economicTerms EconomicTerms (1..1) <"The price forming features, including payouts and provisions."> type EconomicTerms: <" This class represents the full set of price-forming features associated with a contractual product: the payout component, the notional/quantity, the effective and termination date and the date adjustment provisions when applying uniformily across the payout components. This class also includes the legal provisions which have valuation implications: cancelable provision, extendible provision, early termination provision and extraordinary events specification."> @@ -56,7 +43,6 @@ type EconomicTerms: <" This class represents the full set of price-forming featu terminationProvision TerminationProvision (0..1) <"Contains optional provisions pertaining to the termination characteristics of a contract."> calculationAgent CalculationAgent (0..1) <"The ISDA calculation agent responsible for performing duties as defined in the applicable product definitions."> nonStandardisedTerms boolean (0..1) <"Specifies, when boolean value is True, that additional economic terms exist that have not been included in the product representation."> - // ICMA-P2 collateral Collateral (0..1) <"Represents the collateral obligations of a party."> condition FpML_cd_26_28: <"FpML validation rule cd-26 - If feeLeg/singlePayment/adjustablePaymentDate exists, then feeLeg/singlePayment/adjustablePaymentDate must be after generalTerms/effectiveDate/unadjustedDate. FpML validation rule cd-28 - If feeLeg/periodicPayment/firstPaymentDate exists, then feeLeg/periodicPayment/firstPaymentDate must be after generalTerms/effectiveDate/unadjustedDate. This data rule tackles those two FpML validation rules at once, as the singlePayment and the firstPayment have been represented through the same Payout/cashflow attribute."> @@ -96,15 +82,15 @@ type OptionPayout extends PayoutBase: <" The option payout specification terms. observationTerms ObservationTerms (0..1) <"Class containing terms that are associated with observing a price/benchmark/index across either single or multple observations. To be used for option contracts that reference a benchmark price."> schedule CalculationSchedule (0..1) <"Allows the full representation of a payout by defining a set of schedule periods. It supports standard schedule customization by expressing all the dates, quantities, and pricing data in a non-parametric way."> delivery AssetDeliveryInformation (0..1) <"Contains the information relative to the delivery of the asset."> - underlier Product (1..1) <"The product underlying the option, which can be of any type including ContractualProduct or Security."> + underlier Underlier (1..1) <"The financial product underlying the option, which can be of any type including an Asset, Basket, Index or a NonTransferableProduct."> optionType OptionTypeEnum (0..1) <"The type of option transaction. From a usage standpoint, put/call is the default option type, while payer/receiver indicator is used for options on index credit default swaps, consistently with the industry practice. Straddle is used for the case of straddle strategy, that combine a call and a put with the same strike."> exerciseTerms ExerciseTerms (1..1) <"The terms for exercising the option, which include the option style (e.g. American style option), the exercise procedure (e.g. manual exercise) and the settlement terms (e.g. physical vs. cash)."> strike OptionStrike (0..1) <"Specifies the strike of the option"> condition ClearedPhysicalSettlementExists: if settlementTerms -> physicalSettlementTerms exists - and underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout only exists - and underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout count = 2 + and underlier -> Product ->> economicTerms -> payout -> interestRatePayout exists + and underlier -> Product ->> economicTerms -> payout -> interestRatePayout count = 2 then settlementTerms -> physicalSettlementTerms -> clearedPhysicalSettlement exists condition DeliveryCapacity: <"Checks that only one of the representations of delivery capacity is present simultaneously."> @@ -138,6 +124,10 @@ type OptionPayout extends PayoutBase: <" The option payout specification terms. condition OptionStylePresent: <"This condition ensures that an optionPayout contains the style of option within its exercise terms."> exerciseTerms -> style exists + condition OptionTypePresent: <"This condition ensures that an option type is set when the underlier is not a non-transferable product."> + if underlier -> Product -> NonTransferableProduct is absent + then optionType exists + type ReturnTerms: <"Specifies the type of return of a performance payout."> priceReturnTerms PriceReturnTerms (0..1) <"Return terms based upon the underlier's observed price."> @@ -163,47 +153,50 @@ type PerformancePayout extends PayoutBase: <"Contains the necessary specificatio observationTerms ObservationTerms (0..1) <"Defines how and when a performance type option or performance type swap is to be observed."> valuationDates ValuationDates (1..1) <"Defines how and when a performance type option or performance type swap is to be valued, including both interim and final valuation."> paymentDates PaymentDates (1..1) <"Defines the payment date schedule, as defined by the parameters that are needed to specify it, either in a parametric way or by reference to another schedule of dates (e.g. the valuation dates)."> - underlier Product (0..1) <"Identifies the underlying product that is referenced for pricing of the applicable leg in a swap. Referenced in the '2018 ISDA CDM Equity Confirmation for Security Equity Swap' as Security."> + underlier Underlier (0..1) <"Identifies the underlying product that is referenced for pricing of the applicable leg in a swap. Referenced in the '2018 ISDA CDM Equity Confirmation for Security Equity Swap' as Security."> fxFeature FxFeature (0..*) <"Defines quanto or composite FX features that are included in the swap leg."> returnTerms ReturnTerms (0..1) <"Specifies the type of return of a performance payout."> portfolioReturnTerms PortfolioReturnTerms (0..*) <"Specifies an individual type of return of a Performance Payout, when such individual return is part of an aggregation of multiple similar returns, at Performance Payout level"> initialValuationPrice PriceSchedule (0..*) <"Specifies the net initial valuation price(s) of the underlier at Performance Payout level. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> - [metadata address "pointsTo"=PriceQuantity->price] + [metadata address "pointsTo"=PriceQuantity->price] interimValuationPrice PriceSchedule (0..*) <"Specifies the net initial valuation price(s) of the underlier at Performance Payout level. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> - [metadata address "pointsTo"=PriceQuantity->price] + [metadata address "pointsTo"=PriceQuantity->price] finalValuationPrice PriceSchedule (0..*) <"Specifies the net final valuation price(s) of the underlier at Performance Payout level. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> - [metadata address "pointsTo"=PriceQuantity->price] + [metadata address "pointsTo"=PriceQuantity->price] + + condition Underlier: <"The underlier on a performance payout can only be an observable."> + underlier -> Observable exists - condition PorfolioOrStraightReturn: <"Allowing for both returnTerms and portfolioReturnTerms to co-exist, would cause confusion by breaking the aggregation logic that is at parent node level."> - required choice returnTerms, portfolioReturnTerms + condition PortfolioOrStraightReturn: + required choice returnTerms, portfolioReturnTerms - condition PortofolioReturnIsMultipleReturns: <"No single portfolioReturnTerms instance shall exist because it would be a duplicate of straight returnTerms."> - if portfolioReturnTerms exists - then portfolioReturnTerms count > 1 + condition PortfolioReturnIsMultipleReturns: <"No single portfolioReturnTerms instance shall exist because it would be a duplicate of straight returnTerms."> + if portfolioReturnTerms exists + then portfolioReturnTerms count > 1 - condition UnderlierOfPortfolioIsBasket:<"A portfolio made of multiple individual legs in portfolio, is a strategy that consider the Basket in transparency, thus having a Basket as an underlier of the PerformancePayout that is aggregation level and multiple individual legs in portfolio, each with an underlier to correspond to each Basket consituent. This is particular usage of portfolio attribute, hence the condition, being aknowledged that other usages would not require Basket to exist at this level, for instance a dispersion strategy where 'N+1' multiple portfolio return legs would exist, '1' with underlier->Basket, other 'N' ones with single underliers, where the Basket is at same level as the other legs (therefore no aggregation shall exist via Basket at PerformancePayout level."> - if portfolioReturnTerms -> priceReturnTerms exists - then underlier -> basket only exists + condition UnderlierOfPortfolioIsBasket: <"A portfolio made of multiple individual legs in portfolio, is a strategy that consider the Basket in transparency, thus having a Basket as an underlier of the PerformancePayout that is aggregation level and multiple individual legs in portfolio, each with an underlier to correspond to each Basket consituent. This is particular usage of portfolio attribute, hence the condition, being aknowledged that other usages would not require Basket to exist at this level, for instance a dispersion strategy where 'N+1' multiple portfolio return legs would exist, '1' with underlier->Basket, other 'N' ones with single underliers, where the Basket is at same level as the other legs (therefore no aggregation shall exist via Basket at PerformancePayout level."> + if portfolioReturnTerms -> priceReturnTerms exists + then underlier -> Observable -> Basket exists condition Quantity: <"When there is an OptionPayout the quantity can be expressed as part of the payoutQuantity, or as part of the underlier in the case of a Swaption. For all other payouts that extend PayoutBase the payoutQuantity is a mandatory attribute."> priceQuantity exists condition NoSharePriceDividendAdjustmentIndex: <"If the underlier is an index, sharePriceAdjustment and sharePriceDividendAdjustment cannot exist."> - if underlier -> index exists + if underlier -> Observable -> Index exists then returnTerms -> varianceReturnTerms -> sharePriceDividendAdjustment is absent and returnTerms -> volatilityReturnTerms -> sharePriceDividendAdjustment is absent condition NoSharePriceDividendAdjustmentForeignExchange: <"If the underlier is an foreign exchange, sharePriceAdjustment and sharePriceDividendAdjustment cannot exist."> - if underlier -> foreignExchange exists + if underlier -> Observable -> Index -> ForeignExchangeRateIndex exists then returnTerms -> varianceReturnTerms -> sharePriceDividendAdjustment is absent and returnTerms -> volatilityReturnTerms -> sharePriceDividendAdjustment is absent condition CorrelationUnderlierOnlyBasket: <"Correlation Return Terms can only have a basket as underlier, since it needs to compute the correlation between two or more products."> if returnTerms -> correlationReturnTerms exists - then underlier -> basket only exists + then underlier -> Observable -> Basket exists condition EquitySpecificAttributes: <"Equity specific attributes cannot be present in non-equity products."> - if Qualify_UnderlierProduct_Equity(underlier) = False + if Qualify_UnderlierObservable_Equity(underlier -> Observable) = False then returnTerms -> varianceReturnTerms -> dividendApplicability is absent and returnTerms -> varianceReturnTerms -> equityUnderlierProvisions is absent and returnTerms -> varianceReturnTerms -> sharePriceDividendAdjustment is absent @@ -214,19 +207,20 @@ type PerformancePayout extends PayoutBase: <"Contains the necessary specificatio and returnTerms -> correlationReturnTerms -> equityUnderlierProvisions is absent and returnTerms -> correlationReturnTerms -> sharePriceDividendAdjustment is absent -type PortfolioReturnTerms extends ReturnTerms : <"Specifies an individual type of return of a Performance Payout, when such individual return is part of an aggregation of multiple similar returns, at Performance Payout level."> +type PortfolioReturnTerms extends ReturnTerms: <"Specifies an individual type of return of a Performance Payout, when such individual return is part of an aggregation of multiple similar returns, at Performance Payout level."> [metadata key] - payerReceiver PayerReceiver (1..1) <"Canonical representation of the payer and receiver parties applicable to each individual return leg."> - underlier Product (1..1) <"Defines the product that is the subject of a tradable product definition, an underlying product definition, a physical exercise, a position, or other purposes."> - quantity NonNegativeQuantitySchedule (0..1 ) <"Specifies a quantity schedule for the underlier, which applies to each individual return leg."> - [metadata address "pointsTo"=PriceQuantity->quantity] - initialValuationPrice PriceSchedule (0..*) <"Specifies the initial valuation price(s) of the underlier. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> - [metadata address "pointsTo"=PriceQuantity->price] - interimValuationPrice PriceSchedule (0..*) <"Specifies the initial valuation price(s) of the underlier. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> - [metadata address "pointsTo"=PriceQuantity->price] - finalValuationPrice PriceSchedule (0..*) <"2018 ISDA CDM Equity Confirmation for Security Equity Swap: Final Price | Specifies the final valuation price of the underlier. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> - [metadata address "pointsTo"=PriceQuantity->price] + payerReceiver PayerReceiver (1..1) <"Canonical representation of the payer and receiver parties applicable to each individual return leg."> + underlier Observable (1..1) <"Defines the product that is the subject of a tradable product definition, an underlying product definition, a physical exercise, a position, or other purposes."> + [metadata address "pointsTo"=PriceQuantity->observable] + quantity NonNegativeQuantitySchedule (0..1) <"Specifies a quantity schedule for the underlier, which applies to each individual return leg."> + [metadata address "pointsTo"=PriceQuantity->quantity] + initialValuationPrice PriceSchedule (0..*) <"Specifies the initial valuation price(s) of the underlier. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> + [metadata address "pointsTo"=PriceQuantity->price] + interimValuationPrice PriceSchedule (0..*) <"Specifies the initial valuation price(s) of the underlier. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> + [metadata address "pointsTo"=PriceQuantity->price] + finalValuationPrice PriceSchedule (0..*) <"2018 ISDA CDM Equity Confirmation for Security Equity Swap: Final Price | Specifies the final valuation price of the underlier. This price can be expressed either as an actual amount/currency, as a determination method, or by reference to another value specified in the swap document."> + [metadata address "pointsTo"=PriceQuantity->price] type Payout: <"Represents the set of future cashflow methodologies in the form of specific payout data type(s) which result from the financial product. Examples: a trade in a cash asset will use only a settlement payout; for derivatives, two interest rate payouts can be combined to specify an interest rate swap; one interest rate payout can be combined with a credit default payout to specify a credit default swap."> [metadata key] @@ -235,16 +229,11 @@ type Payout: <"Represents the set of future cashflow methodologies in the form o creditDefaultPayout CreditDefaultPayout (0..1) <"The credit default payout, which provides the details necessary for determining when a credit payout will be triggered as well as the parameters for calculating the payout and the settlement terms."> optionPayout OptionPayout (0..*) <"The option payout."> commodityPayout CommodityPayout (0..*) <"Defines the payout for the floating leg of a Commodity Swap."> - forwardPayout ForwardPayout (0..*) <"Represents a forward settling payout. The 'Underlier' attribute captures the underlying payout, which is settled according to the 'SettlementTerms' attribute. Both FX Spot and FX Forward should use this component."> + settlementPayout SettlementPayout (0..*) <"Represents a forward settling payout. The 'Underlier' attribute captures the underlying payout, which is settled according to the 'SettlementTerms' attribute. Both FX Spot and FX Forward should use this component."> fixedPricePayout FixedPricePayout (0..*) <"Defines a payout in which one or more payouts are defined as a fixed price."> cashflow Cashflow (0..*) <"A cashflow between the parties to the trade. For interest rate and equity products, this corresponds to the FpML additionalPayment element. For credit default swaps, this corresponds to the FpML initialPayment element and the singlePayment element of the fee leg. For option products, it represents the FpML premium element."> performancePayout PerformancePayout (0..*) <"The performance payout, which encompasses the equity price returns, dividend returns, volatility return, variance return and correlation provisions."> assetPayout AssetPayout (0..*) <"Defines the assets and movements in a security financing transaction."> - settlementPayout SettlementPayout (0..1) <"Defines the commitment to settle a trade in a TransferableProduct."> - - condition SettlementPayoutIsExclusive: <"A SettlementPayout can only be used on its own."> - if settlementPayout exists - then settlementPayout only exists condition ReturnType_Total_Requires_Dividends: <"A total return implies both a price and a dividend return"> if performancePayout -> returnTerms -> priceReturnTerms -> returnType all = ReturnTypeEnum -> Total @@ -270,7 +259,7 @@ type Payout: <"Represents the set of future cashflow methodologies in the form o condition Quantity: <"When there is an OptionPayout the quantity can be expressed as part of the payoutQuantity, or as part of the underlier in the case of a Swaption. For all other payouts that extend PayoutBase the payoutQuantity is a mandatory attribute."> if optionPayout exists then optionPayout -> priceQuantity exists - or optionPayout -> underlier -> contractualProduct -> economicTerms -> payout -> interestRatePayout count = 2 + or optionPayout -> underlier -> Product ->> economicTerms -> payout -> interestRatePayout count = 2 condition DayCountFraction: <"FpML specifies a required dayCountFraction element as part of the swapStream/calculationPeriodAmount/calculation. As standardized CDS don't have such specified day count fraction, the cardinality has been relaxed as part of the CDM. This data rule specifies that if the product has two interest rate streams, this provision must exist."> if interestRatePayout count = 2 @@ -290,7 +279,7 @@ type Payout: <"Represents the set of future cashflow methodologies in the form o and assetPayout -> priceQuantity -> reset is absent and commodityPayout -> priceQuantity -> reset is absent and fixedPricePayout -> priceQuantity -> reset is absent - and forwardPayout -> priceQuantity -> reset is absent + and settlementPayout -> priceQuantity -> reset is absent and optionPayout -> priceQuantity -> reset is absent and cashflow -> priceQuantity -> reset is absent @@ -298,28 +287,24 @@ type Payout: <"Represents the set of future cashflow methodologies in the form o if performancePayout -> priceQuantity -> reset contains True then interestRatePayout exists -type SettlementPayout extends PayoutBase: <"This is a payout data type used to define the commitment to settle a trade in an Asset or TransferableProduct. Examples: a purchase of a cash security; an FX trade, either spot or forward."> - underlier Underlier (1..1) <"A transferable Asset with or without the addition of specific EconomicTerms."> +choice Underlier: <"The underlying financial product that will be physically or cash settled, which can be of any type, eg an asset such as cash or a security, a product, or the cash settlement of an index rate. Conditions are usually applied when used in a data type, such as a payout, to ensure this aligns with the use case."> + Observable <"Specifies the object to be observed for a price, it could be an asset or a reference."> + [metadata address "pointsTo"=PriceQuantity->observable] + Product <"Enables either a TransferableProduct or a NonTransferableProduct to be used in an underlier."> -choice Underlier: <"The underlier of a payout which can be either an Asset or a Transferable Product, which is an Asset with Economic Terms."> - Asset <"Identifies a transferable asset."> - TransferableProduct <"Defines the transferable asset with an identifier and economic terms."> +choice Product: <"Enables either a TransferableProduct or a NonTransferableProduct to be used in an underlier."> + TransferableProduct <"A TransferableProduct is a type of financial product which can be held or transferred, represented as an Asset with the addition of specific EconomicTerms."> + NonTransferableProduct <"The non-transferable product data type represents a product that can be traded (as part of a TradableProduct) but cannot be transferred to others."> -type Product: <"Defines the product that is the subject of a tradable product definition, an underlying product definition, a physical exercise, a position, or other purposes."> +type NonTransferableProduct: <"A data type to specify the financial product's economic terms, alongside the product identification and product taxonomy. The non-transferable product data type represents a product that can be traded (as part of a TradableProduct) but cannot be transferred to others. It is meant to be used across the pre-execution, execution and (as part of the Contract) post-execution lifecycle contexts."> [metadata key] + identifier ProductIdentifier (0..*) <"Comprises a identifier and a source to uniquely identify the nonTransferableProduct. "> + taxonomy ProductTaxonomy (0..*) <"Specifies the product taxonomy, which is composed of a taxonomy value and a taxonomy source."> + economicTerms EconomicTerms (1..1) <"The price forming features, including payouts and provisions."> - contractualProduct ContractualProduct (0..1) <"Specifies the contractual product's economic terms, product identifier, and product taxonomy."> - index Index (0..1) <"Identifies an index by referencing a product identifier."> - loan Loan (0..1) <"Identifies a loan by referencing a product identifier and an optional set of attributes."> - foreignExchange ForeignExchange (0..1) <"Defines a foreign exchange spot or forward transaction."> - commodity Commodity (0..1) <"Identifies a commodity by referencing a product identifier."> - //**ART** - // [metadata address "pointsTo"=Observable->commodity] - security Security (0..1) <"Identifies a security by referencing a product identifier and a security type, plus an optional set of attributes."> - basket Basket (0..1) <"Identifies a custom basket by referencing a product identifier and its constituents."> - - condition: - one-of + condition PrimaryAssetClass: <"Specifies that when nonStandardisedTerms are True that a primary asset class must be specified."> + if economicTerms -> nonStandardisedTerms = True + then taxonomy -> primaryAssetClass exists type TradeLot: <"Specifies the price and quantity of a trade lot, where the same product could be traded multiple times with the same counterparty but in different lots (at a different date, in a different quantity and at a different price). One trade lot combined with a product definition specifies the entire economics of a trade. The lifecycle mechanics of each such trade lot (e.g. cashflow payments) is independent of the other lots."> lotIdentifier Identifier (0..*) <"Specifies one or more identifiers for the lot, if any."> @@ -327,7 +312,7 @@ type TradeLot: <"Specifies the price and quantity of a trade lot, where the same type TradableProduct: <"Definition of a product as ready to be traded, i.e. included in an execution or contract, by associating a specific price and quantity to this product plus an (optional) mechanism for any potential future quantity adjustment."> - product Product (1..1) <"The underlying product to be included in a contract or execution."> + product NonTransferableProduct (1..1) <"The underlying product to be included in a contract or execution."> tradeLot TradeLot (1..*) <"Specifies the price, quantity and effective date of each trade lot, when the same product may be traded multiple times in different lots with the same counterparty. In a trade increase, a new trade lot is added to the list, with the corresponding effective date. In a trade decrease, the existing trade lot(s) are decreased of the corresponding quantity (and an unwind fee may have to be settled). The multiple cardinality and the ability to increase existing trades is used for Equity Swaps in particular."> counterparty Counterparty (2..2) <"Specifies the parties which are the two counterparties to the transaction. The product is agnostic to the actual parties to the transaction, with the party references abstracted away from the product definition and replaced by the counterparty enum (e.g. CounterpartyEnum values Party1 or Party2). The counterparty enum can then be positioned in the product (e.g. to specify which counterparty is the payer, receiver etc) and this counterparties attribute, which is positioned outside of the product definition, allows the counterparty enum to be associated with an actual party reference."> [docReference ICMA GMRA namingConvention "Party" @@ -340,69 +325,69 @@ type TradableProduct: <"Definition of a product as ready to be traded, i.e. incl condition NotionalAdjustment: <"As the adjustment attribute applies to return swaps, the equity payout needs to be present alongside it."> if adjustment exists - then product -> contractualProduct -> economicTerms -> payout -> performancePayout -> returnTerms -> priceReturnTerms exists - or product -> contractualProduct -> economicTerms -> payout -> performancePayout exists + then product -> economicTerms -> payout -> performancePayout -> returnTerms -> priceReturnTerms exists + or product -> economicTerms -> payout -> performancePayout exists condition PerformancePayout_ExtraordinaryDividendsParty: - if product -> contractualProduct -> economicTerms -> payout -> performancePayout -> returnTerms -> dividendReturnTerms -> extraordinaryDividendsParty exists + if product -> economicTerms -> payout -> performancePayout -> returnTerms -> dividendReturnTerms -> extraordinaryDividendsParty exists then ancillaryParty -> role contains AncillaryRoleEnum -> ExtraordinaryDividendsParty and if ancillaryParty -> role contains AncillaryRoleEnum -> ExtraordinaryDividendsParty - then product -> contractualProduct -> economicTerms -> payout -> performancePayout -> returnTerms -> dividendReturnTerms -> extraordinaryDividendsParty exists + then product -> economicTerms -> payout -> performancePayout -> returnTerms -> dividendReturnTerms -> extraordinaryDividendsParty exists condition OptionPayout_PredeterminedClearingOrganizationParty: - if product -> contractualProduct -> economicTerms -> payout -> optionPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists + if product -> economicTerms -> payout -> optionPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists then ancillaryParty -> role contains AncillaryRoleEnum -> PredeterminedClearingOrganizationParty condition ForwardPayout_PredeterminedClearingOrganizationParty: - if product -> contractualProduct -> economicTerms -> payout -> forwardPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists + if product -> economicTerms -> payout -> settlementPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists then ancillaryParty -> role contains AncillaryRoleEnum -> PredeterminedClearingOrganizationParty condition PredeterminedClearingOrganizationParty: if ancillaryParty -> role contains AncillaryRoleEnum -> PredeterminedClearingOrganizationParty - then product -> contractualProduct -> economicTerms -> payout -> forwardPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists - or product -> contractualProduct -> economicTerms -> payout -> optionPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists + then product -> economicTerms -> payout -> settlementPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists + or product -> economicTerms -> payout -> optionPayout -> settlementTerms -> physicalSettlementTerms -> predeterminedClearingOrganizationParty exists condition ExerciseNoticeReceiverPartyManual: - if product -> contractualProduct -> economicTerms -> payout -> optionPayout -> exerciseTerms -> exerciseProcedure -> manualExercise -> exerciseNotice -> exerciseNoticeReceiver exists + if product -> economicTerms -> payout -> optionPayout -> exerciseTerms -> exerciseProcedure -> manualExercise -> exerciseNotice -> exerciseNoticeReceiver exists then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyManual and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyManual - then product -> contractualProduct -> economicTerms -> payout -> optionPayout -> exerciseTerms -> exerciseProcedure -> manualExercise -> exerciseNotice -> exerciseNoticeReceiver exists + then product -> economicTerms -> payout -> optionPayout -> exerciseTerms -> exerciseProcedure -> manualExercise -> exerciseNotice -> exerciseNoticeReceiver exists condition ExerciseNoticeReceiverPartyOptionalEarlyTermination: - if product -> contractualProduct -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseNotice -> exerciseNoticeReceiver exists + if product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseNotice -> exerciseNoticeReceiver exists then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyOptionalEarlyTermination and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyOptionalEarlyTermination - then product -> contractualProduct -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseNotice -> exerciseNoticeReceiver exists + then product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> exerciseNotice -> exerciseNoticeReceiver exists condition ExerciseNoticeReceiverPartyCancelableProvision: - if product -> contractualProduct -> economicTerms -> terminationProvision -> cancelableProvision -> exerciseNotice -> exerciseNoticeReceiver exists + if product -> economicTerms -> terminationProvision -> cancelableProvision -> exerciseNotice -> exerciseNoticeReceiver exists then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyCancelableProvision and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyCancelableProvision - then product -> contractualProduct -> economicTerms -> terminationProvision -> cancelableProvision -> exerciseNotice -> exerciseNoticeReceiver exists + then product -> economicTerms -> terminationProvision -> cancelableProvision -> exerciseNotice -> exerciseNoticeReceiver exists condition ExerciseNoticeReceiverPartyExtendibleProvision: - if product -> contractualProduct -> economicTerms -> terminationProvision -> extendibleProvision -> exerciseNotice -> exerciseNoticeReceiver exists + if product -> economicTerms -> terminationProvision -> extendibleProvision -> exerciseNotice -> exerciseNoticeReceiver exists then ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyExtendibleProvision and if ancillaryParty -> role contains AncillaryRoleEnum -> ExerciseNoticeReceiverPartyExtendibleProvision - then product -> contractualProduct -> economicTerms -> terminationProvision -> extendibleProvision -> exerciseNotice -> exerciseNoticeReceiver exists + then product -> economicTerms -> terminationProvision -> extendibleProvision -> exerciseNotice -> exerciseNoticeReceiver exists condition CalculationAgentIndependent: - if product -> contractualProduct -> economicTerms -> calculationAgent -> calculationAgentParty exists + if product -> economicTerms -> calculationAgent -> calculationAgentParty exists then ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentIndependent and if ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentIndependent - then product -> contractualProduct -> economicTerms -> calculationAgent -> calculationAgentParty exists + then product -> economicTerms -> calculationAgent -> calculationAgentParty exists condition CalculationAgentOptionalEarlyTermination: - if product -> contractualProduct -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> calculationAgent -> calculationAgentParty exists + if product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> calculationAgent -> calculationAgentParty exists then ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentOptionalEarlyTermination and if ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentOptionalEarlyTermination - then product -> contractualProduct -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> calculationAgent -> calculationAgentParty exists + then product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> optionalEarlyTermination -> calculationAgent -> calculationAgentParty exists condition CalculationAgentMandatoryEarlyTermination: - if product -> contractualProduct -> economicTerms -> terminationProvision -> earlyTerminationProvision -> mandatoryEarlyTermination -> calculationAgent -> calculationAgentParty exists + if product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> mandatoryEarlyTermination -> calculationAgent -> calculationAgentParty exists then ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentMandatoryEarlyTermination and if ancillaryParty -> role contains AncillaryRoleEnum -> CalculationAgentMandatoryEarlyTermination - then product -> contractualProduct -> economicTerms -> terminationProvision -> earlyTerminationProvision -> mandatoryEarlyTermination -> calculationAgent -> calculationAgentParty exists + then product -> economicTerms -> terminationProvision -> earlyTerminationProvision -> mandatoryEarlyTermination -> calculationAgent -> calculationAgentParty exists type ConstituentWeight: <"A class describing the weight of each of the underlier constituent within the basket, either in absolute or relative terms."> @@ -413,31 +398,28 @@ type ConstituentWeight: <"A class describing the weight of each of the underlier if basketPercentage exists then basketPercentage >= 0.0 and basketPercentage <= 1.0 -type ForwardPayout extends PayoutBase: <"Represents a forward settling payout. The underlier attribute captures the underlying payout, which is settled according to the settlementTerms attribute (which is part of PayoutBase). Both FX Spot and FX Forward should use this component."> +type SettlementPayout extends PayoutBase: <"Represents a forward settling payout. The underlier attribute captures the underlying payout, which is settled according to the settlementTerms attribute (which is part of PayoutBase). Both FX Spot and FX Forward should use this component."> [metadata key] - underlier Product (1..1) <"Underlying product that the forward is written on, which can be of any type: FX, a contractual product, a security, etc."> + underlier Underlier (1..1) <"The underlying financial product that will be physically or cash settled, which can be of any type, eg an asset such as cash or a security, or the cash settlement of an index rate."> deliveryTerm string (0..1) <"Also called contract month or delivery month. However, it's not always a month. It is usually expressed using a code, e.g. Z23 would be the Dec 2023 contract, (Z = December). For crude oil, the corresponding contract might be called CLZ23."> delivery AssetDeliveryInformation (0..1) <"Contains the information relative to the delivery of the asset."> schedule CalculationSchedule (0..1) <"Allows the full representation of a payout by defining a set of schedule periods. It supports standard schedule customization by expressing all the dates, quantities, and pricing data in a non-parametric way."> - condition SettlementTerms: <"For foreign exchange contracts, the settlement terms must exist."> - if underlier -> index -> ForeignExchangeRate exists - then settlementTerms exists + condition Underlier: <"The underlier for a settlement payout cannot be a NonTransferableProduct."> + underlier -> Product -> NonTransferableProduct is absent - condition SettlementDate: <"For foreign exchange contracts, either the settlementDate is set or the cashflowDates, but not both. When the cashflowDates are set, they must be the same for the 2 legs of the currency pair."> - if underlier -> index -> ForeignExchangeRate exists - then (settlementTerms -> settlementDate -> valueDate exists - and underlier -> foreignExchange -> exchangedCurrency1 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate is absent - and underlier -> foreignExchange -> exchangedCurrency2 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate is absent) - or (settlementTerms -> settlementDate -> valueDate is absent - and underlier -> foreignExchange -> exchangedCurrency1 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate exists - and underlier -> foreignExchange -> exchangedCurrency2 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate exists - and underlier -> foreignExchange -> exchangedCurrency1 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate = underlier -> foreignExchange -> exchangedCurrency2 -> settlementTerms -> settlementDate -> adjustableOrRelativeDate) + condition Basket: <"If the underlier is a basket, it must contain only transferable assets."> + if underlier -> Observable -> Basket exists + then underlier -> Observable -> Basket -> basketConstituent -> Asset only exists - condition FxSettlement: <"For foreign exchange contracts, the settlement type must be either fx non-deliverable settlement or not specified, which implies physical settlement in the case of foreign exchange."> - if underlier -> foreignExchange exists - then settlementTerms -> physicalSettlementTerms is absent + condition Index: <"If the underlier is an Index, then it can only be cash settled."> + if underlier -> Observable -> Index exists + then settlementTerms -> cashSettlementTerms exists + + condition SettlementTerms: <"Settlement Terms should be defined except for cash."> + if underlier -> Observable -> Asset -> Cash exists + then settlementTerms exists condition DeliveryCapacity: <"Checks that only one of the representations of delivery capacity is present simultaneously."> if delivery -> deliveryCapacity exists @@ -869,31 +851,21 @@ type StrikeSchedule extends RateSchedule: <"A class describing a schedule of cap buyer PayerReceiverEnum (0..1) <"The buyer of the option."> seller PayerReceiverEnum (0..1) <"The party that has sold."> -type CalculationAgentModel: <"This class corresponds to the FpML CalculationAgent.model."> - [deprecated] - - calculationAgent CalculationAgent (0..1) <"The ISDA calculation agent responsible for performing duties as defined in the applicable product definitions."> - calculationAgentBusinessCenter BusinessCenterEnum (0..1) <"The city in which the office through which ISDA Calculation Agent is acting for purposes of the transaction is located. The short-form confirm for a trade that is executed under a Sovereign or Asia-Pacific Master Confirmation Agreement (MCA), does not need to specify the Calculation Agent. However, the confirm does need to specify the Calculation Agent city. This is due to the fact that the MCA sets the value for Calculation Agent but does not set the value for Calculation Agent city."> - type AssetPayout extends PayoutBase: <"Security finance payout specification in case the product payout involves some form of security collateral, as in a securities financing transaction. Plus additional description for ICMA."> [metadata key] assetLeg AssetLeg (1..*) <"Defines each asset movement as a buy/sell at different dates, typically 1 near leg and 1 far leg in a securities financing transaction."> - securityInformation Product (1..1) <"Specifies the Purchased Security. Within SecurityPayout we include a condition which validates that the product must be a Security (see below condition 'ProductMustBeSecurity')."> - durationType Duration (1..1) <"Specifies the Duration Terms of the Security Finance transaction. e.g. Open or Term."> - [deprecated] + underlier Asset (1..1) <"Specifies the Purchased Asset, usually a Security."> + // [metadata address "pointsTo"=PriceQuantity->observable->Asset->Instrument->Security] minimumFee Money (0..1) <"A contractual minimum amount which the borrower will pay, regardless of the duration of the loan. A mechanism for making sure that a trade generates enough income."> dividendTerms DividendTerms (0..1) <"Specifies the terms under which dividends received by the borrower are passed through to the lender."> + repoType RepoTypeEnum (0..1) <"Repurchase transactions and buy/sell-backs are both types of repo; this enumerator helps differentiate the two."> condition Quantity: <"When there is an OptionPayout the quantity can be expressed as part of the payoutQuantity, or as part of the underlier in the case of a Swaption. For all other payouts that extend PayoutBase the payoutQuantity is a mandatory attribute."> priceQuantity exists - condition ProductMustBeSecurity: <"Validates that the Purchased Security must be a security."> - securityInformation -> security exists - - condition DividendTermsValidation: <"Validates that if the transaction has Dividend Terms specified then the Duration should be Term."> - if dividendTerms exists - then durationType -> durationType = DurationTypeEnum -> Term + condition UnderlierNotCash: <"The purchased asset in an assetPayout should not be cash."> + underlier -> Cash is absent type DividendTerms: <"Information related to dividends and payments."> manufacturedIncomeRequirement DividendPayoutRatio (1..1) <"Specifies the proportion of the value of the dividend on the borrowed shares that the borrower is legally obligated to return to the lender."> @@ -904,11 +876,6 @@ type AssetLeg: <"Defines each asset movement of an asset payout."> settlementDate AdjustableOrRelativeDate (1..1) <"Specifies the settlement date of securities. In a repo transaction the purchase date would always be the effective date as specified under Economic Terms, the repurchase date would always be the termination date as specified under Economic Terms."> deliveryMethod DeliveryMethodEnum (1..1) <"Specifies a delivery method for the security transaction."> -type Duration: <"Specifies the Duration Terms of the Security Financing Transaction, and optionally any Evergreen terms."> - [deprecated] - durationType DurationTypeEnum (1..1) <"Specifies the Duration Terms of the Security Financing transaction. e.g. Open or Term."> - evergreenProvision EvergreenProvision (0..1) <"A data defining: the right of a party to exercise an Evergreen option"> - type EvergreenProvision: <"Specifies a transaction which automatically extends for a specified timeframe until the exercise of an embedded option."> singlePartyOption PartyRole (0..1) <"If evergreen termination is not available to both parties then this component specifies the buyer and seller of the option."> noticePeriod RelativeDateOffset (1..1) <"The length of each evergreen extension period relative to the effective date of the preceding contract."> @@ -916,4 +883,3 @@ type EvergreenProvision: <"Specifies a transaction which automatically extends f noticeDeadlineDateTime zonedDateTime (0..1) <"A specific date and time for the notice deadline"> extensionFrequency AdjustableRelativeOrPeriodicDates (1..1) <"The frequency with which the evergreen contract will be extended if notice is not given."> finalPeriodFeeAdjustment Price (0..1) <"An optional adjustment to the rate for the last period of the evergreen i.e. the period from when notice is given to stop rolling the contract through to the termination date."> - diff --git a/rosetta-source/src/test/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessorTest.java b/rosetta-source/src/test/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessorTest.java index 0e969a593a..478b7dfd18 100644 --- a/rosetta-source/src/test/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessorTest.java +++ b/rosetta-source/src/test/java/cdm/base/staticdata/party/processor/TradeSideToPartyMappingProcessorTest.java @@ -12,10 +12,8 @@ import java.util.Arrays; import java.util.Collections; import java.util.List; -import java.util.Optional; import static org.junit.jupiter.api.Assertions.assertEquals; -import static org.junit.jupiter.api.Assertions.assertNull; class TradeSideToPartyMappingProcessorTest { @@ -25,12 +23,8 @@ class TradeSideToPartyMappingProcessorTest { private static final String PARTY_B = "partyB"; private static final String NOT_MAPPED_ERROR = "Not mapped"; - // model path is outside tradableProduct.product - private RosettaPath OUTSIDE_PRODUCT_PATH = RosettaPath.valueOf("WorkflowStep.businessEvent.primitives(0).termsChange.after." - + "execution.collateral.independentAmount"); - // model path is outside tradableProduct.product - private RosettaPath INSIDE_PRODUCT_PATH = RosettaPath.valueOf("WorkflowStep.businessEvent.primitives(0).termsChange.after." - + "execution.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).payerReceiver"); + // model path is outside product + private RosettaPath PRODUCT_PATH = RosettaPath.valueOf("WorkflowStep.businessEvent.after(0).collateral.independentAmount"); private MappingContext mappingContext; @@ -52,7 +46,7 @@ void shouldMapTradeSide1ToPartyA() { Path synonymPath = Path.parse("TrdCaptRpt.Instrmt.SecXML.FpML.trade.swap.swapStream[1].payerPartyReference"); TradeSideToPartyMappingProcessor processor = - new TradeSideToPartyMappingProcessor(OUTSIDE_PRODUCT_PATH, Collections.emptyList(), mappingContext); + new TradeSideToPartyMappingProcessor(PRODUCT_PATH, Collections.emptyList(), mappingContext); processor.map(synonymPath, builder, null); assertEquals(PARTY_A, builder.getExternalReference()); @@ -64,25 +58,12 @@ void shouldMapTradeSide2ToPartyB() { Path synonymPath = Path.parse("TrdCaptRpt.Instrmt.SecXML.FpML.trade.swap.swapStream[1].receiverPartyReference"); TradeSideToPartyMappingProcessor processor = - new TradeSideToPartyMappingProcessor(OUTSIDE_PRODUCT_PATH, Collections.emptyList(), mappingContext); + new TradeSideToPartyMappingProcessor(PRODUCT_PATH, Collections.emptyList(), mappingContext); processor.map(synonymPath, builder, null); assertEquals(PARTY_B, builder.getExternalReference()); } - @Test - void shouldNotMapTradeSideForPathOutsideProductPath() { - ReferenceWithMetaPartyBuilder builder = ReferenceWithMetaParty.builder(); - - Path synonymPath = Path.parse("TrdCaptRpt.Instrmt.SecXML.FpML.trade.swap.swapStream[1].payerPartyReference"); - TradeSideToPartyMappingProcessor processor = - new TradeSideToPartyMappingProcessor(INSIDE_PRODUCT_PATH, Collections.emptyList(), mappingContext); - processor.map(synonymPath, builder, null); - - assertNull(builder.getExternalReference()); - } - - private Mapping getErrorMapping(Path xmlPath, String xmlValue, Object rosettaValue, String error) { return new Mapping(xmlPath, xmlValue, null, rosettaValue, error, false, false, false); } diff --git a/rosetta-source/src/test/java/cdm/event/position/functions/FxMarkToMarketTest.java b/rosetta-source/src/test/java/cdm/event/position/functions/FxMarkToMarketTest.java index 93138652d3..cde7741bf5 100644 --- a/rosetta-source/src/test/java/cdm/event/position/functions/FxMarkToMarketTest.java +++ b/rosetta-source/src/test/java/cdm/event/position/functions/FxMarkToMarketTest.java @@ -4,8 +4,8 @@ import cdm.base.math.UnitType; import cdm.event.common.Trade; import cdm.observable.asset.Price; +import cdm.observable.asset.PriceQuantity; import cdm.observable.asset.PriceTypeEnum; -import cdm.product.common.settlement.PriceQuantity; import cdm.product.template.*; import com.google.inject.Binder; import com.google.inject.Inject; @@ -28,7 +28,7 @@ protected void bindTestingMocks(Binder binder) { // set up the interpolateForwardRate to always return 1.5 binder.bind(InterpolateForwardRate.class).toInstance(new InterpolateForwardRate() { @Override - protected BigDecimal doEvaluate(ForwardPayout forward) { + protected BigDecimal doEvaluate(SettlementPayout settlementPayout) { return BigDecimal.valueOf(1.5); } }); @@ -68,21 +68,19 @@ private static Trade createFxFwdContract(String curr1, String curr2, int quantit .setCurrency(FieldWithMetaString.builder() .setValue(curr2))); return Trade.builder() - .setTradableProduct(TradableProduct.builder() - .setProduct(Product.builder() - .setContractualProduct(ContractualProduct.builder() - .setEconomicTerms(EconomicTerms.builder() - .setPayout(Payout.builder() - .addForwardPayout(ForwardPayout.builder()))))) - .addTradeLot(TradeLot.builder() - .addPriceQuantity(PriceQuantity.builder() - .addQuantityValue(quantity1) - .addQuantityValue(quantity2) - .addPriceValue(Price.builder() - .setValue(BigDecimal.valueOf(1.234)) - .setUnit(UnitType.builder().setCurrencyValue(curr1)) - .setPerUnitOf(UnitType.builder().setCurrencyValue(curr2)) - .setPriceType(PriceTypeEnum.EXCHANGE_RATE))))) + .setProduct(NonTransferableProduct.builder() + .setEconomicTerms(EconomicTerms.builder() + .setPayout(Payout.builder() + .addSettlementPayout(SettlementPayout.builder())))) + .addTradeLot(TradeLot.builder() + .addPriceQuantity(PriceQuantity.builder() + .addQuantityValue(quantity1) + .addQuantityValue(quantity2) + .addPriceValue(Price.builder() + .setValue(BigDecimal.valueOf(1.234)) + .setUnit(UnitType.builder().setCurrencyValue(curr1)) + .setPerUnitOf(UnitType.builder().setCurrencyValue(curr2)) + .setPriceType(PriceTypeEnum.EXCHANGE_RATE)))) .build(); } diff --git a/rosetta-source/src/test/java/cdm/event/position/functions/ResolvePerformanceObservationIdentifiersTest.java b/rosetta-source/src/test/java/cdm/event/position/functions/ResolvePerformanceObservationIdentifiersTest.java index fb65433135..64912bd829 100644 --- a/rosetta-source/src/test/java/cdm/event/position/functions/ResolvePerformanceObservationIdentifiersTest.java +++ b/rosetta-source/src/test/java/cdm/event/position/functions/ResolvePerformanceObservationIdentifiersTest.java @@ -27,7 +27,7 @@ public class ResolvePerformanceObservationIdentifiersTest extends AbstractFuncti void setUpTestData() throws IOException { TradeState tradeState = getObjectAndResolveReferences(TradeState.class, "result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json"); - performancePayout = tradeState.getTrade().getTradableProduct().getProduct().getContractualProduct().getEconomicTerms().getPayout().getPerformancePayout().get(0); + performancePayout = tradeState.getTrade().getProduct().getEconomicTerms().getPayout().getPerformancePayout().get(0); } @Test diff --git a/rosetta-source/src/test/java/cdm/legaldocumentation/contract/processor/PartyMappingHelperTest.java b/rosetta-source/src/test/java/cdm/legaldocumentation/contract/processor/PartyMappingHelperTest.java index 4e59081fb0..61c4d37444 100644 --- a/rosetta-source/src/test/java/cdm/legaldocumentation/contract/processor/PartyMappingHelperTest.java +++ b/rosetta-source/src/test/java/cdm/legaldocumentation/contract/processor/PartyMappingHelperTest.java @@ -35,9 +35,9 @@ class PartyMappingHelperTest { private static final Path RECEIVER_XML_PATH = Path.parse("dataDocument.trade.swap.swapStream[0].receiverPartyReference.href"); private static final RosettaPath PAYER_MODEL_PATH = RosettaPath.valueOf( - "Contract.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).payerReceiver.payer"); + "Trade.product.economicTerms.payout.interestRatePayout(0).payerReceiver.payer"); private static final RosettaPath RECEIVER_MODEL_PATH = RosettaPath.valueOf( - "Contract.tradableProduct.product.contractualProduct.economicTerms.payout.interestRatePayout(0).payerReceiver.receiver"); + "Trade.product.economicTerms.payout.interestRatePayout(0).payerReceiver.receiver"); private static final String PAYER_PARTY_REF = "p1"; private static final String RECEIVER_PARTY_REF = "p2"; diff --git a/rosetta-source/src/test/java/cdm/observable/asset/calculatedrate/functions/EvaluateCalculatedRateTest.java b/rosetta-source/src/test/java/cdm/observable/asset/calculatedrate/functions/EvaluateCalculatedRateTest.java index ddedb55d33..b0023ce722 100644 --- a/rosetta-source/src/test/java/cdm/observable/asset/calculatedrate/functions/EvaluateCalculatedRateTest.java +++ b/rosetta-source/src/test/java/cdm/observable/asset/calculatedrate/functions/EvaluateCalculatedRateTest.java @@ -3,8 +3,8 @@ import cdm.base.datetime.BusinessCenterEnum; import cdm.base.datetime.daycount.DayCountFractionEnum; import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum; -import cdm.base.staticdata.asset.rates.metafields.FieldWithMetaFloatingRateIndexEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; +import cdm.observable.asset.InterestRateIndex; import cdm.observable.asset.calculatedrate.CalculatedRateDetails; import cdm.observable.asset.calculatedrate.FloatingRateCalculationParameters; import cdm.observable.asset.fro.functions.IndexValueObservation; @@ -28,77 +28,77 @@ public class EvaluateCalculatedRateTest extends AbstractFunctionTest { - @Inject - private EvaluateCalculatedRate func; + @Inject + private EvaluateCalculatedRate func; - @Inject - private IndexValueObservationMultiple indexVal; + @Inject + private IndexValueObservationMultiple indexVal; - @Override - protected void bindTestingMocks(Binder binder) { - binder.bind(IndexValueObservation.class).toInstance(initIndexData(initFro())); - } + @Override + protected void bindTestingMocks(Binder binder) { + binder.bind(IndexValueObservation.class).toInstance(initIndexData(initFro())); + } - @Test - void shouldHandleBasicOISStyle() { - FloatingRateCalculationParameters calculationParams = initCalcParameters(true, BusinessCenterEnum.GBLO, CalcMethod.OIS, 0, null, false, false, false); - Date st = Date.of(2021, 9, 10); - Date end = Date.of(2021, 12, 10); - CalculationPeriodBase calculationPeriod = period(st, end); - DayCountFractionEnum dcf = DayCountFractionEnum.ACT_360; - FloatingRateOption.FloatingRateOptionBuilder fro = FloatingRateOption.builder(). - setFloatingRateIndex(FieldWithMetaFloatingRateIndexEnum.builder(). - setValue(FloatingRateIndexEnum.USD_PRIME_H_15) - .build()); + @Test + void shouldHandleBasicOISStyle() { + FloatingRateCalculationParameters calculationParams = initCalcParameters(true, BusinessCenterEnum.GBLO, CalcMethod.OIS, 0, null, false, false, false); + Date st = Date.of(2021, 9, 10); + Date end = Date.of(2021, 12, 10); + CalculationPeriodBase calculationPeriod = period(st, end); + DayCountFractionEnum dcf = DayCountFractionEnum.ACT_360; + FloatingRateIndex.FloatingRateIndexBuilder fro = FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.USD_PRIME_H_15) + .build()); - List calcDates = dateList(st, end); - List obsDate = new ArrayList<>(calcDates); - obsDate.remove(obsDate.size() - 1); - List wts = weights(calcDates); + List calcDates = dateList(st, end); + List obsDate = new ArrayList<>(calcDates); + obsDate.remove(obsDate.size() - 1); + List wts = weights(calcDates); - List observations = indexVal.evaluate(obsDate, fro); - FloatingRateSettingDetails result = func.evaluate(fro, calculationParams, null, calculationPeriod, null, dcf); - double expectedRate = averageRate(observations, wts); - checkResults(obsDate, wts, expectedRate, result); + List observations = indexVal.evaluate(obsDate, fro); + FloatingRateSettingDetails result = func.evaluate(fro, calculationParams, null, calculationPeriod, null, dcf); + double expectedRate = averageRate(observations, wts); + checkResults(obsDate, wts, expectedRate, result); - // do compounding - calculationParams = initCalcParameters(false, BusinessCenterEnum.GBLO, CalcMethod.OIS, 0, null, false, false, false); - result = func.evaluate(fro, calculationParams, null, calculationPeriod, null, dcf); - expectedRate = compoundRate(observations, wts, 360.0); - checkResults(obsDate, wts, expectedRate, result); - } + // do compounding + calculationParams = initCalcParameters(false, BusinessCenterEnum.GBLO, CalcMethod.OIS, 0, null, false, false, false); + result = func.evaluate(fro, calculationParams, null, calculationPeriod, null, dcf); + expectedRate = compoundRate(observations, wts, 360.0); + checkResults(obsDate, wts, expectedRate, result); + } - private void checkResults(List obsDate, List wts, double expectedRate, FloatingRateSettingDetails result) { - CalculatedRateDetails calcs = result.getCalculationDetails(); - assertEquals(obsDate, calcs.getObservations().getObservationDates()); - check(wts, calcs.getObservations().getWeights()); - assertEquals(expectedRate, calcs.getCalculatedRate().doubleValue(), 0.00000001); - } + private void checkResults(List obsDate, List wts, double expectedRate, FloatingRateSettingDetails result) { + CalculatedRateDetails calcs = result.getCalculationDetails(); + assertEquals(obsDate, calcs.getObservations().getObservationDates()); + check(wts, calcs.getObservations().getWeights()); + assertEquals(expectedRate, calcs.getCalculatedRate().doubleValue(), 0.00000001); + } - private double averageRate(List observations, List weights) { - double sum = 0.0; - double sumWts = 0.0; - for (int i = 0; i < observations.size(); i++) { - sum += observations.get(i).doubleValue() * weights.get(i).doubleValue(); - sumWts += weights.get(i).doubleValue(); - } - return sum / sumWts; - } + private double averageRate(List observations, List weights) { + double sum = 0.0; + double sumWts = 0.0; + for (int i = 0; i < observations.size(); i++) { + sum += observations.get(i).doubleValue() * weights.get(i).doubleValue(); + sumWts += weights.get(i).doubleValue(); + } + return sum / sumWts; + } - private double compoundRate(List observations, List weights, double basis) { - double prod = 1.0; - double sumWts = 0.0; - for (int i = 0; i < observations.size(); i++) { - prod *= 1.0 + (observations.get(i).doubleValue() * weights.get(i).doubleValue() / basis); - sumWts += weights.get(i).doubleValue(); - } - return (prod - 1.0) / sumWts * basis; - } + private double compoundRate(List observations, List weights, double basis) { + double prod = 1.0; + double sumWts = 0.0; + for (int i = 0; i < observations.size(); i++) { + prod *= 1.0 + (observations.get(i).doubleValue() * weights.get(i).doubleValue() / basis); + sumWts += weights.get(i).doubleValue(); + } + return (prod - 1.0) / sumWts * basis; + } - private void check(List expected, List actual) { - for (int i = 0; i < expected.size() && i < actual.size(); i++) { - assertEquals(expected.get(i).intValue(), actual.get(i).intValue()); - } - assertEquals(expected.size(), actual.size()); - } + private void check(List expected, List actual) { + for (int i = 0; i < expected.size() && i < actual.size(); i++) { + assertEquals(expected.get(i).intValue(), actual.get(i).intValue()); + } + assertEquals(expected.size(), actual.size()); + } } diff --git a/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationMultipleTest.java b/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationMultipleTest.java index cb6e555c00..19644b127a 100644 --- a/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationMultipleTest.java +++ b/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationMultipleTest.java @@ -1,6 +1,6 @@ package cdm.observable.asset.fro.functions; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; import com.google.inject.Binder; import com.google.inject.Inject; import com.rosetta.model.lib.records.Date; @@ -43,7 +43,7 @@ void shouldGetValues() { BigDecimal.valueOf(0.02), BigDecimal.valueOf(0.03)); - FloatingRateOption fro = initFro(); + FloatingRateIndex fro = initFro(); List actual = func.evaluate(dates, fro); check(expected, actual); } diff --git a/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTest.java b/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTest.java index 7177d1899e..030798b794 100644 --- a/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTest.java +++ b/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTest.java @@ -1,6 +1,6 @@ package cdm.observable.asset.fro.functions; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; import com.google.inject.Binder; import com.google.inject.Inject; import com.rosetta.model.lib.records.Date; @@ -25,7 +25,7 @@ protected void bindTestingMocks(Binder binder) { @Test void shouldGetValue() { - FloatingRateOption fro = initFro(); + FloatingRateIndex fro = initFro(); assertEquals(BigDecimal.valueOf(0.033), func.evaluate(Date.of(2021, 7, 31), fro)); assertEquals(BigDecimal.valueOf(0.0329), func.evaluate(Date.of(2021, 7, 30), fro)); diff --git a/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTestDataProvider.java b/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTestDataProvider.java index c26b08b59a..3962e1e92e 100644 --- a/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTestDataProvider.java +++ b/rosetta-source/src/test/java/cdm/observable/asset/fro/functions/IndexValueObservationTestDataProvider.java @@ -3,7 +3,8 @@ import cdm.base.datetime.Period; import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum; import cdm.base.staticdata.asset.rates.metafields.FieldWithMetaFloatingRateIndexEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; +import cdm.observable.asset.InterestRateIndex; import com.rosetta.model.lib.records.Date; import java.math.BigDecimal; @@ -20,13 +21,18 @@ public class IndexValueObservationTestDataProvider extends IndexValueObservation private final Map> cache = new HashMap<>(); @Override - protected BigDecimal doEvaluate(Date observationDate, FloatingRateOption floatingRateOption) { - FloatingRateIndexEnum floatingRateIndex = Optional.ofNullable(floatingRateOption) - .map(FloatingRateOption::getFloatingRateIndex) + protected BigDecimal doEvaluate(Date observationDate, FloatingRateIndex floatingRateOption) { + Optional floatingRateIndex = Optional.ofNullable(floatingRateOption); + FloatingRateIndexEnum floatingRateIndexEnum = floatingRateIndex + .map(FloatingRateIndex::getInterestRateIndex) + .map(InterestRateIndex::getFloatingRateIndex) .map(FieldWithMetaFloatingRateIndexEnum::getValue) .orElse(null); - Period indexTenor = floatingRateOption.getIndexTenor(); - return Optional.ofNullable(cache.get(new FloatingRateIndexTenor(floatingRateIndex, indexTenor))) + Period indexTenor = floatingRateIndex + .map(FloatingRateIndex::getInterestRateIndex) + .map(InterestRateIndex::getIndexTenor) + .orElse(null); + return Optional.ofNullable(cache.get(new FloatingRateIndexTenor(floatingRateIndexEnum, indexTenor))) .flatMap(dateObservedValueMap -> Optional.ofNullable(dateObservedValueMap.get(observationDate))) .orElse(defaultValue.get()); } @@ -37,7 +43,7 @@ public void setDefaultValue(double defaultObservedValue) { } // Used by unit tests - public void setValues(FloatingRateOption fro, Date startingDate, int numDays, double observedValue, double increment) { + public void setValues(FloatingRateIndex fro, Date startingDate, int numDays, double observedValue, double increment) { LocalDate start = startingDate.toLocalDate(); for (int i = 0; i < numDays; i++) { LocalDate dt = start.plusDays(i); @@ -48,7 +54,7 @@ public void setValues(FloatingRateOption fro, Date startingDate, int numDays, do } // Used by unit tests - public void setValue(FloatingRateOption fro, Date observationDate, double observedValue) { + public void setValue(FloatingRateIndex fro, Date observationDate, double observedValue) { cache.computeIfAbsent(new FloatingRateIndexTenor(fro), k -> new HashMap<>()) .put(observationDate, BigDecimal.valueOf(observedValue)); } @@ -57,9 +63,9 @@ private static class FloatingRateIndexTenor { private final FloatingRateIndexEnum floatingRateIndex; private final Period indexTenor; - public FloatingRateIndexTenor(FloatingRateOption fro) { - this.floatingRateIndex = fro.getFloatingRateIndex().getValue(); - this.indexTenor = fro.getIndexTenor(); + public FloatingRateIndexTenor(FloatingRateIndex fro) { + this.floatingRateIndex = fro.getInterestRateIndex().getFloatingRateIndex().getValue(); + this.indexTenor = fro.getInterestRateIndex().getIndexTenor(); } public FloatingRateIndexTenor(FloatingRateIndexEnum floatingRateIndex, Period indexTenor) { diff --git a/rosetta-source/src/test/java/cdm/observable/asset/processor/CommoditySchedulesMappingProcessorTest.java b/rosetta-source/src/test/java/cdm/observable/asset/processor/CommoditySchedulesMappingProcessorTest.java index c7ee0dbe63..2e17281494 100644 --- a/rosetta-source/src/test/java/cdm/observable/asset/processor/CommoditySchedulesMappingProcessorTest.java +++ b/rosetta-source/src/test/java/cdm/observable/asset/processor/CommoditySchedulesMappingProcessorTest.java @@ -20,7 +20,7 @@ @SuppressWarnings("unused") public class CommoditySchedulesMappingProcessorTest { public static final Path SYNONYM_PATH = Path.parse("nonpublicExecutionReport.trade.commodityOption.strikePricePerUnitSchedule.strikePricePerUnitStep"); - public static final RosettaPath MODEL_PATH = RosettaPath.valueOf("ReportableEvent.originatingWorkflowStep.proposedEvent.instruction(0).before.value.trade.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).exerciseTerms.strike.strikePrice.datedValue"); + public static final RosettaPath MODEL_PATH = RosettaPath.valueOf("ReportableEvent.originatingWorkflowStep.proposedEvent.instruction(0).before.value.trade.product.economicTerms.payout.optionPayout(0).exerciseTerms.strike.strikePrice.datedValue"); @Test diff --git a/rosetta-source/src/test/java/cdm/observable/common/functions/CashPriceQuantityNoOfUnitsTriangulationTest.java b/rosetta-source/src/test/java/cdm/observable/common/functions/CashPriceQuantityNoOfUnitsTriangulationTest.java index 296edaefd4..a6ab8332bc 100644 --- a/rosetta-source/src/test/java/cdm/observable/common/functions/CashPriceQuantityNoOfUnitsTriangulationTest.java +++ b/rosetta-source/src/test/java/cdm/observable/common/functions/CashPriceQuantityNoOfUnitsTriangulationTest.java @@ -5,7 +5,7 @@ import cdm.event.common.TradeState; import cdm.observable.asset.PriceSchedule; import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule; -import cdm.product.common.settlement.PriceQuantity; +import cdm.observable.asset.PriceQuantity; import cdm.product.template.TradableProduct; import com.google.inject.Inject; import org.isda.cdm.functions.AbstractFunctionTest; @@ -30,7 +30,7 @@ public class CashPriceQuantityNoOfUnitsTriangulationTest extends AbstractFunctio @Test void shouldTriangulateEquityPriceNotionalAndNoOfUnitsAndReturnSuccess() throws IOException { TradeState tradeState = getObject(TradeState.class, EQUITY_DIR + "eqs-ex01-single-underlyer-execution-long-form.json"); - TradableProduct tradableProduct = tradeState.getTrade().getTradableProduct(); + TradableProduct tradableProduct = tradeState.getTrade(); List priceQuantity = tradableProduct.getTradeLot().get(0).getPriceQuantity(); List quantity = priceQuantity.stream() @@ -55,7 +55,7 @@ void shouldTriangulateEquityPriceNotionalAndNoOfUnitsAndReturnSuccess() throws I @Test void shouldReturnSuccessNotApplicableBecauseNoOfUnitsNotDefined() throws IOException { TradeState tradeState = getObject(TradeState.class, EQUITY_DIR + "eqs-ex10-short-form-interestLeg-driving-schedule-dates.json"); - TradableProduct tradableProduct = tradeState.getTrade().getTradableProduct(); + TradableProduct tradableProduct = tradeState.getTrade(); List priceQuantity = tradableProduct.getTradeLot().get(0).getPriceQuantity(); List quantity = priceQuantity.stream() diff --git a/rosetta-source/src/test/java/cdm/product/asset/calculation/functions/FloatingAmountCalculationTest.java b/rosetta-source/src/test/java/cdm/product/asset/calculation/functions/FloatingAmountCalculationTest.java index 8487f3c30d..1e4c881ccd 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/calculation/functions/FloatingAmountCalculationTest.java +++ b/rosetta-source/src/test/java/cdm/product/asset/calculation/functions/FloatingAmountCalculationTest.java @@ -3,7 +3,7 @@ import cdm.base.datetime.*; import cdm.base.datetime.daycount.DayCountFractionEnum; import cdm.base.datetime.metafields.FieldWithMetaBusinessCenterEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; import cdm.observable.asset.fro.functions.IndexValueObservation; import cdm.product.asset.InterestRatePayout; import cdm.product.asset.RateSpecification; @@ -73,7 +73,7 @@ private void check(FloatingAmountCalculationDetails result, double expectedNotio assertEquals(expectedAmount, result.getCalculatedAmount().doubleValue(), 0.00001); } - private InterestRatePayout initInterestPayout(FloatingRateOption fro, DayCountFractionEnum dcf) { + private InterestRatePayout initInterestPayout(FloatingRateIndex fro, DayCountFractionEnum dcf) { ResetDates resetDates = initResetDates(BusinessCenterEnum.EUTA, 3, 2, false); CalculationPeriodDates calculationPeriodDates = initCalculationPeriodDates(); @@ -82,7 +82,7 @@ private InterestRatePayout initInterestPayout(FloatingRateOption fro, DayCountFr .setResetDates(resetDates) .setPriceQuantity(GetNotionalAmountTest.initNotionalSchedule()) .setRateSpecification(RateSpecification.builder() - .setFloatingRate(initFloatingRate(fro)).build()) + .setFloatingRateSpecification(initFloatingRate(fro)).build()) .setDayCountFractionValue(DayCountFractionEnum.ACT_360) .build(); } diff --git a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/DetermineFloatingRateResetTest.java b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/DetermineFloatingRateResetTest.java index b4c43d43fb..add6b82d6d 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/DetermineFloatingRateResetTest.java +++ b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/DetermineFloatingRateResetTest.java @@ -1,7 +1,7 @@ package cdm.product.asset.floatingrate.functions; import cdm.base.datetime.BusinessCenterEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; import cdm.observable.asset.fro.functions.IndexValueObservation; import cdm.product.asset.InterestRatePayout; import cdm.product.asset.RateSpecification; @@ -47,14 +47,14 @@ private void check(FloatingRateSettingDetails result, double expectedRate, Date assertEquals(fixingDate, result.getObservationDate()); } - private InterestRatePayout initInterestPayout(FloatingRateOption fro) { + private InterestRatePayout initInterestPayout(FloatingRateIndex fro) { ResetDates resetDates = initResetDates(BusinessCenterEnum.GBLO, 3, 2, false); return InterestRatePayout.builder() .setResetDates(resetDates) .setPriceQuantity(GetNotionalAmountTest.initNotionalSchedule()) .setRateSpecification(RateSpecification.builder() - .setFloatingRate(initFloatingRate(fro)).build()) + .setFloatingRateSpecification(initFloatingRate(fro)).build()) .build(); } } diff --git a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/EvaluateScreenRateTest.java b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/EvaluateScreenRateTest.java index 17f0ef5cfb..1ff88f4e78 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/EvaluateScreenRateTest.java +++ b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/EvaluateScreenRateTest.java @@ -1,7 +1,7 @@ package cdm.product.asset.floatingrate.functions; import cdm.base.datetime.BusinessCenterEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; import cdm.observable.asset.fro.functions.IndexValueObservation; import cdm.product.asset.FloatingRate; import cdm.product.asset.floatingrate.FloatingRateSettingDetails; @@ -31,7 +31,7 @@ protected void bindTestingMocks(Binder binder) { @Test void shouldEvaluateRate() { - FloatingRateOption fro = initFro(); + FloatingRateIndex fro = initFro(); FloatingRate rate = initFloatingRate(fro); ResetDates resetDates = initResetDates(BusinessCenterEnum.GBLO, 3, 2, false); diff --git a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/FloatingRateTestHelper.java b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/FloatingRateTestHelper.java index f27c1c00ef..45c78359c1 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/FloatingRateTestHelper.java +++ b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/FloatingRateTestHelper.java @@ -3,8 +3,8 @@ import cdm.base.datetime.*; import cdm.base.math.DatedValue; import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum; -import cdm.base.staticdata.asset.rates.metafields.FieldWithMetaFloatingRateIndexEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; +import cdm.observable.asset.InterestRateIndex; import cdm.observable.asset.PriceSchedule; import cdm.observable.asset.fro.functions.IndexValueObservation; import cdm.observable.asset.fro.functions.IndexValueObservationTestDataProvider; @@ -23,7 +23,7 @@ public class FloatingRateTestHelper { - public static IndexValueObservation initIndexData(FloatingRateOption fro) { + public static IndexValueObservation initIndexData(FloatingRateIndex fro) { IndexValueObservationTestDataProvider testDataProvider = new IndexValueObservationTestDataProvider(); testDataProvider.setDefaultValue(0.01); testDataProvider.setValue(fro, Date.of(2021, 6, 1), 0.02); @@ -31,14 +31,13 @@ public static IndexValueObservation initIndexData(FloatingRateOption fro) { return testDataProvider; } - public static FloatingRateOption initFro() { - return FloatingRateOption.builder() - .setFloatingRateIndex(FieldWithMetaFloatingRateIndexEnum.builder() - .setValue(FloatingRateIndexEnum.EUR_EURIBOR_ACT_365) - .build()) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(3).build()) + public static FloatingRateIndex initFro() { + return FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_EURIBOR_ACT_365) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(3).build())) .build(); } @@ -62,7 +61,7 @@ public static ResetDates initResetDates(BusinessCenterEnum bc, int freq, int off .build(); } - public static FloatingRateSpecification initFloatingRate(FloatingRateOption fro) { + public static FloatingRateSpecification initFloatingRate(FloatingRateIndex fro) { double[] capRates = {0.06, 0.065, 0.07, 0.075}; double[] floorRates = {0.005, 0.01, 0.015, 0.020}; double[] spreadRates = {0.002, 0.0021, 0.0022, 0.0023}; diff --git a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/GetFloatingRateConditionParametersTest.java b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/GetFloatingRateConditionParametersTest.java index d2e2090d31..7bded4bbd5 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/GetFloatingRateConditionParametersTest.java +++ b/rosetta-source/src/test/java/cdm/product/asset/floatingrate/functions/GetFloatingRateConditionParametersTest.java @@ -18,39 +18,39 @@ public class GetFloatingRateConditionParametersTest extends AbstractFunctionTest { - @Inject - private GetFloatingRateProcessingParameters func; - - @Test - void shouldInitializeValues() { - InterestRatePayout interestRatePayout = initInterestPayout(); - - CalculationPeriodBase dec2020 = period(Date.of(2020, 12, 10), Date.of(2020, 12, 10)); - CalculationPeriodBase dec2021 = period(Date.of(2021, 12, 10), Date.of(2021, 12, 10)); - - check(expectedParams(0.075, 0.020, 0.0023), func.evaluate(interestRatePayout, dec2021)); - check(expectedParams(0.055, 0.004, 0.0018), func.evaluate(interestRatePayout, dec2020)); - } - - private InterestRatePayout initInterestPayout() { - return InterestRatePayout.builder() - .setPriceQuantity(GetNotionalAmountTest.initNotionalSchedule()) - .setRateSpecification(RateSpecification.builder() - .setFloatingRate(initFloatingRate(null)).build()) - .build(); - } - - private void check(FloatingRateProcessingParameters expected, FloatingRateProcessingParameters actual) { - assertEquals(expected.getCapRate(), actual.getCapRate()); - assertEquals(expected.getFloorRate(), actual.getFloorRate()); - assertEquals(expected.getSpread(), actual.getSpread()); - } - - private FloatingRateProcessingParameters expectedParams(double cap, double floor, double spread) { - return FloatingRateProcessingParameters.builder() - .setCapRate(BigDecimal.valueOf(cap)) - .setFloorRate(BigDecimal.valueOf(floor)) - .setSpread(BigDecimal.valueOf(spread)) - .build(); - } + @Inject + private GetFloatingRateProcessingParameters func; + + @Test + void shouldInitializeValues() { + InterestRatePayout interestRatePayout = initInterestPayout(); + + CalculationPeriodBase dec2020 = period(Date.of(2020, 12, 10), Date.of(2020, 12, 10)); + CalculationPeriodBase dec2021 = period(Date.of(2021, 12, 10), Date.of(2021, 12, 10)); + + check(expectedParams(0.075, 0.020, 0.0023), func.evaluate(interestRatePayout, dec2021)); + check(expectedParams(0.055, 0.004, 0.0018), func.evaluate(interestRatePayout, dec2020)); + } + + private InterestRatePayout initInterestPayout() { + return InterestRatePayout.builder() + .setPriceQuantity(GetNotionalAmountTest.initNotionalSchedule()) + .setRateSpecification(RateSpecification.builder() + .setFloatingRateSpecification(initFloatingRate(null)).build()) + .build(); + } + + private void check(FloatingRateProcessingParameters expected, FloatingRateProcessingParameters actual) { + assertEquals(expected.getCapRate(), actual.getCapRate()); + assertEquals(expected.getFloorRate(), actual.getFloorRate()); + assertEquals(expected.getSpread(), actual.getSpread()); + } + + private FloatingRateProcessingParameters expectedParams(double cap, double floor, double spread) { + return FloatingRateProcessingParameters.builder() + .setCapRate(BigDecimal.valueOf(cap)) + .setFloorRate(BigDecimal.valueOf(floor)) + .setSpread(BigDecimal.valueOf(spread)) + .build(); + } } diff --git a/rosetta-source/src/test/java/cdm/product/asset/functions/FixedAmountTest.java b/rosetta-source/src/test/java/cdm/product/asset/functions/FixedAmountTest.java index ca49b67714..db96989b98 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/functions/FixedAmountTest.java +++ b/rosetta-source/src/test/java/cdm/product/asset/functions/FixedAmountTest.java @@ -74,7 +74,7 @@ void shouldCalculate() { .build()) .build()) .build()) - .setRateSpecification(RateSpecification.builder().setFixedRate(FixedRateSpecification.builder() + .setRateSpecification(RateSpecification.builder().setFixedRateSpecification(FixedRateSpecification.builder() .setRateSchedule(RateSchedule.builder().setPriceValue(PriceSchedule.builder().setValue(price))))) .build(); diff --git a/rosetta-source/src/test/java/cdm/product/asset/functions/FloatingAmountTest.java b/rosetta-source/src/test/java/cdm/product/asset/functions/FloatingAmountTest.java index 12813f2ac0..7c43d2e13c 100644 --- a/rosetta-source/src/test/java/cdm/product/asset/functions/FloatingAmountTest.java +++ b/rosetta-source/src/test/java/cdm/product/asset/functions/FloatingAmountTest.java @@ -4,9 +4,9 @@ import cdm.base.datetime.daycount.DayCountFractionEnum; import cdm.base.datetime.daycount.metafields.FieldWithMetaDayCountFractionEnum; import cdm.base.datetime.metafields.ReferenceWithMetaBusinessCenters; -import cdm.base.math.NonNegativeQuantity; import cdm.base.staticdata.asset.rates.FloatingRateIndexEnum; -import cdm.observable.asset.FloatingRateOption; +import cdm.observable.asset.FloatingRateIndex; +import cdm.observable.asset.InterestRateIndex; import cdm.observable.asset.Money; import cdm.product.asset.FloatingRateSpecification; import cdm.product.asset.InterestRatePayout; @@ -33,9 +33,10 @@ class FloatingAmountTest extends AbstractFunctionTest { private static final InterestRatePayout INTEREST_RATE_PAYOUT = InterestRatePayout.builder() .setRateSpecification(RateSpecification.builder() - .setFloatingRate(FloatingRateSpecification.builder() - .setRateOptionValue(FloatingRateOption.builder() - .setFloatingRateIndexValue(FloatingRateIndexEnum.GBP_LIBOR_BBA)) + .setFloatingRateSpecification(FloatingRateSpecification.builder() + .setRateOptionValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.GBP_LIBOR_BBA))) .build()) .build()) .setDayCountFraction(FieldWithMetaDayCountFractionEnum.builder().setValue(DayCountFractionEnum._30E_360).build()) diff --git a/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_CreditTest.java b/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_CreditTest.java index ad627cb00c..f7b59d6a6b 100644 --- a/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_CreditTest.java +++ b/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_CreditTest.java @@ -9,7 +9,8 @@ import java.io.IOException; -import static org.junit.jupiter.api.Assertions.*; +import static org.junit.jupiter.api.Assertions.assertFalse; +import static org.junit.jupiter.api.Assertions.assertTrue; class Qualify_AssetClass_CreditTest extends AbstractFunctionTest { @@ -36,7 +37,7 @@ void shouldNotQualifyAsAssetClassCredit() throws IOException { private static EconomicTerms getEconomicTerms(String resourceName) throws IOException { TradeState tradeState = ResourcesUtils.getObjectAndResolveReferences(TradeState.class, resourceName); - EconomicTerms economicTerms = tradeState.getTrade().getTradableProduct().getProduct().getContractualProduct().getEconomicTerms(); + EconomicTerms economicTerms = tradeState.getTrade().getProduct().getEconomicTerms(); return economicTerms; } } \ No newline at end of file diff --git a/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_ForeignExchangeTest.java b/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_ForeignExchangeTest.java index 8b6e2dcb04..e3e7770a15 100644 --- a/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_ForeignExchangeTest.java +++ b/rosetta-source/src/test/java/cdm/product/qualification/functions/Qualify_AssetClass_ForeignExchangeTest.java @@ -9,7 +9,8 @@ import java.io.IOException; -import static org.junit.jupiter.api.Assertions.*; +import static org.junit.jupiter.api.Assertions.assertFalse; +import static org.junit.jupiter.api.Assertions.assertTrue; class Qualify_AssetClass_ForeignExchangeTest extends AbstractFunctionTest { @@ -36,7 +37,7 @@ void shouldNotQualifyAsAssetClassForeignExchange() throws IOException { private static EconomicTerms getEconomicTerms(String resourceName) throws IOException { TradeState tradeState = ResourcesUtils.getObjectAndResolveReferences(TradeState.class, resourceName); - EconomicTerms economicTerms = tradeState.getTrade().getTradableProduct().getProduct().getContractualProduct().getEconomicTerms(); + EconomicTerms economicTerms = tradeState.getTrade().getProduct().getEconomicTerms(); return economicTerms; } } \ No newline at end of file diff --git a/rosetta-source/src/test/java/cdm/product/template/functions/FpmlIrd8ImplTest.java b/rosetta-source/src/test/java/cdm/product/template/functions/FpmlIrd8ImplTest.java index ec7e49e06d..78ff81f675 100644 --- a/rosetta-source/src/test/java/cdm/product/template/functions/FpmlIrd8ImplTest.java +++ b/rosetta-source/src/test/java/cdm/product/template/functions/FpmlIrd8ImplTest.java @@ -5,7 +5,7 @@ import cdm.base.staticdata.party.CounterpartyRoleEnum; import cdm.base.staticdata.party.Party; import cdm.base.staticdata.party.metafields.ReferenceWithMetaParty; -import cdm.product.template.TradableProduct; +import cdm.event.common.Trade; import com.google.inject.Inject; import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep; import com.regnosys.rosetta.common.hashing.NonNullHashCollector; @@ -31,43 +31,43 @@ class FpmlIrd8ImplTest extends AbstractFunctionTest { void differentPartiesShouldEvaluateToValid() { Party party1 = getParty("Party A"); Party party2 = getParty("Party B"); - TradableProduct tradableProduct = getTradableProduct(party1, party2); + Trade trade = getTradableProduct(party1, party2); - assertTrue(func.evaluate(tradableProduct, Collections.emptyList())); + assertTrue(func.evaluate(trade, Collections.emptyList())); } @Test void samePartiesAndDifferentAccountsShouldEvaluateToValid() { Party party = getParty("Party A"); - TradableProduct tradableProduct = getTradableProduct(party, party); + Trade trade = getTradableProduct(party, party); List accounts = getAccounts(party, "Account 1", party, "Account 2"); - assertTrue(func.evaluate(tradableProduct, accounts)); + assertTrue(func.evaluate(trade, accounts)); } @Test void samePartiesAndNoAccountsShouldEvaluateToInvalid() { Party party = getParty("Party A"); - TradableProduct tradableProduct = getTradableProduct(party, party); + Trade trade = getTradableProduct(party, party); - assertFalse(func.evaluate(tradableProduct, Collections.emptyList())); + assertFalse(func.evaluate(trade, Collections.emptyList())); } @Test void samePartiesAndSameAccountsShouldEvaluateToInvalid() { Party party = getParty("Party A"); - TradableProduct tradableProduct = getTradableProduct(party, party); + Trade trade = getTradableProduct(party, party); List accounts = getAccounts(party, "Account 1", party, "Account 1"); - assertFalse(func.evaluate(tradableProduct, accounts)); + assertFalse(func.evaluate(trade, accounts)); } private Party getParty(String name) { return generateGlobalKeys(Party.class, Party.builder().setName(FieldWithMetaString.builder().setValue(name).build())); } - private TradableProduct getTradableProduct(Party party1, Party party2) { - return TradableProduct.builder() + private Trade getTradableProduct(Party party1, Party party2) { + return Trade.builder() .addCounterparty(getCounterparty(party1, CounterpartyRoleEnum.PARTY_1)) .addCounterparty(getCounterparty(party2, CounterpartyRoleEnum.PARTY_2)) .build(); diff --git a/rosetta-source/src/test/java/cdm/product/template/processor/ExerciseNoticeGiverMappingProcessorTest.java b/rosetta-source/src/test/java/cdm/product/template/processor/ExerciseNoticeGiverMappingProcessorTest.java index 0bc7c5e779..909b1ff636 100644 --- a/rosetta-source/src/test/java/cdm/product/template/processor/ExerciseNoticeGiverMappingProcessorTest.java +++ b/rosetta-source/src/test/java/cdm/product/template/processor/ExerciseNoticeGiverMappingProcessorTest.java @@ -19,7 +19,7 @@ class ExerciseNoticeGiverMappingProcessorTest { private static final RosettaPath MODEL_PATH = RosettaPath.valueOf( - "Contract.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout(0).exerciseTerms.exerciseProcedure.manualExercise.exerciseNotice.exerciseNoticeGiver"); + "Trade.product.economicTerms.payout.optionPayout(0).exerciseTerms.exerciseProcedure.manualExercise.exerciseNotice.exerciseNoticeGiver"); private static final Path SYNONYM_PATH = Path.parse("dataDocument.trade.bondOption.exerciseProcedure.manualExercise.exerciseNotice.partyReference"); @Test @@ -89,7 +89,7 @@ private List getMappings(String synonymValue) { // option buyer mapping new Mapping(Path.parse("dataDocument.trade.bondOption.buyerPartyReference.href"), "p1", - Path.parse("Contract.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout[0].buyerSeller.buyer"), + Path.parse("Trade.product.economicTerms.payout.optionPayout[0].buyerSeller.buyer"), "p1", null, false, @@ -98,7 +98,7 @@ private List getMappings(String synonymValue) { // option seller mapping new Mapping(Path.parse("dataDocument.trade.bondOption.sellerPartyReference.href"), "p2", - Path.parse("Contract.tradableProduct.product.contractualProduct.economicTerms.payout.optionPayout[0].buyerSeller.seller"), + Path.parse("Trade.product.economicTerms.payout.optionPayout[0].buyerSeller.seller"), "p2", null, false, diff --git a/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionInputCreationTest.java b/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionInputCreationTest.java index 15edb1f447..954f1ac339 100644 --- a/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionInputCreationTest.java +++ b/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionInputCreationTest.java @@ -23,19 +23,18 @@ import cdm.legaldocumentation.master.MasterAgreementTypeEnum; import cdm.observable.asset.Observable; import cdm.observable.asset.*; -import cdm.observable.asset.metafields.FieldWithMetaFloatingRateOption; +import cdm.observable.asset.metafields.FieldWithMetaFloatingRateIndex; import cdm.observable.asset.metafields.FieldWithMetaPriceSchedule; import cdm.product.asset.InterestRatePayout; import cdm.product.asset.ReferenceInformation; import cdm.product.collateral.*; import cdm.product.common.schedule.CalculationPeriodDates; -import cdm.product.common.settlement.PriceQuantity; import cdm.product.common.settlement.ScheduledTransferEnum; import cdm.product.common.settlement.SettlementDate; -import cdm.product.template.ContractualProduct; -import cdm.product.template.Product; +import cdm.product.template.NonTransferableProduct; import cdm.product.template.TradableProduct; import cdm.product.template.TradeLot; +import cdm.product.template.Underlier; import com.fasterxml.jackson.core.JsonGenerator; import com.fasterxml.jackson.databind.DeserializationFeature; import com.fasterxml.jackson.databind.ObjectMapper; @@ -61,6 +60,7 @@ import util.ResourcesUtils; import java.io.IOException; +import java.io.UncheckedIOException; import java.math.BigDecimal; import java.nio.file.Files; import java.nio.file.Path; @@ -73,7 +73,7 @@ import static org.isda.cdm.functions.FunctionUtils.guard; import static org.junit.jupiter.api.Assertions.assertEquals; -import static util.ResourcesUtils.reKey; +import static util.ResourcesUtils.*; class FunctionInputCreationTest { @@ -434,14 +434,16 @@ private CreateBusinessEventInput getIncreaseEquitySwapExistingTradeLotFuncInputJ .setUnit(UnitType.builder().setFinancialUnit(FinancialUnitEnum.SHARE))))) // interest rate payout PQ .addChange(PriceQuantity.builder() - .setObservable(Observable.builder() - .setRateOption(FieldWithMetaFloatingRateOption.builder() - .setMeta(createKey("rateOption-1")) - .setValue(FloatingRateOption.builder() - .setFloatingRateIndexValue(FloatingRateIndexEnum.USD_LIBOR_BBA) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(1))))) + .setObservableValue(Observable.builder() + .setIndex(Index.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndex.builder() + .setMeta(createKey("rateOption-1")) + .setValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.USD_LIBOR_BBA) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(1))))))) .addQuantity(FieldWithMetaNonNegativeQuantitySchedule.builder() .setMeta(createKey("quantity-1")) .setValue(NonNegativeQuantitySchedule.builder() @@ -474,7 +476,7 @@ private CreateBusinessEventInput getIncreaseEquitySwapExistingTradeLotFuncInputJ private TradeState getQuantityChangeEquitySwapTradeStateWithMultipleTradeLots() throws IOException { TradeState.TradeStateBuilder tradeStateBuilder = ResourcesUtils.getObject(TradeState.class, "result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json").toBuilder(); - TradableProduct.TradableProductBuilder tradableProductBuilder = tradeStateBuilder.getTrade().getTradableProduct(); + TradableProduct.TradableProductBuilder tradableProductBuilder = tradeStateBuilder.getTrade(); TradeLot.TradeLotBuilder tradeLot1Builder = tradableProductBuilder.getTradeLot().get(0); //Take a copy of the trade lot @@ -504,7 +506,7 @@ private CreateBusinessEventInput getIncreaseEquitySwapFuncInputJson() throws IOE .setIdentifierValue("LOT-2"))) // equity payout PQ .addChange(PriceQuantity.builder() - .setObservable(Observable.builder() + .setObservableValue(Observable.builder() .setAsset(Asset.builder() .setInstrument(Instrument.builder() .setSecurity(Security.builder() @@ -528,14 +530,16 @@ private CreateBusinessEventInput getIncreaseEquitySwapFuncInputJson() throws IOE .setPriceType(PriceTypeEnum.ASSET_PRICE)))) // interest rate payout PQ .addChange(PriceQuantity.builder() - .setObservable(Observable.builder() - .setRateOption(FieldWithMetaFloatingRateOption.builder() - .setMeta(createKey("rateOption-1")) - .setValue(FloatingRateOption.builder() - .setFloatingRateIndexValue(FloatingRateIndexEnum.USD_LIBOR_BBA) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(1))))) + .setObservableValue(Observable.builder() + .setIndex(Index.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndex.builder() + .setMeta(createKey("rateOption-1")) + .setValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.USD_LIBOR_BBA) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(1))))))) .addQuantity(FieldWithMetaNonNegativeQuantitySchedule.builder() .setMeta(createKey("quantity-1")) .setValue(NonNegativeQuantitySchedule.builder() @@ -584,8 +588,8 @@ private void validateQuantityChangeFuncInputJson(TradeState tradeState, Date eve private TransferInstruction.TransferInstructionBuilder getTransferInstruction(TradeState tradeState, FeeTypeEnum feeType) { Trade trade = tradeState.getTrade(); - List counterparties = trade.getTradableProduct().getCounterparty(); - UnitType currencyUnitType = trade.getTradableProduct().getTradeLot().stream() + List counterparties = trade.getCounterparty(); + UnitType currencyUnitType = trade.getTradeLot().stream() .map(TradeLot::getPriceQuantity) .flatMap(Collection::stream) .map(PriceQuantity::getQuantity) @@ -661,7 +665,7 @@ private ExecutionInstruction getCompressionExecutionInstructionInputJson() throw ResourcesUtils.getObject(TradeState.class, "result-json-files/fpml-5-10/products/rates/USD-Vanilla-swap.json").toBuilder(); Trade.TradeBuilder tradeBuilder = tradeStateBuilder.getTrade(); - TradableProduct.TradableProductBuilder tradableProductBuilder = tradeBuilder.getTradableProduct(); + TradableProduct.TradableProductBuilder tradableProductBuilder = tradeBuilder; TradeLot.TradeLotBuilder tradeLotBuilder = tradableProductBuilder.getTradeLot().get(0); tradeLotBuilder @@ -675,7 +679,6 @@ private ExecutionInstruction getCompressionExecutionInstructionInputJson() throw List interestRatePayoutBuilders = tradableProductBuilder .getProduct() - .getContractualProduct() .getEconomicTerms() .getPayout() .getInterestRatePayout(); @@ -1096,17 +1099,19 @@ void validateCreditEventWithObservationFuncInputJson() throws IOException { assertJsonEquals("cdm-sample-files/functions/business-event/credit-event/credit-event-obs-func-input.json", actual); } - ObservationEvent getCorporateActionObservationEvent() { + private ObservationEvent getCorporateActionObservationEvent() { ObservationEvent observationEvent = ObservationEvent.builder() .setCorporateAction(CorporateAction.builder() .setCorporateActionType(CorporateActionTypeEnum.STOCK_SPLIT) .setExDate(Date.of(2009, 2, 1)) .setPayDate(Date.of(2009, 2, 1)) - .setUnderlier(Product.builder() - .setIndex(Index.builder() - .setEquityIndex(EquityIndex.builder() - .setAssetClass(AssetClassEnum.EQUITY) - .setName("VOLKSWAGEN AG VZO O.N."))))); +// .setUnderlier(Underlier.builder() +// .setObservableValue(Observable.builder() +// .setIndex(Index.builder() +// .setEquityIndex(EquityIndex.builder() +// .setAssetClass(AssetClassEnum.EQUITY) +// .setNameValue("VOLKSWAGEN AG VZO O.N."))))) + ); return observationEvent; } @@ -1144,11 +1149,13 @@ void validateCorporateActionWithObservationFuncInputJson() throws IOException { .setCorporateActionType(CorporateActionTypeEnum.CASH_DIVIDEND) .setExDate(Date.of(2009, 2, 13)) .setPayDate(Date.of(2009, 2, 13)) - .setUnderlier(Product.builder() - .setIndex(Index.builder() - .setEquityIndex(EquityIndex.builder() - .setAssetClass(AssetClassEnum.EQUITY) - .setName("VOLKSWAGEN AG VZO O.N."))))); +// .setUnderlier(Underlier.builder() +// .setObservableValue(Observable.builder() +// .setIndex(Index.builder() +// .setEquityIndex(EquityIndex.builder() +// .setAssetClass(AssetClassEnum.EQUITY) +// .setNameValue("VOLKSWAGEN AG VZO O.N."))))) + ); ObservationInstruction observationInstruction = ObservationInstruction.builder() .setObservationEvent(observationEvent); @@ -1389,14 +1396,12 @@ private TradeState.TradeStateBuilder getTerminationVanillaSwapTradeState() throw tradeStateBuilder.getTrade().addPartyRole(reportingPartyRole); // effective and termination date List interestRatePayouts = tradeStateBuilder.getTrade() - .getTradableProduct() .getProduct() - .getContractualProduct() .getEconomicTerms() .getPayout() .getInterestRatePayout(); interestRatePayouts.stream() - .filter(payout -> payout.getRateSpecification().getFloatingRate() != null) + .filter(payout -> payout.getRateSpecification().getFloatingRateSpecification() != null) .findFirst() .ifPresent(floatingLeg -> { CalculationPeriodDates.CalculationPeriodDatesBuilder calculationPeriodDates = floatingLeg.getCalculationPeriodDates(); @@ -1404,7 +1409,7 @@ private TradeState.TradeStateBuilder getTerminationVanillaSwapTradeState() throw calculationPeriodDates.getTerminationDate().getAdjustableDate().setUnadjustedDate(Date.of(2025, 4, 1)); }); interestRatePayouts.stream() - .filter(payout -> payout.getRateSpecification().getFixedRate() != null) + .filter(payout -> payout.getRateSpecification().getFixedRateSpecification() != null) .findFirst() .ifPresent(fixedLeg -> { CalculationPeriodDates.CalculationPeriodDatesBuilder calculationPeriodDates = fixedLeg.getCalculationPeriodDates(); @@ -1412,7 +1417,7 @@ private TradeState.TradeStateBuilder getTerminationVanillaSwapTradeState() throw calculationPeriodDates.getTerminationDate().getAdjustableDate().setUnadjustedDate(Date.of(2025, 4, 1)); }); // quantity - tradeStateBuilder.getTrade().getTradableProduct().getTradeLot().stream() + tradeStateBuilder.getTrade().getTradeLot().stream() .map(TradeLot.TradeLotBuilder::getPriceQuantity) .flatMap(Collection::stream) .map(PriceQuantity.PriceQuantityBuilder::getQuantity) @@ -1432,7 +1437,7 @@ private TradeState.TradeStateBuilder getTerminationVanillaSwapTradeState() throw private TradeState getQuantityChangeEquitySwapTradeState() throws IOException { TradeState.TradeStateBuilder tradeStateBuilder = ResourcesUtils.getObject(TradeState.class, "result-json-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.json").toBuilder(); - TradeLot.TradeLotBuilder tradeLotBuilder = tradeStateBuilder.getTrade().getTradableProduct().getTradeLot().get(0); + TradeLot.TradeLotBuilder tradeLotBuilder = tradeStateBuilder.getTrade().getTradeLot().get(0); tradeLotBuilder.addLotIdentifier(Identifier.builder() .addAssignedIdentifier(AssignedIdentifier.builder() .setIdentifierValue("LOT-1"))); @@ -1449,12 +1454,15 @@ void validateIndexTransitionVanillaSwapFuncInputJson() throws IOException { .setPrimitiveInstruction(PrimitiveInstruction.builder() .setIndexTransition(IndexTransitionInstruction.builder() .addPriceQuantity(PriceQuantity.builder() - .setObservable(Observable.builder() - .setRateOptionValue(FloatingRateOption.builder() - .setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_EURIBOR_REUTERS) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(6)))) + .setObservableValue(Observable.builder() + .setIndex(Index.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndex.builder() + .setValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndexValue(FloatingRateIndexEnum.EUR_EURIBOR_REUTERS) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(6))))))) .addPriceValue(Price.builder() .setValue(BigDecimal.valueOf(0.003)) .setUnit(UnitType.builder().setCurrencyValue("EUR")) @@ -1483,14 +1491,17 @@ void validateIndexTransitionXccySwapFuncInputJson() throws IOException { .setPrimitiveInstruction(PrimitiveInstruction.builder() .setIndexTransition(IndexTransitionInstruction.builder() .addPriceQuantity(PriceQuantity.builder() - .setObservable(Observable.builder() - .setRateOptionValue(FloatingRateOption.builder() - .setFloatingRateIndex(FieldWithMetaFloatingRateIndexEnum.builder() - .setValue(FloatingRateIndexEnum.USD_LIBOR_ISDA) - .setMeta(MetaFields.builder().setScheme("http://www.fpml.org/coding-scheme/floating-rate-index"))) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(3)))) + .setObservableValue(Observable.builder() + .setIndex(Index.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndex.builder() + .setValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndexEnum.builder() + .setValue(FloatingRateIndexEnum.USD_LIBOR_ISDA) + .setMeta(MetaFields.builder().setScheme("http://www.fpml.org/coding-scheme/floating-rate-index"))) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(3))))))) .addPriceValue(Price.builder() .setValue(BigDecimal.valueOf(0.002)) .setUnit(UnitType.builder().setCurrencyValue("USD")) @@ -1498,15 +1509,17 @@ void validateIndexTransitionXccySwapFuncInputJson() throws IOException { .setPriceType(PriceTypeEnum.INTEREST_RATE) .setArithmeticOperator(ArithmeticOperationEnum.ADD))) .addPriceQuantity(PriceQuantity.builder() - .setObservable(Observable.builder() - .setRateOptionValue(FloatingRateOption.builder() - .setFloatingRateIndex( - FieldWithMetaFloatingRateIndexEnum.builder() - .setValue(FloatingRateIndexEnum.EUR_EURIBOR_REUTERS) - .setMeta(MetaFields.builder().setScheme("http://www.fpml.org/coding-scheme/floating-rate-index"))) - .setIndexTenor(Period.builder() - .setPeriod(PeriodEnum.M) - .setPeriodMultiplier(3)))) + .setObservableValue(Observable.builder() + .setIndex(Index.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndex.builder() + .setValue(FloatingRateIndex.builder() + .setInterestRateIndex(InterestRateIndex.builder() + .setFloatingRateIndex(FieldWithMetaFloatingRateIndexEnum.builder() + .setValue(FloatingRateIndexEnum.EUR_EURIBOR_REUTERS) + .setMeta(MetaFields.builder().setScheme("http://www.fpml.org/coding-scheme/floating-rate-index"))) + .setIndexTenor(Period.builder() + .setPeriod(PeriodEnum.M) + .setPeriodMultiplier(3))))))) .addPriceValue(Price.builder() .setValue(BigDecimal.valueOf(0.001)) .setUnit(UnitType.builder().setCurrencyValue("EUR")) @@ -1558,7 +1571,6 @@ void validateCorrectionWorkflowFuncInputJson() throws IOException { ResourcesUtils.getObject(TradeState.class, tradeStatePath).toBuilder(); // Update quantity to an incorrect value (which is corrected later) tradeStateWithIncorrectQuantity.getTrade() - .getTradableProduct() .getTradeLot() .stream() .map(TradeLot.TradeLotBuilder::getPriceQuantity) @@ -1610,7 +1622,6 @@ void validateCancellationWorkflowFuncInputJson() throws IOException { ResourcesUtils.getObject(TradeState.class, tradeStatePath).toBuilder(); // Update quantity to an incorrect value (which is corrected later) tradeStateWithIncorrectQuantity.getTrade() - .getTradableProduct() .getTradeLot() .stream() .map(TradeLot.TradeLotBuilder::getPriceQuantity) @@ -1780,6 +1791,7 @@ private WorkflowStep runCreateWorkflowStepFunc(CreateWorkflowStepInput input) { return workflowStep.build(); } + @Test void validateBondExecutionInput() throws IOException { BusinessEvent.BusinessEventBuilder businessEventBuilder = ResourcesUtils.getObject(BusinessEvent.class, "cdm-sample-files/functions/repo-and-bond/bond-execution-func-input.json").toBuilder(); @@ -1803,7 +1815,7 @@ void validateRollInput() throws IOException { TradeState executionTradeState = getRepoExecutionAfterTradeState(); AdjustableOrRelativeDate effectiveRollDate = ResourcesUtils.getObject(AdjustableOrRelativeDate.class, "cdm-sample-files/functions/repo-and-bond/roll-primitive-instruction-effective-roll-date.json"); AdjustableOrRelativeDate terminationDate = ResourcesUtils.getObject(AdjustableOrRelativeDate.class, "cdm-sample-files/functions/repo-and-bond/roll-primitive-instruction-termination-date.json"); - List priceQuantity = executionTradeState.getTrade().getTradableProduct().getTradeLot().get(0).getPriceQuantity(); + List priceQuantity = executionTradeState.getTrade().getTradeLot().get(0).getPriceQuantity(); Create_RollPrimitiveInstruction create_rollPrimitiveInstruction = injector.getInstance(Create_RollPrimitiveInstruction.class); PrimitiveInstruction rollPrimitiveInstruction = create_rollPrimitiveInstruction.evaluate(executionTradeState, @@ -1853,15 +1865,15 @@ void validatePairOffInput() throws IOException { Create_PairOffInstruction create_pairOffInstruction = injector.getInstance(Create_PairOffInstruction.class); List pairOffInstruction = create_pairOffInstruction.evaluate(Lists.newArrayList(executionTradeState, executionTradeState), pairReferenceIdentifierBuilder.build()); - List rekeyedPairOffInstruction = pairOffInstruction.stream().map(i -> { - Instruction.InstructionBuilder instructionBuilder = i.toBuilder(); - reKey(instructionBuilder); - return instructionBuilder.build(); - }).collect(Collectors.toList()); + List rekeyedPairOffInstructions = pairOffInstruction.stream() + .map(Instruction::toBuilder) + .map(b -> reKey(b)) + .map(Instruction::build) + .collect(Collectors.toList()); Date tradeDate = executionTradeState.getTrade().getTradeDate().getValue(); - CreateBusinessEventInput actual = new CreateBusinessEventInput(rekeyedPairOffInstruction, null, tradeDate, tradeDate); + CreateBusinessEventInput actual = new CreateBusinessEventInput(rekeyedPairOffInstructions, null, tradeDate, tradeDate); assertJsonEquals("cdm-sample-files/functions/repo-and-bond/pair-off-input.json", actual); } @@ -1910,6 +1922,14 @@ void validateOnDemandInterestPaymentEventInput() throws IOException { assertJsonEquals("cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-input.json", actual); } + @Test + void validateShapingPrimitiveInstructionTradeLots() throws IOException { + String resourceName = "cdm-sample-files/functions/repo-and-bond/shaping-primitive-instruction-trade-lots.json"; + List tradeLotBuilders = toBuilder(ResourcesUtils.getObjectList(TradeLot.class, resourceName)); + List actual = build(reKey(tradeLotBuilders)); + assertJsonEquals(resourceName, actual); + } + @Test void validateShapingEventInput() throws IOException { TradeState executionTradeState = getRepoExecutionAfterTradeState(); @@ -1932,6 +1952,14 @@ void validateShapingEventInput() throws IOException { assertJsonEquals("cdm-sample-files/functions/repo-and-bond/shaping-input.json", actual); } + @Test + void validatePartialDeliveryDeliveredPriceQuantity() throws IOException { + String resourceName = "cdm-sample-files/functions/repo-and-bond/partial-delivery-delivered-price-quantity.json"; + List priceQuantityBuilder = toBuilder(ResourcesUtils.getObjectList(PriceQuantity.class, resourceName)); + List actual = build(reKey(priceQuantityBuilder)); + assertJsonEquals(resourceName, actual); + } + @Test void validatePartialDeliveryEventInput() throws IOException { TradeState executionTradeState = getRepoExecutionAfterTradeState(); @@ -1997,6 +2025,22 @@ void validateAdjustmentEventInput() throws IOException { assertJsonEquals("cdm-sample-files/functions/repo-and-bond/repo-adjustment-input.json", actual); } + @Test + void validateRepoSubstitutionCollateral() throws IOException { + String resourceName = "cdm-sample-files/functions/repo-and-bond/repo-substitution-collateral.json"; + Collateral.CollateralBuilder collateralBuilder = ResourcesUtils.getObject(Collateral.class, resourceName).toBuilder(); + Collateral actual = reKey(collateralBuilder).build(); + assertJsonEquals(resourceName, actual); + } + + @Test + void validateRepoSubstitutionPriceQuantity() throws IOException { + String resourceName = "cdm-sample-files/functions/repo-and-bond/repo-substitution-price-quantity.json"; + List tradeLotBuilders = toBuilder(ResourcesUtils.getObjectList(TradeLot.class, resourceName)); + List actual = build(reKey(tradeLotBuilders)); + assertJsonEquals(resourceName, actual); + } + @Test void validateSubstitutionEventInput() throws IOException { TradeState executionTradeState = getRepoExecutionAfterTradeState(); @@ -2021,12 +2065,12 @@ void validateSubstitutionEventInput() throws IOException { private TradeState removeIsdaProductTaxonomy(TradeState tradeState) { TradeState.TradeStateBuilder tradeStateBuilder = tradeState.toBuilder(); - ContractualProduct.ContractualProductBuilder contractualProductBuilder = - tradeStateBuilder.getTrade().getTradableProduct().getProduct().getContractualProduct(); - List newProductTaxonomies = contractualProductBuilder.getProductTaxonomy().stream() + NonTransferableProduct.NonTransferableProductBuilder nonTransferableProductBuilder = + tradeStateBuilder.getTrade().getProduct(); + List newProductTaxonomies = nonTransferableProductBuilder.getTaxonomy().stream() .filter(taxonomy -> taxonomy.getSource() == null || !taxonomy.getSource().equals(TaxonomySourceEnum.ISDA)) .collect(Collectors.toList()); - contractualProductBuilder.setProductTaxonomy(newProductTaxonomies); + nonTransferableProductBuilder.setTaxonomy(newProductTaxonomies); return tradeStateBuilder.build(); } @@ -2036,7 +2080,7 @@ private TradeState getRepoExecutionAfterTradeState() throws IOException { } @Test - void validateEligibleCollateralScheduleHelper() throws IOException { + void validateEligibleCollateralScheduleHelper() { // Common criteria - GILTS EligibleCollateralCriteria common = EligibleCollateralCriteria.builder() .addAsset(AssetCriteria.builder() @@ -2100,16 +2144,20 @@ private static EligibleCollateralCriteria getVariableCriteria(double haircutPerc .build(); } - private void assertJsonEquals(String expectedJsonPath, Object actual) throws IOException { - String actualJson = STRICT_MAPPER.writerWithDefaultPrettyPrinter().writeValueAsString(actual); - String expectedJson = ResourcesUtils.getJson(expectedJsonPath); - if (!expectedJson.equals(actualJson)) { - if (WRITE_EXPECTATIONS) { - writeExpectation(expectedJsonPath, actualJson); + private void assertJsonEquals(String expectedJsonPath, Object actual) { + try { + String actualJson = STRICT_MAPPER.writerWithDefaultPrettyPrinter().writeValueAsString(actual); + String expectedJson = ResourcesUtils.getJson(expectedJsonPath); + if (!expectedJson.equals(actualJson)) { + if (WRITE_EXPECTATIONS) { + writeExpectation(expectedJsonPath, actualJson); + } } + assertEquals(expectedJson, actualJson, + "The input JSON for " + Paths.get(expectedJsonPath).getFileName() + " has been updated (probably due to a model change). Update the input file"); + } catch (IOException e) { + throw new UncheckedIOException(e); } - assertEquals(expectedJson, actualJson, - "The input JSON for " + Paths.get(expectedJsonPath).getFileName() + " has been updated (probably due to a model change). Update the input file"); } private void writeExpectation(String writePath, String json) { diff --git a/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionUtils.java b/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionUtils.java index d642739c71..232bb1bd36 100644 --- a/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionUtils.java +++ b/rosetta-source/src/test/java/org/isda/cdm/functions/FunctionUtils.java @@ -22,10 +22,10 @@ public static List guard(List list) { public static ExecutionInstruction createExecutionInstructionFromTradeState(TradeState tradeState) { return ExecutionInstruction.builder() - .setProduct(tradeState.getTrade().getTradableProduct().getProduct()) - .setPriceQuantity(guard(tradeState.getTrade().getTradableProduct().getTradeLot()).stream().map(t -> guard(t.getPriceQuantity())).flatMap(Collection::stream).collect(Collectors.toList())) - .addCounterparty(guard(tradeState.getTrade().getTradableProduct().getCounterparty())) - .addAncillaryParty(guard(tradeState.getTrade().getTradableProduct().getAncillaryParty())) + .setProduct(tradeState.getTrade().getProduct()) + .setPriceQuantity(guard(tradeState.getTrade().getTradeLot()).stream().map(t -> guard(t.getPriceQuantity())).flatMap(Collection::stream).collect(Collectors.toList())) + .addCounterparty(guard(tradeState.getTrade().getCounterparty())) + .addAncillaryParty(guard(tradeState.getTrade().getAncillaryParty())) .addParties(guard(tradeState.getTrade().getParty())) .addPartyRoles(guard(tradeState.getTrade().getPartyRole())) .setTradeDateValue(Optional.ofNullable(tradeState.getTrade().getTradeDate()).map(FieldWithMetaDate::getValue).orElse(null)) diff --git a/rosetta-source/src/test/java/org/isda/cdm/functions/ModelClassValidationTest.java b/rosetta-source/src/test/java/org/isda/cdm/functions/ModelClassValidationTest.java index 341de8dc31..b2240c1fcc 100644 --- a/rosetta-source/src/test/java/org/isda/cdm/functions/ModelClassValidationTest.java +++ b/rosetta-source/src/test/java/org/isda/cdm/functions/ModelClassValidationTest.java @@ -27,8 +27,11 @@ void checkErrorMessages() { .build(); ValidationResult result = new TradeMeta().validator().validate(null, tradeState); - assertEquals( - "'tradeIdentifier' is a required field but does not exist.; 'tradeDate' is a required field but does not exist.; 'tradableProduct' is a required field but does not exist.", + assertEquals("'product' is a required field but does not exist.; " + + "'tradeLot' is a required field but does not exist.; " + + "'counterparty' is a required field but does not exist.; " + + "'tradeIdentifier' is a required field but does not exist.; " + + "'tradeDate' is a required field but does not exist.", result.getFailureReason().orElse("No error message")); } diff --git a/rosetta-source/src/test/java/org/isda/cdm/functions/SecLendingFunctionInputCreationTest.java b/rosetta-source/src/test/java/org/isda/cdm/functions/SecLendingFunctionInputCreationTest.java index 5edf4b0e14..4b604a435b 100644 --- a/rosetta-source/src/test/java/org/isda/cdm/functions/SecLendingFunctionInputCreationTest.java +++ b/rosetta-source/src/test/java/org/isda/cdm/functions/SecLendingFunctionInputCreationTest.java @@ -10,9 +10,9 @@ import cdm.event.workflow.Workflow; import cdm.event.workflow.WorkflowStep; import cdm.observable.asset.Price; +import cdm.observable.asset.PriceQuantity; import cdm.observable.event.Observation; import cdm.observable.event.ObservationIdentifier; -import cdm.product.common.settlement.PriceQuantity; import cdm.product.template.TradeLot; import cdm.security.lending.functions.RunNewSettlementWorkflow; import cdm.security.lending.functions.RunReturnSettlementWorkflow; @@ -39,6 +39,7 @@ import org.junit.jupiter.api.Test; import org.slf4j.Logger; import org.slf4j.LoggerFactory; +import util.ResourcesUtils; import java.io.IOException; import java.math.BigDecimal; @@ -78,10 +79,11 @@ class SecLendingFunctionInputCreationTest { // ALLOCATION AND REALLOCATION EXAMPLES ARE BASED ON THIS EXECUTION INSTRUCTION. // This is the execution instruction between an agent lender and a borrower public static final String EXECUTION_INSTRUCTION_JSON = "/cdm-sample-files/functions/sec-lending/block-execution-instruction.json"; + public static final String BLOCK_EXECUTION_TRADE_STATE_JSON = "cdm-sample-files/functions/sec-lending/block-execution-trade-state.json"; // SETTLEMENT AND RETURN WORKFLOWS ARE BASED OF THIS.. public static final String SETTLEMENT_WORKFLOW_FUNC_INPUT_JSON = "/cdm-sample-files/functions/sec-lending/new-settlement-workflow-func-input.json"; - + private static Injector injector; @BeforeAll @@ -106,6 +108,24 @@ void validateExecutionInstructionWorkflowFuncInputJson() throws IOException { assertJsonConformsToRosettaType(EXECUTION_INSTRUCTION_JSON, ExecutionInstruction.class); } + @Test + void validateExecutionInstructionWorkflowFuncOutputJson() throws IOException { + URL resource = SecLendingFunctionInputCreationTest.class.getResource(EXECUTION_INSTRUCTION_JSON); + ExecutionInstruction executionInstruction = STRICT_MAPPER.readValue(resource, ExecutionInstruction.class); + Create_Execution createExecution = injector.getInstance(Create_Execution.class); + + TradeState.TradeStateBuilder tradeStateBuilder = createExecution.evaluate(executionInstruction).toBuilder(); + + PostProcessor postProcessor = injector.getInstance(PostProcessor.class); + postProcessor.postProcess(TradeState.class, tradeStateBuilder); + + assertJsonEquals(BLOCK_EXECUTION_TRADE_STATE_JSON, tradeStateBuilder.build()); + } + + private static TradeState getBlockExecutionTradeStateJson() throws IOException { + return ResourcesUtils.getObjectAndResolveReferences(TradeState.class, BLOCK_EXECUTION_TRADE_STATE_JSON); + } + @Test void validatePartReturnSettlementWorkflowFuncInputJson() throws IOException { RunReturnSettlementWorkflowInput actual = new RunReturnSettlementWorkflowInput(getTransferTradeState(), @@ -156,7 +176,7 @@ void validateCreateAllocationFuncInputJson() throws IOException { private CreateBusinessEventInput getAllocationInput() throws IOException { // Agent Lender lends 200k SDOL to Borrower CP001 - TradeState blockExecutionTradeState = getBlockExecutionTradeState(); + TradeState blockExecutionTradeState = getBlockExecutionTradeStateJson(); SplitInstruction splitInstruction = SplitInstruction.builder() // Fund 1 lends 120k SDOL to Borrower CP001 @@ -346,19 +366,6 @@ private Observation obs(String date, double price, @SuppressWarnings("SameParame .build(); } - - private static TradeState getBlockExecutionTradeState() throws IOException { - URL resource = SecLendingFunctionInputCreationTest.class.getResource(EXECUTION_INSTRUCTION_JSON); - ExecutionInstruction executionInstruction = STRICT_MAPPER.readValue(resource, ExecutionInstruction.class); - Create_Execution createExecution = injector.getInstance(Create_Execution.class); - - TradeState tradeState = createExecution.evaluate(executionInstruction); - - assertNotNull(tradeState, "Expected an after trade state"); - return tradeState; - } - - private static TradeState getTransferTradeState() throws IOException { URL resource = SecLendingFunctionInputCreationTest.class.getResource(SETTLEMENT_WORKFLOW_FUNC_INPUT_JSON); ExecutionInstruction executionInstruction = STRICT_MAPPER.readValue(resource, ExecutionInstruction.class); @@ -409,7 +416,7 @@ private PrimitiveInstruction createAllocationInstruction(TradeState tradeState, } private static Party getParty(TradeState tradeState, CounterpartyRoleEnum counterpartyRoleEnum) { - return tradeState.build().toBuilder().getTrade().getTradableProduct() + return tradeState.build().toBuilder().getTrade() .getCounterparty().stream() .filter(c -> c.getRole() == counterpartyRoleEnum) .map(Counterparty::getPartyReference) @@ -419,7 +426,7 @@ private static Party getParty(TradeState tradeState, CounterpartyRoleEnum counte private static List scaleQuantities(TradeState tradeState, double percent) { - return tradeState.build().toBuilder().getTrade().getTradableProduct() + return tradeState.build().toBuilder().getTrade() .getTradeLot().stream() .map(TradeLot.TradeLotBuilder::getPriceQuantity) .flatMap(Collection::stream) diff --git a/rosetta-source/src/test/java/util/ResourcesUtils.java b/rosetta-source/src/test/java/util/ResourcesUtils.java index 737af17038..3e27d096b3 100644 --- a/rosetta-source/src/test/java/util/ResourcesUtils.java +++ b/rosetta-source/src/test/java/util/ResourcesUtils.java @@ -21,6 +21,7 @@ import java.util.ArrayList; import java.util.Arrays; import java.util.List; +import java.util.stream.Collectors; public class ResourcesUtils { @@ -85,4 +86,16 @@ public static T reKey(T builder) { postProcessors.forEach(p -> p.runProcessStep(builder.getType(), builder)); return builder; } + + public static List reKey(List builder) { + return builder.stream().map(ResourcesUtils::reKey).collect(Collectors.toList()); + } + + public static List toBuilder(List objectList) { + return (List) objectList.stream().map(RosettaModelObject::toBuilder).collect(Collectors.toList()); + } + + public static List build(List builderList) { + return (List) builderList.stream().map(RosettaModelObjectBuilder::build).collect(Collectors.toList()); + } } diff --git a/tests/src/test/java/com/regnosys/ingest/fpml/Fpml513ProductIngestionServiceTest.java b/tests/src/test/java/com/regnosys/ingest/fpml/Fpml513ProductIngestionServiceTest.java index 51ea0f043c..587b43ab64 100644 --- a/tests/src/test/java/com/regnosys/ingest/fpml/Fpml513ProductIngestionServiceTest.java +++ b/tests/src/test/java/com/regnosys/ingest/fpml/Fpml513ProductIngestionServiceTest.java @@ -14,7 +14,7 @@ public class Fpml513ProductIngestionServiceTest extends IngestionTest { - private static final String BASE_DIR = "cdm-sample-files/fpml-5-13/products/"; + private static final String BASE_DIR = "cdm-sample-files/fpml-5-13/products"; private static IngestionService ingestionService; diff --git a/tests/src/test/java/com/regnosys/template/GenerateTemplateExampleJsonWriter.java b/tests/src/test/java/com/regnosys/template/GenerateTemplateExampleJsonWriter.java deleted file mode 100644 index 7d94efdac4..0000000000 --- a/tests/src/test/java/com/regnosys/template/GenerateTemplateExampleJsonWriter.java +++ /dev/null @@ -1,190 +0,0 @@ -package com.regnosys.template; - -import cdm.base.staticdata.asset.common.Security; -import cdm.event.common.TradeState; -import cdm.product.asset.InterestRatePayout; -import cdm.product.template.*; -import com.fasterxml.jackson.core.JsonProcessingException; -import com.google.common.io.Resources; -import com.google.inject.Guice; -import com.google.inject.Inject; -import com.google.inject.Injector; -import com.google.inject.Module; -import com.google.inject.util.Modules; -import com.regnosys.ingest.test.framework.ingestor.IngestionReport; -import com.regnosys.ingest.test.framework.ingestor.IngestionTestUtil; -import com.regnosys.ingest.test.framework.ingestor.service.IngestionFactory; -import com.regnosys.ingest.test.framework.ingestor.service.IngestionService; -import com.regnosys.rosetta.RosettaRuntimeModule; -import com.regnosys.rosetta.RosettaStandaloneSetup; -import com.regnosys.rosetta.common.hashing.GlobalKeyProcessStep; -import com.regnosys.rosetta.common.hashing.NonNullHashCollector; -import com.regnosys.rosetta.common.hashing.ReKeyProcessStep; -import com.regnosys.rosetta.common.postprocess.qualify.QualifyProcessorStep; -import com.regnosys.rosetta.common.serialisation.RosettaObjectMapper; -import com.regnosys.rosetta.common.util.UrlUtils; -import com.regnosys.rosetta.common.validation.RosettaTypeValidator; -import com.rosetta.model.lib.RosettaModelObject; -import com.rosetta.model.lib.RosettaModelObjectBuilder; -import com.rosetta.model.lib.process.PostProcessStep; -import com.rosetta.model.metafields.MetaAndTemplateFields; -import org.eclipse.xtext.common.TerminalsStandaloneSetup; -import org.finos.cdm.CdmRuntimeModule; -import org.slf4j.Logger; -import org.slf4j.LoggerFactory; - -import java.io.BufferedWriter; -import java.io.IOException; -import java.nio.file.Files; -import java.nio.file.Path; -import java.nio.file.Paths; -import java.util.Arrays; - -/** - * Generates sample json for com.regnosys.cdm.example.template.TemplateExample. - */ -public class GenerateTemplateExampleJsonWriter { - private static final String INSTANCE_NAME = "target/FpML_5_10"; - - @Inject RosettaTypeValidator validator; - @Inject QualifyProcessorStep qualifyProcessorStep; - - private static final Logger LOGGER = LoggerFactory.getLogger(GenerateTemplateExampleJsonWriter.class); - private static final String SAMPLE_PATH = "cdm-sample-files/fpml-5-10/products/equity/eqs-ex01-single-underlyer-execution-long-form.xml"; - private Injector injector; - - public static void main(String[] args) throws IOException { - new GenerateTemplateExampleJsonWriter().init(args); - } - - public void init(String[] args) throws IOException { - // Guice Injection - Module runtimeModule = new CdmRuntimeModule(); - injector = Guice.createInjector(runtimeModule); - initialiseIngestionFactory(runtimeModule); - injector.injectMembers(this); - - String outputPath = Arrays.stream(args).findFirst().orElse("target/template/"); - LOGGER.info("Output path {}", outputPath); - - IngestionService ingestionService = IngestionFactory - .getInstance(INSTANCE_NAME) - .getService("FpML_5_Confirmation_To_TradeState"); - - IngestionReport ingest = ingestionService.ingestValidateAndPostProcess(TradeState.class, UrlUtils.openURL(Resources.getResource(SAMPLE_PATH))); - generateTemplateExamples(ingest.getRosettaModelInstance(), outputPath); - } - - private void initialiseIngestionFactory(Module moduleRuntimeModule) { - IngestionFactory.init(INSTANCE_NAME, - GenerateTemplateExampleJsonWriter.class.getClassLoader(), - setupRuntimeModules(moduleRuntimeModule), - IngestionTestUtil.getPostProcessors(injector).toArray(new PostProcessStep[0])); - } - - private Module setupRuntimeModules(Module modelRuntimeModule) { - TerminalsStandaloneSetup.doSetup(); - Module combinedModules = Modules.combine(modelRuntimeModule, new RosettaRuntimeModule()); - injector = Guice.createInjector(combinedModules); - (new RosettaStandaloneSetup()).register(injector); - return combinedModules; - } - - private void generateTemplateExamples(TradeState tradeState, String outFolder) throws IOException { - ContractualProduct contractualProductTemplate = getContractualProductTemplate(tradeState); - writeFileToDisk(Paths.get(outFolder), "contractual-product-template.json", contractualProductTemplate); - - TradeState unmergedContract = getUnmergedContract(tradeState, contractualProductTemplate.getMeta().getGlobalKey()); - writeFileToDisk(Paths.get(outFolder), "trade-state-unmerged.json", unmergedContract); - - TradeState mergedContract = getMergedContract(tradeState, contractualProductTemplate.getMeta().getGlobalKey()); - writeFileToDisk(Paths.get(outFolder), "trade-state-merged.json", mergedContract); - } - - private ContractualProduct getContractualProductTemplate(TradeState inputTradeState) { - ContractualProduct.ContractualProductBuilder templateBuilder = inputTradeState.toBuilder().getTrade().getTradableProduct().getProduct().getContractualProduct(); - - PerformancePayout.PerformancePayoutBuilder performancePayoutBuilder = templateBuilder.getEconomicTerms().getPayout().getPerformancePayout().get(0); - performancePayoutBuilder - .setValuationDates(null) - .setPaymentDates(null) - .setReturnTerms(null); - performancePayoutBuilder.getUnderlier().getSecurity().setIdentifier(null); - - InterestRatePayout.InterestRatePayoutBuilder interestRatePayoutBuilder = templateBuilder.getEconomicTerms().getPayout().getInterestRatePayout().get(0); - interestRatePayoutBuilder - .setCalculationPeriodDates(null) - .setPaymentDates(null); - - reKeyPostProcess(ContractualProduct.class, templateBuilder.prune()); - - return templateBuilder.build(); - } - - private TradeState getMergedContract(TradeState inputContract, String templateGlobalReference) { - TradeState.TradeStateBuilder mergedContractBuilder = inputContract.toBuilder(); - mergedContractBuilder.getTrade().getTradableProduct().getProduct().getContractualProduct().getMeta().setTemplateGlobalReference(templateGlobalReference); - - reKeyPostProcess(TradeState.class, mergedContractBuilder.prune()); - - return mergedContractBuilder.build(); - } - - private TradeState getUnmergedContract(TradeState inputContract, String templateGlobalReference) { - ContractualProduct contractualProductInstance = getContractualProduct(inputContract, templateGlobalReference); - - TradeState.TradeStateBuilder unmergedContractBuilder = inputContract.toBuilder(); - unmergedContractBuilder.getTrade().getTradableProduct().getProduct().setContractualProduct(contractualProductInstance); - - reKeyPostProcess(TradeState.class, unmergedContractBuilder.prune()); - - return unmergedContractBuilder.build(); - } - - private ContractualProduct getContractualProduct(TradeState inputContract, String templateGlobalReference) { - ContractualProduct contractualProduct = inputContract.getTrade().getTradableProduct().getProduct().getContractualProduct(); - PerformancePayout performancePayout = contractualProduct.getEconomicTerms().getPayout().getPerformancePayout().get(0); - InterestRatePayout interestRatePayout = contractualProduct.getEconomicTerms().getPayout().getInterestRatePayout().get(0); - - ContractualProduct.ContractualProductBuilder contractualProductBuilder = ContractualProduct.builder() - .setMeta(MetaAndTemplateFields.builder().setTemplateGlobalReference(templateGlobalReference)) - .setEconomicTerms(EconomicTerms.builder() - .setPayout(Payout.builder() - .addPerformancePayout(PerformancePayout.builder() - .setValuationDates(performancePayout.getValuationDates()) - .setPaymentDates(performancePayout.getPaymentDates()) - .setReturnTerms(performancePayout.getReturnTerms()) - .setUnderlier(Product.builder() - .setSecurity(Security.builder() - .addIdentifier(performancePayout.getUnderlier().getSecurity().getIdentifier())))) - .addInterestRatePayout(InterestRatePayout.builder() - .setCalculationPeriodDates(interestRatePayout.getCalculationPeriodDates()) - .setPaymentDates(interestRatePayout.getPaymentDates())))); - - reKeyPostProcess(ContractualProduct.class, contractualProductBuilder.prune()); - - return contractualProductBuilder.build(); - } - - private static void writeFileToDisk(Path folder, String filename, RosettaModelObject object) throws IOException { - Path path = folder.resolve(filename); - Files.createDirectories(path.getParent()); - LOGGER.info("Writing path {}", path); - - try (BufferedWriter writer = Files.newBufferedWriter(path)) { - writer.write(toJson(object)); - } - } - - private static String toJson(Object object) throws JsonProcessingException { - return RosettaObjectMapper.getNewRosettaObjectMapper().writerWithDefaultPrettyPrinter().writeValueAsString(object); - } - - private void reKeyPostProcess(Class clazz, RosettaModelObjectBuilder builder) { - GlobalKeyProcessStep globalKeyProcessStep = new GlobalKeyProcessStep(NonNullHashCollector::new); - Arrays.asList(globalKeyProcessStep, new ReKeyProcessStep(globalKeyProcessStep)) - .forEach(p -> p.runProcessStep(clazz, builder)); - - } -} -